Macroeconomic uncertainty andcredit default swap spreads

This paper empirically investigates the impact of macroeconomic uncertainty on thespreads of individual rms' credit default swaps (CDS). While existing literature ac-knowledges the importance of the levels of macroeconomic factors in determiningCDS spreads, we nd that the second moments of these factors|macroeconomicuncertainty|have signicant explanatory power over and above that of traditionalmacroeconomic factors such as the risk-free rate and the Treasury term spread....