| 主权信用违约互换的运作及启示 |
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| 引用本文： | 谢世清.主权信用违约互换的运作及启示[J].国际金融研究,2011(3). |
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| 作者姓名： | 谢世清 |
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| 作者单位： | 北京大学经济学院金融系; |
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| 摘 要： | 欧洲各国主权债务危机的频发,使得主权CDS在全球范围内备受瞩目。本文分析了主权CDS的市场发展状况、运作及定价机制;考察欧洲主权债务危机中主权CDS的行为;提出对我国地方政府债务问题的启示。研究发现:(1)主权CDS息差变化受到了欧元区因素、本国因素、投机和代理对冲的影响;(2)短期主权CDS供不应求;(3)禁止主权CDS的裸卖空交易存在不合理性;(4)西欧主权风险外溢使得东欧及新兴市场国家的主权CDS市场波动加剧。
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| 关 键 词： | 主权债务危机 信用违约互换 主权CDS 息差 |
Operational Mechanism and Lessons of Sovereign Credit Default Swaps |
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| Xie Shiqing.Operational Mechanism and Lessons of Sovereign Credit Default Swaps[J].Studies of International Finance,2011(3). |
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| Authors: | Xie Shiqing |
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| Institution: | Xie Shiqing |
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| Abstract: | Following the outbreak of the European sovereign debt crisis,sovereign credit default swaps(i.e.,sovereign CDSs)drew worldwide concern.This paper analyzes the market development and operational and pricing mechanisms of sovereign CDSs;investigates the behavior of sovereign CDSs in the European sovereign debt crisis;draws lessons on the debt problems of local governments in China.This paper finds that 1)the sovereign CDS spreads are affected by the common factors in the Euro area,individual country factors,s... |
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| Keywords: | Sovereign Debt Crisis Credit Default Swaps Sovereign CDS Spreads |
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