| Paper Number | KCB-PP-2016-060 |
|---|---|
| Title | Detecting Regime Shifts in Credit Spreads |
| Title(Other) | |
| Author | Olfa Maalaoui Chun ; Georges Dionne ; Pascal Francois |
| Publisher | |
| 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. |
| Full-Text | * Full-Text 다운로드는 경영대학 학생에게만 제공되고 있습니다. |