Detecting Regime Shifts in Credit Spreads
使用创新的随机体制转换检测方法，识别出信用利差动态中的两种体制类型：长期存在的水平体制和短期存在的波动体制，并发现水平体制与美联储政策和信贷市场状况相关，波动体制则在金融危机期间出现。
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.