%0 Journal Article %A Thomas I. Kounitis %D 2007 %J International Journal of Economics and Management Engineering %B World Academy of Science, Engineering and Technology %I Open Science Index 6, 2007 %T Credit Spread Changes and Volatility Spillover Effects %U https://publications.waset.org/pdf/14052 %V 6 %X The purpose of this paper is to investigate the influence of a number of variables on the conditional mean and conditional variance of credit spread changes. The empirical analysis in this paper is conducted within the context of bivariate GARCH-in- Mean models, using the so-called BEKK parameterization. We show that credit spread changes are determined by interest-rate and equityreturn variables, which is in line with theory as provided by the structural models of default. We also identify the credit spread change volatility as an important determinant of credit spread changes, and provide evidence on the transmission of volatility between the variables under study. %P 187 - 192