摘要：Cointegration techniques are used to estimate the long run equilibrium relationship between a firm’s CDS premium and its equity price, for a panel of large-cap US firms. From these results, the estimated disequilibrium in daily CDS premiums, with respect to equity prices, is constructed. Dynamic panel methods are employed to show the importance of lagged changes in libor rates as determinants of the estimated disequilibrium. Evidence is found that the extent to which the markets deviate from equilibrium will increase as one-month libor rates rise, but, counter-intuitively, will decrease (return towards equilibrium) as longer term libor rates rise.
