A Study on the Externalities of Supply Chain and Credit Default Swaps——Evidence from Enterprise Level
Based on the enterprise level data from 2009 to 2019,this paper examines the externalities of Credit Default Swap(CDS)transactions from a supply chain perspective.Firstly,a PVAR model and Granger causality test are used to con-firm the externalities of CDS transactions on suppliers in the supply chain from the perspective of price discovery.Second-ly,panel data analysis shows that downstream customer CDS transactions have a positive externality on their upstream sup-pliers,and is more significant in enterprises of developed countries and non-tech industries:suppliers view customer par-ticipation in CDS transactions as risk hedging behavior,thereby correspondingly increasing their leverage ratio.
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万方数据
