What Can We Learn from Sovereign CDS Spreads?

现任香港中文大学（深圳）、深圳高等金融研究院副教授，宏观金融稳定与创新研究中心联合主任。耶鲁大学金融经济学博士、清华大学工学博士。主要研究方向包括资产定价、国际金融、宏观金融等。曾在Review of Financial Studies、《经济学（季刊）》、《金融研究》等国内外重要期刊发表多篇学术论文。曾获得美国西部金融年会（WFA）优秀资产定价论文奖等学术奖项。

Sovereign CDS spreads can predict future stock index returns, sovereign bond yields, and real economic activities. This predictive power is almost entirely from the systematic, rather than country-specific, component of sovereign CDS spreads. Our evidence is consistent with the interpretation that the sovereign CDS market plays a leading role in aggregating global information, which has implications on stock and bond markets, as well as real economic activities around the world. Stock and bond prices only gradually “catch up” with sovereign CDS spreads, especially during the days surrounding credit rating or outlook changes.