RT Journal Article SR Electronic T1 Credit Spread Modeling with Regime-Switching Techniques JF The Journal of Fixed Income FD Institutional Investor Journals SP 36 OP 48 DO 10.3905/jfi.2004.461450 VO 14 IS 3 A1 Andrew Davies YR 2004 UL https://pm-research.com/content/14/3/36.abstract 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.