Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/284812 
Year of Publication: 
2021
Citation: 
[Journal:] Journal of Futures Markets [ISSN:] 1096-9934 [Volume:] 42 [Issue:] 3 [Year:] 2021 [Pages:] 446-471
Publisher: 
Wiley, Hoboken, NJ
Abstract: 
In this study, I analyze the effect of central clearing on credit default swap (CDS) market breadth, depth, and resiliency using a regression discontinuity design. I find evidence for a decrease in absolute bid–ask spreads and bid–ask spread resiliency and an increase in gross trading volume with the beginning of central clearing. However, we observe positive effects of central clearing on CDS market liquidity only for CDS contracts of high fundamental and liquidity risk. Further results indicate that lower trading frictions, that is, counterparty risk and regulatory capital charges, may explain the positive effects of central clearing on CDS market liquidity.
Subjects: 
central clearing
credit default swaps
market liquidity
regression discontinuity
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
Document Version: 
Published Version

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