%0 Journal Article %A Andrew Davies %T Credit Spread Modeling with Regime-Switching Techniques %D 2004 %R 10.3905/jfi.2004.461450 %J The Journal of Fixed Income %P 36-48 %V 14 %N 3 %X Tests on Moody's AAA and BAA corporate bond yield data consider the determinants of the excess yield earned on corporate debt over U.S. Treasuries. Cointegration estimation techniques reveal significant long- and short-run relationships. Models that allow for distinct regimes over time generate a better fit to the data, and there are some interesting differences in the key determinants of credit spreads across different regimes. Regimes are assumed to be determined by a first-order Markov process or a self-extracting threshold autoregressive process. %U https://jfi.pm-research.com/content/iijfixinc/14/3/36.full.pdf