主权信用违约互换的运作及启示

Operational Mechanism and Lessons of Sovereign Credit Default Swaps

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。

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,speculation and proxy hedging;2）the short-term sovereign CDSs are in short supply;3）the prohibition of naked short selling of sovereign CDSs is irrational;and 4）western European sovereign debt risks have spillover effect on the sovereign CDS market in Eastern Europe and emerging economies.