PT  - JOURNAL ARTICLE
AU  - Andrew Davies
TI  - Credit Spread Modeling with Regime-Switching Techniques
AID  - 10.3905/jfi.2004.461450
DP  - 2004 Dec 31
TA  - The Journal of Fixed Income
PG  - 36--48
VI  - 14
IP  - 3
4099  - https://pm-research.com/content/14/3/36.short
4100  - https://pm-research.com/content/14/3/36.full
AB  - 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.