Macroeconomic Uncertainty and Credit Default Swap Spreads
نویسندگان
چکیده
This paper empirically investigates the impact of macroeconomic uncertainty on the spreads of credit default swaps (CDS). While existing literature acknowledges the importance of the levels of macroeconomic factors in determining CDS spreads, we show that the second moments of these factors—macroeconomic uncertainty—predict CDS spreads even in the presence of traditional macroeconomic factors such as the risk-free rate and the Treasury term spread. JEL Classification: D8, G13, C23
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