EconPapers    
Economics at your fingertips  
 

Credit spread changes within switching regimes

Olfa Maalaoui Chun, Georges Dionne and Pascal François

Journal of Banking & Finance, 2014, vol. 49, issue C, 41-55

Abstract: Empirical studies on credit spread determinants are predicated on the presence of a single-regime over the entire sample period and thus find limited explanatory power. A single-regime model hides the fact that explanatory variables take on different loadings across changing patterns in credit spreads. In a model with endogenous regimes for credit spreads or with monetary regimes, we find that market, default, and liquidity factors have superior explanatory power because of their interaction with the regime. Lower improvements are found when the regime is defined according to the credit supply regime or the NBER regimes (announced and official).

Keywords: Credit cycle; NBER economic cycle; Monetary cycle; Credit supply cycle; Markov switching regimes; Market risk; Liquidity risk (search for similar items in EconPapers)
JEL-codes: C32 C52 C61 G12 G13 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378426614002763
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Credit Spread Changes within Switching Regimes (2009) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:49:y:2014:i:c:p:41-55

Access Statistics for this article

Journal of Banking & Finance is currently edited by Ike Mathur

More articles in Journal of Banking & Finance from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

 
Page updated 2019-11-16
Handle: RePEc:eee:jbfina:v:49:y:2014:i:c:p:41-55