TY - JOUR T1 - Credit Spread Modeling with Regime-Switching Techniques JF - The Journal of Fixed Income SP - 36 LP - 48 DO - 10.3905/jfi.2004.461450 VL - 14 IS - 3 AU - Andrew Davies Y1 - 2004/12/31 UR - https://pm-research.com/content/14/3/36.abstract N2 - 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. ER -