PT - JOURNAL ARTICLE AU - Ivelina Pavlova AU - Ann Marie Hibbert AU - Joel R. Barber AU - Krishnan Dandapani TI - Credit Spreads and Regime Shifts AID - 10.3905/jfi.2015.25.1.058 DP - 2015 Jun 30 TA - The Journal of Fixed Income PG - 58--74 VI - 25 IP - 1 4099 - https://pm-research.com/content/25/1/58.short 4100 - https://pm-research.com/content/25/1/58.full AB - The authors use data on a large sample of investment-grade and high-yield corporate bonds of non-financial firms to investigate the stability of the relationship between yield spreads and both Treasury term structure and market risk variables. The sample spans before, during, and after the recent financial crisis. Regression model estimates reveal a negative relationship between credit spread changes and changes in the term structure variables, as well as a significant effect of stock market conditions, bond volatility, and aggregate liquidity on spreads. Results from a Markov switching-regime model confirm the presence of two regimes and show different effects of certain spread determinants undereach regime.TOPICS: Fixed income and structured finance, quantitative methods