The determinants of credit spread changes

• 成果类型: Article
• 署名作者: Collin-Dufresne, P; Goldstein, RS; Martin, JS
• 署名单位: Carnegie Mellon University; Washington University (WUSTL); Arizona State University; Arizona State University-Tempe
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/0022-1082.00402
• 发表日期: 2001
• 页码: 2177-2207
• 关键词: TERM STRUCTURES; corporate-debt; RISK STRUCTURE; securities; returns; valuation; stocks; MODEL; volatility; options

摘要

Using dealer's quotes and transactions prices on straight industrial bonds, we investigate 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 financial variables as candidate proxies, we cannot explain this common systematic component. Our results suggest that monthly credit spread changes are principally driven by local supply/demand shocks that are independent of both credit-risk factors and standard proxies for liquidity.