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This paper investigates the determinants of the European iTraxx corporate CDS index considering a large set of explanatory variables within a Markov switching model framework. The influence of financial and economic variables on CDS spreads are compared using linear, two, three, and four-regime models in a sample post-subprime financial crisis up to the COVID-19 pandemic. Results indicate that four regimes are necessary to model the CDS spreads. The fourth regime was activated during the COVID-19 pandemic and in high volatility periods. Further, the effect of the covariates differs significantly across regimes. Brent and term structure factors became relevant after the outbreak of the COVID-19 pandemic.

Modeling Corporate CDS Spreads Using Markov Switching Regressions