本篇研究探討2001至2012年間信用違約交換的交易對公司取得銀行放款成本的影響。理論上，信用違約交換的交易提供了分散風險的機會並降低銀行監管與收集資訊的成本，因此有助於降低公司的借款成本。然而，整體而言我們發現信用違約交換對公司取得銀行放款成本的影響是有限的，但是對於規模較小、信用違約交換流動性較高的公司與亞洲放款市場有著明顯的影響。儘管如此，在金融海嘯期間，有信用違約交換的公司其借款成本反而是高於沒有信用違約交換的公司。

This paper investigate the impact of Credit Default Swaps (CDSs) trading on the cost of bank loan during 2001 to 2012. Theoretically, the CDS trading have lowered the cost of bank loan to firms by creating risk sharing opportunities and reducing bank monitoring and information cost. However, as a whole, we only find limited evidence that the CDS trading have lowered the cost of bank loan but the impact is stronger for smaller firms, those firms with higher liquidity in the CDS market, and bank loan market in Asia. Nevertheless, there is strong evidence, during the recent financial crisis period, those firms with CDS trading faced higher bank loan spread than those not with CDS trading.

For policymakers, an issue of interest is the impact of development of the CDS market on the bank loan market. However, the limited number of studies on the impact of CDS trading on the bank loan market have so far focused on the US market, such as (Ashcraft & Santos, 2009). Their findings do not necessarily apply to the Asian market. Our overall empirical results suggest that the average borrower with a CDS has limited evidence of reducing the cost of bank loan. However, there is a significantly negative impact on Asia due to the different development stage of market. In other words, the development of the CDS market provided banks with a new, less expensive, way to hedge or lay off their risk exposures to firms in Asia. In addition, CDS’s prices are a potentially important source of new information on firms, especially in period of financial distress. Especially, before the onset of the global financial turmoil that started in mid-2007, the use of CDS as an instrument to trade credit risk had increased exponentially. Since 2008, however, activity in the CDS market has shrunk substantially. In particular, CDS notional amounts outstanding dropped from roughly $60 trillion at the end of 2007 to about $33 trillion at the end of 2009, reflecting severely strained credit markets and the increased multilateral netting of offsetting positions by market participants. Our analysis shows that, at the peak of the global financial crisis, those firms with a CDS had to face higher spreads than those not with a CDS, above and beyond the general increase in credit spreads observed in the bank loan market during this period. This suggests that CDS trading could be a double-edged sword: it also introduces new sources of shocks to the bank loan market.

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