The Determinants of Credit Spread Changes

The Determinants of Credit Spread Changes (2001)

by Pierre Collin-Dufresne , Robert S. Goldstein , J. Spencer Martin

Citations:

162 - 2 self

User correction supplied by mph

Datum	Value	Source
TITLE	The Determinants of Credit Spread Changes	user correction
AUTHOR NAME	Pierre Collin-Dufresne	user correction
AUTHOR NAME	Robert S. Goldstein	user correction
AUTHOR NAME	J. Spencer Martin	user correction
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 supply0 demand shocks that are independent of both credit-risk factors and standard proxies for liquidity.	user correction
YEAR	2001	user correction
CITATIONS	43 found	ParsCit 1.0