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主讲人 |
张劲帆 |
简介 |
<p>Sovereign CDS spreads can predict future stock index returns, sovereign bond yields, and real economic activities. This predictive power is almost entirely from the systematic, rather than country-specific, component of sovereign CDS spreads. Our evidence is consistent with the interpretation that the sovereign CDS market plays a leading role in aggregating global information, which has implications on stock and bond markets, as well as real economic activities around the world. Stock and bond prices only gradually “catch up” with sovereign CDS spreads, especially during the days surrounding credit rating or outlook changes.</p> |
