Dionne, Georges; Chun, Olfa Maalaoui - Centre Interuniversitaire sur le Risque, les Politiques … - 2013
Using a real-time random regime shift technique, we identify and discuss two different regimes in the dynamics of credit spreads during 2002-2012: a liquidity regime and a default regime. Both regimes contribute to the patterns observed in credit spreads. The liquidity regime seems to explain...