本篇論文主為信用價差之時間序列研究，及其和違約相關性之間之互動關係研究。發現信用價差之水準值及波動性，都具有兩個明顯不同的狀態期間，另發現信用價差和違約相關系數之間存在正向關係，且信用價差之高低波動狀態和景氣呈現反向變動。

In this paper, I empirically investigate the dynamics of credit spread with regime switching analysis. The finding exhibits evidence of two distinctive volatility as well as mean regimes for credit spread changes. Moreover, I document (1) that the volatility of credit spread positively corresponds to default correlation and (2) that lower (higher) volatility regimes corresponds to boom (bust) state of economy.

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