What factors are driving forces for credit spreads?

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The purpose of this study is to examine what affects the changes in credit spreads. Aregression model was performed where the explanatory variables were; volatility,SP&500 index, interest-rate level the slope of yield curve and the dependentvariable was credit spread for each of CSUSDA, CSUSDBBB, and CSUSDB. Wefound a positive correlation between these independent variables (Volatility, S&P500index) and a negative correlation between interest-rate level and credit spreads.These results were consistent with our hypothesis. However, the link between theslope of yield curve and credit spreads was positive and that was inconsistent withour hypothesis and some previous studies. The conclusion of this paper was achange in credit spread is related to the variables tha...