What Drives the Cross‐Section of Credit Spreads?: A Variance Decomposition Approach
分解了公司债券信用利差的变化，发现预期收益对横截面方差的贡献几乎与预期信用损失相当，但市场组合信用利差的时间序列变化主要来自风险溢价。
ABSTRACT 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.