Demand-supply imbalances in the credit default swap market: empiricaln evidence

摘要

This paper empirically examines demand-supply imbalances in the creditn default swap (CDS) market and provides evidence of its effect on the CDSn spread dynamics. Analysis is conducted on a large and homogenous datan set of the 92 non-financial European companies with the most quotedn Euro-denominated CDS contracts during the 2002-2008 period. Mainn findings indicate that short-term CDS price movements, not related ton fundamentals, are positively affected by demand-supply imbalances