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The Journal of Fixed Income

The Journal of Fixed Income

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Article

Credit Spreads and Regime Shifts

Ivelina Pavlova, Ann Marie Hibbert, Joel R. Barber and Krishnan Dandapani
The Journal of Fixed Income Summer 2015, 25 (1) 58-74; DOI: https://doi.org/10.3905/jfi.2015.25.1.058
Ivelina Pavlova
is an associate professor in the College of Business at the University of Houston–Clear Lake in Houston, TX. pavlova@uhcl.edu
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Ann Marie Hibbert
is an associate professor in the Finance Department of the College of Business and Economics at West Virginia University in Morgantown, WV. amhibbert@mail.wvu.edu
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Joel R. Barber
is an associate professor in the College of Business at Florida International University in Miami, FL. barberj@fiu.edu
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Krishnan Dandapani
is a professor in the College of Business at Florida International University in Miami, FL. dandapan@fiu.edu
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Abstract

The authors use data on a large sample of investment-grade and high-yield corporate bonds of non-financial firms to investigate the stability of the relationship between yield spreads and both Treasury term structure and market risk variables. The sample spans before, during, and after the recent financial crisis. Regression model estimates reveal a negative relationship between credit spread changes and changes in the term structure variables, as well as a significant effect of stock market conditions, bond volatility, and aggregate liquidity on spreads. Results from a Markov switching-regime model confirm the presence of two regimes and show different effects of certain spread determinants undereach regime.

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The Journal of Fixed Income: 25 (1)
The Journal of Fixed Income
Vol. 25, Issue 1
Summer 2015
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Credit Spreads and Regime Shifts
Ivelina Pavlova, Ann Marie Hibbert, Joel R. Barber, Krishnan Dandapani
The Journal of Fixed Income Jun 2015, 25 (1) 58-74; DOI: 10.3905/jfi.2015.25.1.058

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Credit Spreads and Regime Shifts
Ivelina Pavlova, Ann Marie Hibbert, Joel R. Barber, Krishnan Dandapani
The Journal of Fixed Income Jun 2015, 25 (1) 58-74; DOI: 10.3905/jfi.2015.25.1.058
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  • Article
    • Abstract
    • CREDIT SPREADS, TERM STRUCTURE, AND STOCK MARKET VARIABLES
    • DATA AND VARIABLE DESCRIPTION
    • METHODOLOGY
    • EMPIRICAL RESULTS
    • CONCLUSION
    • ENDNOTES
    • REFERENCES
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