Egami, Masahiko; Kato, Yasuyuki; Sawaki, Tomochika - Graduate School of Economics, Kyoto University - 2013
We study the credit default swap (CDS) markets in the U.S. and Japan, focusing on bid-ask spreads which are closely related to the liquidity of the markets. Since bid-ask spreads dramatically surged during the financial crisis (2008-2009) and the market became very illiquid, it is crucially...