Recession Risk and the Excess Bond Premium, Accessible Data
PrintAccessible version of figures
Figure 1: Credit Risk Indicators
Note: Sample period: monthly data from January 1973 to March 2016. The shaded vertical bars represent the NBER-dated recession.
Sources: Authors' calculations based on: Center for Research in Security Prices (CRSP); CRSP/Compustat Merged Database, Wharton Research Data Services (WRDS), wrds-web.wharton.upenn.edu/wrds/about/databaselist.cfm; and Bank of America Merrill Lynch Bond Indices, used with permission.
| Date | GZ credit spread | Excess bond premium |
|---|---|---|
| Jan-73 | 110.21 | 0.57 |
| Feb-73 | 103.93 | -1.73 |
| Mar-73 | 97.38 | -10.91 |
| Apr-73 | 93.93 | -16.5 |
| May-73 | 99.19 | -7.16 |
| Jun-73 | 112.26 | 1.33 |
| Jul-73 | 91.2 | -38.04 |
| Aug-73 | 94.67 | -21.84 |
| Sep-73 | 75.87 | -35.23 |
| Oct-73 | 121.92 | 11.19 |
| Nov-73 | 130.03 | 2.35 |
| Dec-73 | 121.23 | -4 |
| Jan-74 | 109.64 | -6.37 |
| Feb-74 | 122.68 | 14.12 |
| Mar-74 | 114.29 | -14.8 |
| Apr-74 | 114.38 | 1.23 |
| May-74 | 117.78 | 2.14 |
| Jun-74 | 168.44 | 58.7 |
| Jul-74 | 238.19 | 104.96 |
| Aug-74 | 184.58 | 68.8 |
| Sep-74 | 209.38 | 76.09 |
| Oct-74 | 229.05 | 78.26 |
| Nov-74 | 211.44 | 85.9 |
| Dec-74 | 242.87 | 99.33 |
| Jan-75 | 160.96 | 31.99 |
| Feb-75 | 151.08 | 34.5 |
| Mar-75 | 177.21 | 52.27 |
| Apr-75 | 141 | 15.45 |
| May-75 | 148.49 | 30.74 |
| Jun-75 | 134.86 | 18.49 |
| Jul-75 | 138 | 31.25 |
| Aug-75 | 136.69 | 24.16 |
| Sep-75 | 132.41 | 24.4 |
| Oct-75 | 124.43 | 5.46 |
| Nov-75 | 123.95 | 15.51 |
| Dec-75 | 116.62 | -6.7 |
| Jan-76 | 95.05 | -13.07 |
| Feb-76 | 104.37 | -4.23 |
| Mar-76 | 97.97 | -9.23 |
| Apr-76 | 102.01 | -3.98 |
| May-76 | 98.92 | -10.96 |
| Jun-76 | 98.38 | -2.91 |
| Jul-76 | 95 | -5.82 |
| Aug-76 | 87.76 | -13.69 |
| Sep-76 | 82.42 | -16.86 |
| Oct-76 | 89.69 | -9.96 |
| Nov-76 | 81.25 | -31.15 |
| Dec-76 | 108.32 | -0.5 |
| Jan-77 | 96.32 | -30.49 |
| Feb-77 | 91.91 | -16.07 |
| Mar-77 | 90.16 | -12.56 |
| Apr-77 | 83.9 | -21.09 |
| May-77 | 78.49 | -21.64 |
| Jun-77 | 83.58 | -23.28 |
| Jul-77 | 87.63 | -15.05 |
| Aug-77 | 93.47 | -17.03 |
| Sep-77 | 95.08 | -13.12 |
| Oct-77 | 95.02 | -14.48 |
| Nov-77 | 94.61 | -12.66 |
| Dec-77 | 79.88 | -32.49 |
| Jan-78 | 76.01 | -33.66 |
| Feb-78 | 72.06 | -33.32 |
| Mar-78 | 72.32 | -34.25 |
| Apr-78 | 73.57 | -28.46 |
| May-78 | 77.41 | -25.59 |
| Jun-78 | 62.28 | -45.26 |
| Jul-78 | 62.05 | -35.72 |
| Aug-78 | 60.26 | -38.9 |
| Sep-78 | 63.87 | -32.37 |
| Oct-78 | 55.58 | -52.49 |
| Nov-78 | 65.62 | -28.06 |
| Dec-78 | 63.73 | -43.18 |
