信用违约互换市场与股票市场的关联性分析——基于美国市场数据的MS—VAR模型分析

Analysis on the Relevance between the Credit Default Swap Market and the Stock Market——Based on the MS——VAR Model with the Data of the U.S. Market

目前我国的信用违约互换市场正处在初级发展阶段,对美国信用违约互换市场与股票市场的关系进行研究可以为我国信用违约互换市场的健康发展提供参考借鉴。利用2004—2012年CDX指数与S&P500指数的日度数据,通过样本"低相关"与"高相关"的状态区制划分,建立MS(2)—VAR(2)动态分析模型,实证研究发现该两个市场的关系呈现"一波多折"动态变化,并通过脉冲响应分析发现信用违约互换市场对股票市场有较强的影响力,能更迅速地反应市场信息变化。

The development of the Credit Default Swap (CDS) market is in its infancy at present in China,and the study on the relevance analysis between the CDS market and the stock market in the U. S. A. in the paper can be a ref- erence for the healthy development of Chinese CDS market. By using the daily data of CDX index and S&P 500 index from year 2004-2012 and by dividing the sample into two regimes of"low relevance"and"high relevance",the paper builds a dynamic MS (2)-VAR (2) model which confirms that the relevance between the CDS market and the stock market varies dynamically. In addition,with the impulse response analysis,the paper shows that the CDS market has a strong impact on the stock market and the CDS market could reflect the market information promptly.