This paper studies the returns of credit default swap (CDS) indices over the Federal Open Market Committee (FOMC) cycle. We document that the CDS return is significantly higher in even weeks than in odd weeks of the FOMC cycle. The biweekly pattern in the CDS market is not a mere reflection of that in the stock market. A simple trading strategy based on the biweekly pattern yields an annual excess return of 8.8%. This pattern is linked to the resolution of macroeconomic uncertainty by the biweekly schedules of the Fed Reserve internal Board of Governors meetings. We provide further evidence that the Fed affects the CDS market via unexpected information signals and monetary policies that lead to reductions in the risk premium.

中文翻译：

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联邦公开市场委员会的周期会影响信用风险吗？

本文研究了联邦公开市场委员会 (FOMC) 周期内信用违约掉期 (CDS) 指数的回报。我们记录了在 FOMC 周期中偶数周的 CDS 回报率明显高于奇数周。CDS 市场的双周模式不仅仅是股票市场的反映。基于双周模式的简单交易策略产生 8.8% 的年超额回报。这种模式与美联储内部理事会会议的双周时间表解决宏观经济不确定性有关。我们提供了进一步的证据，表明美联储通过导致风险溢价降低的意外信息信号和货币政策影响 CDS 市场。