Credit spread and excess bond premium data (updated through August 2016).

This file contains an update of the credit spread and excess bond premium data for non-financial firms used in Gilchrist and Zakrajsek, "Credit Spreads and Business Cycle Fluctuations", AER, 2012.

Details of sample and plots of the GZ credit spread and excess bond premium (Jan 1973--Dec 2015).

 

Previously posted version: Credit spread and excess bond premium data (updated through Dec 2012).

This file contains an update of the credit spread and excess bond premium data for non-financial firms used in Gilchrist and Zakrajsek, "Credit Spreads and Business Cycle Fluctuations", AER, 2012.

This file also contains data for credit spreads for financial firms and the financial bond premium (the excess bond premium for financial firms) as described in:

Gilchrist and Zakrajsek, ``Credit Supply Shocks and Economic Activity in a Financial Accelerator Model" in Rethinking the Financial Crisis, edited by Alan Blinder, Andrew Lo and Robert Solow, Russell Sage Foundation, 2012.