The study shows that when derivatives dealers hedge against risks in illiquid markets, it can change how assets move together. By looking at Japan, the researchers found that hedging counterparty risk in currency swaps can create a strong link between credit and currency markets. This link isn't based on real market factors, but on the dealers' actions. For example, SoftBank's hedging of FX swap risks can explain a big part of the ups and downs in SoftBank's credit default swap returns.