| Jan-79 | 68.34 | -29.97 |
| Feb-79 | 65.92 | -34.19 |
| Mar-79 | 65.03 | -18.34 |
| Apr-79 | 64.59 | -23.43 |
| May-79 | 69.69 | -29.44 |
| Jun-79 | 73.64 | -20.26 |
| Jul-79 | 65.37 | -26.29 |
| Aug-79 | 58.01 | -34.66 |
| Sep-79 | 68.51 | -15.97 |
| Oct-79 | 69.76 | -83.95 |
| Nov-79 | 75.89 | -16.38 |
| Dec-79 | 81.95 | 10.42 |
| Jan-80 | 79.69 | -6.69 |
| Feb-80 | 85.6 | -50.94 |
| Mar-80 | 93.75 | 24.69 |
| Apr-80 | 108.1 | -56.59 |
| May-80 | 93.04 | -3 |
| Jun-80 | 90.28 | -5.28 |
| Jul-80 | 93.13 | 11.72 |
| Aug-80 | 84.09 | -0.4 |
| Sep-80 | 89.08 | -6.37 |
| Oct-80 | 84.73 | -19.93 |
| Nov-80 | 97.12 | 28.32 |
| Dec-80 | 107.42 | 1.03 |
| Jan-81 | 105.09 | 34.56 |
| Feb-81 | 86.6 | 10.76 |
| Mar-81 | 83.24 | -2 |
| Apr-81 | 111.97 | 52.9 |
| May-81 | 118.63 | 34.12 |
| Jun-81 | 106.92 | 42.07 |
| Jul-81 | 110.06 | 42.21 |
| Aug-81 | 99.57 | 26.63 |
| Sep-81 | 113.95 | 41.73 |
| Oct-81 | 130.18 | 58.79 |
| Nov-81 | 146.02 | 26.7 |
| Dec-81 | 143.74 | 59.8 |
| Jan-82 | 146.09 | 79.1 |
| Feb-82 | 143.51 | 55.31 |
| Mar-82 | 160.71 | 94.8 |
| Apr-82 | 157.65 | 80.23 |
| May-82 | 145.7 | 76.51 |
| Jun-82 | 149.86 | 72.74 |
| Jul-82 | 159.98 | 72.26 |
| Aug-82 | 168.07 | 3.88 |
| Sep-82 | 159.81 | 51.95 |
| Oct-82 | 172.35 | 22.39 |
| Nov-82 | 153.68 | 53.67 |
| Dec-82 | 155.51 | 75.2 |
| Jan-83 | 122.32 | 38.21 |
| Feb-83 | 126.78 | 33.03 |
| Mar-83 | 98.59 | 22.03 |
| Apr-83 | 91.43 | 11.9 |
| May-83 | 81.93 | -7.42 |
| Jun-83 | 81.96 | 7.5 |
| Jul-83 | 86.78 | -8.09 |
| Aug-83 | 79.04 | -15.84 |
| Sep-83 | 88.21 | -6.44 |
| Oct-83 | 82.48 | -5.94 |
| Nov-83 | 91.15 | 5.76 |
| Dec-83 | 93.65 | 12.44 |
| Jan-84 | 88.48 | 4.19 |
| Feb-84 | 86.01 | -4.68 |
| Mar-84 | 93.24 | 5.78 |
| Apr-84 | 93 | 11.65 |
| May-84 | 73.55 | -25.7 |
| Jun-84 | 74.19 | -1.89 |
| Jul-84 | 90.68 | -11.53 |
| Aug-84 | 89.73 | 19.2 |
| Sep-84 | 88.42 | -3.25 |
| Oct-84 | 91.8 | -21.9 |
| Nov-84 | 90.7 | -9.48 |
| Dec-84 | 88.53 | -5.55 |
| Jan-85 | 99.03 | -7.13 |
| Feb-85 | 88 | -10.44 |
| Mar-85 | 92.34 | 9.51 |
| Apr-85 | 99.4 | -4.79 |
| May-85 | 115.57 | -20.55 |
| Jun-85 | 113.15 | 16.77 |
| Jul-85 | 110.98 | 13.94 |
| Aug-85 | 110.74 | 12 |
| Sep-85 | 112.91 | 22.38 |
| Oct-85 | 122.2 | 27.13 |
| Nov-85 | 130.89 | 26.32 |
| Dec-85 | 136.73 | -0.6 |
| Jan-86 | 135.42 | 26.81 |
| Feb-86 | 157.52 | -25.5 |
| Mar-86 | 204.56 | 53.2 |
| Apr-86 | 192.98 | 47.32 |
| May-86 | 160.05 | -0.86 |
| Jun-86 | 190.13 | -0.3 |
| Jul-86 | 205.79 | 67.36 |
| Aug-86 | 222.48 | 61.46 |
| Sep-86 | 187.44 | 26.83 |
| Oct-86 | 190.68 | 48.65 |
| Nov-86 | 202.05 | 57.59 |
| Dec-86 | 191.35 | 59.62 |
