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Can I read The Nonlinear Dynamics of Corporate Bond Spreads: Regime-Dependent Effects of their Determinants on EtoBox?
The Nonlinear Dynamics of Corporate Bond Spreads: Regime-Dependent Effects of their Determinants by Henning Fischer; Oscar Stolper is a Social Sciences article available to read on EtoBox.
What is The Nonlinear Dynamics of Corporate Bond Spreads: Regime-Dependent Effects of their Determinants about?
## Abstract This paper studies the behavior of corporate bond spreads during different market regimes between 2004 and 2016. Applying a Markov-switching vector autoregressive (MS-VAR) model, we document that the dynamic impact of spread determinants varies substantially with market conditions. In periods of high volatility, systematic credit risk—rather than interest rate movements—contributes to driving up spreads. Moreover, while market-wide liquidity risk is not priced when volatility is low, it becomes a crucial factor during stress periods. Our results challenge the notion that spreads predominantly capture credit risk and suggest it must be reassessed during periods of financial distress.
Who reads The Nonlinear Dynamics of Corporate Bond Spreads: Regime-Dependent Effects of their Determinants?
It is typically read by researchers, students, and practitioners in Social Sciences.
- Author
- Henning Fischer; Oscar Stolper
- Publisher
- Walter de Gruyter GmbH
- Published
- 2021
- Language
- EN
- Field
- Social Sciences