Modeling Corporate CDS Spreads Using Markov Switching Regressions
In: STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS, 2024, Heft 2, S. 271-292
Online
academicJournal
Zugriff:
This paper investigates the determinants of the European iTraxx corporate CDS index considering a large set of explanatory variables within a Markov switching model framework. The influence of financial and economic variables on CDS spreads are compared using linear, two, three, and four-regime models in a sample post-subprime financial crisis up to the COVID-19 pandemic. Results indicate that four regimes are necessary to model the CDS spreads. The fourth regime was activated during the COVID-19 pandemic and in high volatility periods. Further, the effect of the covariates differs significantly across regimes. Brent and term structure factors became relevant after the outbreak of the COVID-19 pandemic.
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Modeling Corporate CDS Spreads Using Markov Switching Regressions
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Autor/in / Beteiligte Person: | Baltodano Lopez O. ; Bulfone, G. ; Casarin, R. ; Ravazzolo, F ; Baltodano Lopez, O. |
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Zeitschrift: | STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS, 2024, Heft 2, S. 271-292 |
Veröffentlichung: | 2024 |
Medientyp: | academicJournal |
DOI: | 10.1515/snde-2022-0106 |
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