In this investigation conducted with OQAM, the analysts Jaroslavs Grigoluns, Merriea Mathew, and Elliot Koujaharov Sjögren, analysed which factors drive the spread differences of bonds issued in both EUR and SEK. By examining a large number of both company-specific and macroeconomic features with different machine learning methods, the project distilled the most influential contributions to the historical spreads.
The analysis suggests that certain macroeconomic factors are leading drivers across all investigated sectors, while some sector-specific metrics play a special role in their corresponding fields. Furthermore, the report compared different predictive models in how well they performed across the sectors, finding that the random forest was the superior one.