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27 227 DS =+α log (Spread )+ β DSRate +γlend +δ DEx DS t Spread t 1 DSRate t Lend t DEx DS DEx Spread DS Lend

28 228 ** ** ** ** ** ** DS ** ** log (Spread) ** ** ** ** ** ** DSRate Lend * * ** ** ** ** DEx ** ** ** ** R D.W. t **=*= DEx DEx <0 log (Spread ) log (Spread ) Spread

29 229 DS = +α log (USpread )+α log ( DRisk ) +β DSRate +γ Lend +δ DEx USpread t DSpread t Spread USpread DSpread USpread DSpread

30 230 ** * DS ** ** log (USpread) * ** * * ** ** log (DSpread) * * * DSRate Lend * * ** ** ** ** DEx ** ** ** ** ** ** R D.W. t **=*= USpread DSpread USpread DSpread USpread DSpread USpread DSpread USpread

31 231 DSpread

32 232

O1-1 O1-2 O1-3 O1-4 O1-5 O1-6

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y = x x R = 0. 9, R = σ $ = y x w = x y x x w = x y α ε = + β + x x x y α ε = + β + γ x + x x x x' = / x y' = y/ x y' = y x = α + β + ε =,, ε V( ε) = E( ε ) = σ α $ $ β w ( 0) σ = w σ σ y α x ε = + β + w w w w ε / w ( w y x α β ) = α$ $ W = yw βwxw $β = W ( W) ( W)( W) w x x w x x y y = = x W y W x y x y xw = y W = w w

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