{"id":"W3122997961","doi":"10.1017/s0022109015000034","title":"Detecting Regime Shifts in Credit Spreads","year":2014,"lang":"en","type":"article","venue":"Journal of Financial and Quantitative Analysis","topic":"Credit Risk and Financial Regulations","field":"Economics, Econometrics and Finance","cited_by":18,"is_retracted":false,"has_abstract":true,"ca_institutions":"HEC Montréal","funders":"","keywords":"Volatility (finance); Economics; Business cycle; Monetary economics; Predictive power; Regime shift; Bond market; Monetary policy; Econometrics; Macroeconomics","routes":{"ca_aff":true,"ca_fund":false,"ca_venue":false,"about_ca":false,"invisible_to_affiliation_only":false},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"metacan-v3-hybrid-931329e0061c","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.001957146,0.0002071301,0.0003683876,0.001726425,0.0002602718,0.0007404058,0.0004090727,0.0005185459,0.001463578],"category_scores_gemma":[0.014109,0.0001889714,0.0003143271,0.0007140362,0.0004134958,0.0005546858,0.0005721339,0.0007433911,0.0001990679],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0004016336,"about_ca_system_score_gemma":0.000355541,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.001442503,"about_ca_topic_score_gemma":0.0009196536,"domain_scores_codex":[0.9992105,0.0003085101,0.00003468572,0.0002600578,0.000117422,0.00006877847],"domain_scores_gemma":[0.9933559,0.00413873,0.001256181,0.000660223,0.0004038906,0.0001851055],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"observational","study_design_gemma":"observational","study_design_scores_codex":[0.0007136995,0.0004616478,0.5059781,0.0001824022,0.000567716,0.0003772069,0.0008036808,0.1177442,0.05554132,0.06263997,0.002455375,0.2525347],"study_design_scores_gemma":[0.00004324458,0.0001437553,0.1222569,0.00002745528,0.00003705737,0.00016583,0.0001160019,0.8349918,0.007668114,0.03326449,0.001234259,0.00005111421],"study_design_candidate":"observational","study_design_consensus":"observational","genre_codex":"empirical","genre_gemma":"empirical","genre_scores_codex":[0.8268263,0.00014154,0.1696248,0.0001867297,0.00002279619,0.00005030359,0.0002834605,0.0002534022,0.002610748],"genre_scores_gemma":[0.9932976,0.00002019346,0.006412024,0.00001445917,0.00001198374,0.00001121854,0.0000800726,0.000006726465,0.0001457345],"genre_candidate":"empirical","genre_consensus":"empirical","teacher_disagreement_score":0.001957146,"threshold_uncertainty_score":0.01035053,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.03133351697193739,"score_gpt":0.2603312755498348,"score_spread":0.2289977585778974,"validation_status":"score_only:v0-immature-baseline","note":"Baseline scores from an immature model (maturity gate not passed). Scores rank; they never assert a category."}}