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Detecting Regime Shifts in Credit Spreads.
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- Author(s): Chun, Olfa Maalaoui; Dionne, Georges; François, Pascal
- Source:
Journal of Financial & Quantitative Analysis; Dec2014, Vol. 49 Issue 5/6, p1339-1364, 26p- Subject Terms:
- Source:
- Additional Information
- Abstract: Using an innovative random regime shift detection methodology, we identify and confirm two distinct regime types in the dynamics of credit spreads: a level regime and a volatility regime. The level regime is long lived and shown to be linked to Federal Reserve policy and credit market conditions, whereas the volatility regime is short lived and, apart from recessionary periods, detected during major financial crises. Our methodology provides an independent way of supporting structural equilibrium models and points toward monetary and credit supply effects to account for the persistence of credit spreads and their predictive power over the business cycle. [ABSTRACT FROM PUBLISHER]
- Abstract: Copyright of Journal of Financial & Quantitative Analysis is the property of Cambridge University Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)
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