Anton, Miguel
[Verfasser:in]
;
Mayordomo, Sergio
[Sonstige Person, Familie und Körperschaft];
Rodriguez-Moreno, Maria
[Sonstige Person, Familie und Körperschaft]
Erschienen in:IESE Business School Working Paper ; No. WP-1090-E
Umfang:
1 Online-Ressource (57 p)
Sprache:
Englisch
DOI:
10.2139/ssrn.2364182
Identifikator:
Entstehung:
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 2017 erstellt
Beschreibung:
We show that sovereign CDS that have common dealers tend to be more correlated, especially when the dealers display similar quoting activity in those contracts over time. This commonality in dealers' activity is a powerful driver of CDS comovements, over and above fundamental similarities between countries, including default, liquidity, and macro factors. We posit that the mechanism causing the excess correlation is the buying pressure faced by CDS dealers for credit enhancements and regulatory capital reliefs. An instrumental variable analysis confirms that our findings are indeed rooted in a causal relationship