本篇研究主要利用誤差修正模型探討四個亞洲國家包括：中國、印尼、馬來西亞以及菲律賓，其主權債利差與其信用違約交換價格之間之關係。研究發現債券利差與信用違約交換短期雖然會有所偏差但長期而言仍會趨向均衡。這與先前文獻研究的結果一致。更進一步來說，對中國及印尼而言，結果指出信用違約交換價格會領先債券利差，也就是信用違約交換價格相對於債券利差而言含有領先的資訊。而對馬來西亞以及菲律賓而言，信用違約交換價格與債券利差兩者間存有反饋機制。
就外生變數而言，VIX以及違約價差被發現會正向且顯著的影響信用違約交換價格以及債券利差；而S&P500以及美國十年期債券殖利率會負向且顯著的影響信用違約交換價格及債券利差，這些結果與我們預期的一致。
本篇研究指出信用違約交換及債券利差間的資訊傳遞是顯著的，且像VIX，美國公司債違約價差，美國十年債券利率，美國股票市場將會影響亞洲國家的信用違約交換價格以及債券利差。

This paper examines the relationship between sovereign CDS price and EMBI bond spread in four Asian countries including china, Indonesia, Malaysia, and Philippine with vector error-correction models. We find that sovereign CDS and EMBI bond spreads move together in the long run, although deviate in the short run. These results are consistent with the literature. Furthermore, for China and Indonesia, we find that the movement of sovereign CDS spread leads that of EMBI bond spread, indicating that CDS spread contains leading information relative to bond spread. However, for Malaysia and Philippine, there exist feedback systems.
For control variables, VIX and the default yield are found to affect CDS and EMBI bond spread positively. S&P500 and 10-year U.S. Treasury yield negatively affect CDS price and EMBI bond spread. These are consistent with our findings.
Our study suggests that information transmission between sovereign CDS and bond spread are prominent, and the global factors such as VIX, U.S. corporate default yield spread, U.S. Treasury rate, and U.S. stock market will affect the price of these Asian CDS price as well as bond spread.

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