A No-Arbitrage Analysis of Macroeconomic Determinants of the Credit Spread Term Structure
从大量经济和金融数据中识别出通胀、实际产出增长和金融市场波动三个基本风险维度，通过无套利模型将其与美国国债收益率和公司债信用利差的期限结构联系起来，发现不同冲击对利率和信用利差的影响各异。
From a large array of economic and financial data series, this paper identifies three fundamental risk dimensions underlying an economy: inflation, real output growth, and financial market volatility. Furthermore, through a no-arbitrage model, the paper links the dynamics and market pricing of the three risk dimensions to the term structure of U.S. Treasury yields and corporate bond credit spreads. Model estimation shows that positive inflation shocks increase Treasury yields and widen credit spreads on corporate bonds across all maturities and credit-rating classes. Positive real output growth shocks also increase Treasury yields, but they suppress the credit spreads at low credit-rating classes, thus generating negative correlations between interest rates and credit spreads. The financial market volatility factor has a small and transient effect on the Treasury yield curve, but it exerts a strongly positive and persistent effect on the credit spread term structure. The paper provides a robust and internally consistent method for extracting systematic economic information from a large array of noisy observations and establishing how different risk dimensions of the fundamental economy interact with interest rate and credit risk.