Evidence of log-periodicity in corporate bond spreads

In this paper, we looked for evidence of log-periodicity in recent US corporate bond spreads. While we found evidence of log-period behavior in both Aaa and Baa spreads, the evidence supporting log-periodicity in High Yield (HY) spreads was found to be weak. We conducted additional tests to confirm our results (bivariate spectral analysis, and surrogate data analysis) and confirmed log-periodicity in Aaa and Baa spreads but not in HY spreads. We attempt to explain this variance using the recently developed market microstructure models of Farmer, Sornette, Ausloos and others. (C) 2003 Elsevier B.V. All rights reserved.