摘要翻译：
本文通过对2001-2008年间法国信用违约互换(CDS)、股票和债券市场之间的跨期关系的长期分析，揭示了CDS这样的金融创新是如何加剧金融不稳定性的。在描述了信用衍生品和CDS的一般运作原理之后，我们以法国13家公司的股票收益率、债券利差和CDS利差为研究对象，分别建立了两个差值VAR模型，旨在揭示这三个市场之间的关系。根据这些模型，法国股票、CDS和债券市场之间确实存在着相互依赖关系，股票市场对其他两个市场的影响很大。在市场紧张时期（2001-2002年，以及2007年夏季以来），这种相互依存关系增加。
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英文标题：
《Credit derivatives: instruments of hedging and factors of instability.
  The example of ?Credit Default Swaps? on French reference entities》
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作者：
Nathalie Rey (CEPN)
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最新提交年份：
2009
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：General Finance        一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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英文摘要：
  Through a long-period analysis of the inter-temporal relations between the French markets for credit default swaps (CDS), shares and bonds between 2001 and 2008, this article shows how a financial innovation like CDS could heighten financial instability. After describing the operating principles of credit derivatives in general and CDS in particular, we construct two difference VAR models on the series: the share return rates, the variation in bond spreads and the variation in CDS spreads for thirteen French companies, with the aim of bringing to light the relations between these three markets. According to these models, there is indeed an interdependence between the French share, CDS and bond markets, with a strong influence of the share market on the other two. This interdependence increases during periods of tension on the markets (2001-2002, and since the summer of 2007).
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PDF链接：
https://arxiv.org/pdf/0911.4039