The Determinants of Credit Spread Changes
利用工业债券的交易数据，发现理论上的决定因素对信用利差变化的解释力有限，且残差主要由一个无法用宏观或金融变量解释的共同因子驱动，暗示月度变化主要源于独立的局部供需冲击。
ABSTRACT 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.