TY - JOUR T1 - Credit Spreads and Regime Shifts JF - The Journal of Fixed Income SP - 58 LP - 74 DO - 10.3905/jfi.2015.25.1.058 VL - 25 IS - 1 AU - Ivelina Pavlova AU - Ann Marie Hibbert AU - Joel R. Barber AU - Krishnan Dandapani Y1 - 2015/06/30 UR - https://pm-research.com/content/25/1/58.abstract N2 - 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 ER -