| Jan-87 | 175.73 | 43.86 |
| Feb-87 | 186.02 | 48.65 |
| Mar-87 | 178.64 | 37.45 |
| Apr-87 | 165.1 | -44.03 |
| May-87 | 163.79 | 8.98 |
| Jun-87 | 158.78 | 8.43 |
| Jul-87 | 157.93 | 22.15 |
| Aug-87 | 148.98 | 22.55 |
| Sep-87 | 147.47 | 23.19 |
| Oct-87 | 155.83 | -90.77 |
| Nov-87 | 152.36 | 12.15 |
| Dec-87 | 145.34 | -17.67 |
| Jan-88 | 161.72 | -37.97 |
| Feb-88 | 156.66 | 5.53 |
| Mar-88 | 149.13 | -18.78 |
| Apr-88 | 137.54 | -12.6 |
| May-88 | 137.06 | -3.43 |
| Jun-88 | 140.24 | 1.98 |
| Jul-88 | 128.48 | -30.89 |
| Aug-88 | 129.65 | -9.45 |
| Sep-88 | 138.37 | 9.48 |
| Oct-88 | 154.96 | 21.23 |
| Nov-88 | 141.64 | 6.74 |
| Dec-88 | 141.25 | 19.6 |
| Jan-89 | 147.35 | 16 |
| Feb-89 | 137.8 | 7.28 |
| Mar-89 | 147.32 | 34.53 |
| Apr-89 | 155.65 | 48.11 |
| May-89 | 162.25 | 26.43 |
| Jun-89 | 174.02 | 46.06 |
| Jul-89 | 187.57 | 71.93 |
| Aug-89 | 165.5 | 38.91 |
| Sep-89 | 151.05 | 45.62 |
| Oct-89 | 162.31 | 46.13 |
| Nov-89 | 163.45 | 62.66 |
| Dec-89 | 154.46 | 51.07 |
| Jan-90 | 143.23 | 22.09 |
| Feb-90 | 140.99 | 36.55 |
| Mar-90 | 144.22 | 42.38 |
| Apr-90 | 124.39 | 7.63 |
| May-90 | 116.1 | 5.51 |
| Jun-90 | 118.95 | 17.37 |
| Jul-90 | 118.01 | 14.59 |
| Aug-90 | 111.95 | -15.37 |
| Sep-90 | 114.07 | 6.2 |
| Oct-90 | 143.63 | 25.6 |
| Nov-90 | 157.47 | 35.44 |
| Dec-90 | 161.53 | 35.5 |
| Jan-91 | 163.79 | 39.13 |
| Feb-91 | 145.28 | 30.21 |
| Mar-91 | 143.67 | 25.66 |
| Apr-91 | 141.01 | 19.99 |
| May-91 | 136.04 | 20.11 |
| Jun-91 | 132.54 | 8.94 |
| Jul-91 | 143.48 | 21.35 |
| Aug-91 | 132.99 | 13.68 |
| Sep-91 | 142.2 | 15.67 |
| Oct-91 | 139.87 | 16.22 |
| Nov-91 | 138.75 | 18.94 |
| Dec-91 | 156.84 | 20.06 |
| Jan-92 | 136.81 | 7.54 |
| Feb-92 | 130.03 | 12.23 |
| Mar-92 | 123.93 | 7.55 |
| Apr-92 | 124.3 | 7.04 |
| May-92 | 124.76 | 3.07 |
| Jun-92 | 121.81 | 1.3 |
| Jul-92 | 128.39 | -6.74 |
| Aug-92 | 144.4 | 10.97 |
| Sep-92 | 155.79 | 21.74 |
| Oct-92 | 143.1 | 13.41 |
| Nov-92 | 130.51 | 10.31 |
| Dec-92 | 138.19 | 14.95 |
| Jan-93 | 140.95 | 11.2 |
| Feb-93 | 144.06 | 8.4 |
| Mar-93 | 139.21 | 6.79 |
| Apr-93 | 143.33 | 8.01 |
| May-93 | 135.5 | 5.24 |
| Jun-93 | 133.56 | -3.74 |
| Jul-93 | 131.6 | -4.03 |
| Aug-93 | 139.65 | -5.74 |
| Sep-93 | 142.38 | 4.5 |
| Oct-93 | 137.02 | -3.22 |
| Nov-93 | 130.16 | -10.9 |
| Dec-93 | 128.01 | -13.93 |
| Jan-94 | 123.84 | -21.86 |
| Feb-94 | 113.95 | -42.35 |
| Mar-94 | 121.94 | -30.45 |
| Apr-94 | 122.04 | -26.74 |
| May-94 | 124.71 | -27.86 |
| Jun-94 | 120.24 | -32.63 |
| Jul-94 | 120.39 | -29.26 |
| Aug-94 | 118.4 | -25 |
| Sep-94 | 116.03 | -38.93 |
| Oct-94 | 118.63 | -28.99 |
