Investigating the Determinants of Credit Spread Using a Markov Regime-Switching Model: Evidence from Banks in Taiwan

Investigating the Determinants of Credit Spread Using a Markov Regime-Switching Model: Evidence from Banks in Taiwan

In this study, we investigate the determinants of credit spread using a Markov regime-switching model. We consider corporate governance variables and credit risk to analyze the determinants of credit spread. The corporate governance mechanism is an indicator of company sustainability, and credit spr...

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Bibliographic Details
Main Authors: Su-Lien Lu, Kuo-Jung Lee
Format: Article
Language:English
Published: MDPI AG 2021-08-01
Series:Sustainability
Subjects:
sustainability
corporate governance
credit risk
credit spread
Markov regime-switching model
Online Access:https://www.mdpi.com/2071-1050/13/17/9535

Internet

https://www.mdpi.com/2071-1050/13/17/9535

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