Page 9 - 臺大管理論叢第32卷第1期

NTU Management Review
Vol. 32 No. 1 Apr. 2022, 1-44
DOI:10.6226/NTUMR.202204_32(1).0001

Extracting Liquidity Risk Factors by Credit Default Swap
Quotation and Corporate Bond Yield: An Experimental
Investigation

透過信用違約交換報價與公司債殖利率萃取流動性風險

因子之探討

Chung-Ying Yeh, Department of Finance, National Chung-Hsing University
葉宗穎 / 國立中興大學財務金融系
Ren-Raw Chen, Graduate School of Business Administration, Fordham University, U.S.A.
陳仁遶 / 美國佛罕大學管理學院
Bing-Huei Lin, Department of Finance, National Chung-Hsing University
林丙輝 / 國立中興大學財務金融系
Shih-Kuo Yeh, Department of Finance, National Chung-Hsing University
葉仕國 / 國立中興大學財務金融系
Received 2020/9, Final revision received 2021/8

Abstract
This paper employs two kinds of data. One is Credit Default Swap (CDS) market
quotations in the United States; the other is the corporate bond yield data matched with
related CDS market quotations. We estimate the hazard rates of the one-factor squared
root process designed for credit risk model with an unscented Kalman filter on two
different sets of data. We conduct principal components analysis of the CDS premiums
across different reference entities. Then, we conduct the regression tests of the first
principal component on two kinds of hazard rates estimated and subsequently, we extract
two liquidity factors by calculating the residuals of each regression equation. Empirical
examination indicates that the liquidity risk factors estimated in this paper can be good
proxies for liquidity risk. We discover that the liquidity risk factor extracted from CDS
market quotations combined with corporate bond yield rates has more goodness of fit than
the other factor extracted purely from CDS market quotations. It is demonstrated that the
liquidity factor extracted from CDS market quotations combined with corporate bond
yield rates is more significantly related to interest rate measures than the one extracted
from pure CDS market quotations. The results are still the same even after we add in some
macroeconomic variables as control variables. Therefore, we conclude that the liquidity
factor extracted from CDS market quotations combined with corporate bond yield rates
may be a better alternative.
【Keywords】credit default swap, corporate bond yield, liquidity risk, Kalman filter

領域主編：黃泓人教授

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