Heidorn, Thomas; Schlamann, Sara - 2022
The paper models and analyses the dynamics of credit spread curves based on ratings over the period from 2004 to 2021 …. Using more than 1.5 million data points of individual bonds, instead of using index data, monthly asset swap spread (ASW … risk. We find that the bond purchase programs by central banks considerably lowered credit spreads. Also, the credit spread …