What Drives the Cross-Section of Credit Spreads?: A Variance Decomposition Approach

• 成果类型: Article
• 署名作者: Nozawa, Yoshio
• 署名单位: Federal Reserve System - USA; Federal Reserve System Board of Governors
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12524
• 发表日期: 2017
• 页码: 2045-2072
• 关键词: capital structure; CORPORATE-BONDS; exchange-rates; stock returns; default risk; MARKET; equity; predictability; Dividends; distance

摘要

I decompose the variation of credit spreads for corporate bonds into changing expected returns and changing expectation of credit losses. Using a log-linearized pricing identity and a vector autoregression applied to microlevel data from 1973 to 2011, I find that expected returns contribute to the cross-sectional variance of credit spreads nearly as much as expected credit loss does. However, most of the time-series variation in credit spreads for the market portfolio corresponds to risk premiums.