The Determinants of Credit Spread Changes  

Oleh:

Martin, J. Spencer ; Goldstein, Robert S. ; Collin-Dufresne, Pierre

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 56 no. 6 (2001), page 2177-2208.
Topik: credit; studies; spread; changes; credit; regression analysis
Fulltext: p 2177.pdf (159.25KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88.4 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

Using dealer's quotes and transaction prices on straight industrial bonds, we inverstigate the determinants of credit spread changes. Variables that should in theory determine credit spread changes have rather limited explanatory power. Further, the residuals from this regression are highly cross - correlated, and principal components analysis implies they are mostly driven by a single common factor. Although we consider several macroeconomic and fianncial variables as candidate proxies, we cannot explain this common systemtic component. Our results suggest that monthly credit spread changes are principally driven by local supply / demand shocks that are inedependent of both credit - risk factors and standatrd proxies for liquidity.

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