Titman, Sheridan; Miyakawa, Daisuke; Watanabe, Shuji - In: International Review of Finance 14 (2014) 1, pp. 1-28
This paper examines the determinants of credit default swap (CDS) premiums by applying a limited dependent variable simultaneous equation system to a unique set of time series data for the Japanese credit market. The estimation results indicate that CDS premiums decrease as a result of an...