| Nov-94 | 123.93 | -24.21 |
| Dec-94 | 127.72 | -18.85 |
| Jan-95 | 127.32 | -23.54 |
| Feb-95 | 123.87 | -26.91 |
| Mar-95 | 124.39 | -27.4 |
| Apr-95 | 121.12 | -22.37 |
| May-95 | 132.74 | -33.38 |
| Jun-95 | 134.89 | -13.22 |
| Jul-95 | 127.1 | -31.11 |
| Aug-95 | 128.88 | -19.92 |
| Sep-95 | 127.9 | -16.61 |
| Oct-95 | 136.37 | -12.81 |
| Nov-95 | 141.64 | -3.84 |
| Dec-95 | 143.61 | -4.48 |
| Jan-96 | 142.18 | -9.21 |
| Feb-96 | 132.2 | -33.02 |
| Mar-96 | 128.24 | -34.2 |
| Apr-96 | 127.32 | -29.08 |
| May-96 | 122.33 | -31.49 |
| Jun-96 | 128.23 | -27.46 |
| Jul-96 | 129.76 | -32.65 |
| Aug-96 | 126.98 | -39.92 |
| Sep-96 | 124.95 | -39.09 |
| Oct-96 | 129.75 | -33.27 |
| Nov-96 | 134.62 | -29.63 |
| Dec-96 | 127.03 | -40.8 |
| Jan-97 | 128.45 | -30.78 |
| Feb-97 | 119.11 | -45.44 |
| Mar-97 | 120.45 | -48.17 |
| Apr-97 | 123.06 | -41.17 |
| May-97 | 115.77 | -43.27 |
| Jun-97 | 116.04 | -52.3 |
| Jul-97 | 121.62 | -49.87 |
| Aug-97 | 116.17 | -48.45 |
| Sep-97 | 116.97 | -54.57 |
| Oct-97 | 133.87 | -39.39 |
| Nov-97 | 132.68 | -32.33 |
| Dec-97 | 132.49 | -40.23 |
| Jan-98 | 138.64 | -34.18 |
| Feb-98 | 134.06 | -32.27 |
| Mar-98 | 132.75 | -36.93 |
| Apr-98 | 121.95 | -44.94 |
| May-98 | 122.8 | -39.8 |
| Jun-98 | 132.35 | -38.3 |
| Jul-98 | 138.34 | -32.94 |
| Aug-98 | 202.75 | 3.48 |
| Sep-98 | 213.65 | 1.11 |
| Oct-98 | 228.47 | 13.41 |
| Nov-98 | 202.06 | 15.62 |
| Dec-98 | 198.51 | 1.03 |
| Jan-99 | 194.7 | 1.51 |
| Feb-99 | 180.85 | -23.34 |
| Mar-99 | 170.6 | -18.76 |
| Apr-99 | 164.2 | -23.85 |
| May-99 | 168.3 | -23.47 |
| Jun-99 | 171.41 | -18.27 |
| Jul-99 | 177.99 | -13.3 |
| Aug-99 | 199 | -9.07 |
| Sep-99 | 204.17 | 4.95 |
| Oct-99 | 211.43 | 5.57 |
| Nov-99 | 206.21 | 1.6 |
| Dec-99 | 188.79 | -21.08 |
| Jan-00 | 197.53 | -3.49 |
| Feb-00 | 213.92 | 1.98 |
| Mar-00 | 248.99 | 25.62 |
| Apr-00 | 264.73 | 41.7 |
| May-00 | 282.68 | 60.71 |
| Jun-00 | 282.58 | 65.38 |
| Jul-00 | 294.52 | 71.44 |
| Aug-00 | 308 | 87.96 |
| Sep-00 | 321.22 | 97.2 |
| Oct-00 | 368.46 | 137.15 |
| Nov-00 | 379.8 | 144.73 |
| Dec-00 | 381.28 | 144.62 |
| 1-Jan | 341.64 | 103.36 |
| 1-Feb | 332.15 | 106.85 |
| 1-Mar | 328.5 | 102.08 |
| 1-Apr | 320.64 | 83.99 |
| 1-May | 300.04 | 68.51 |
| 1-Jun | 308.37 | 92.2 |
| 1-Jul | 302.94 | 66.79 |
| 1-Aug | 301.66 | 65.22 |
| 1-Sep | 351.11 | 111.94 |
| 1-Oct | 340.63 | 92.25 |
| 1-Nov | 296.31 | -28.96 |
| 1-Dec | 288.19 | 33.92 |
| 2-Jan | 291.88 | 50.27 |
| 2-Feb | 292.79 | 70.17 |
| 2-Mar | 258.25 | 19.03 |
| 2-Apr | 263.11 | 34.32 |
| 2-May | 271.76 | 45.74 |
| 2-Jun | 324.65 | 87.28 |
| 2-Jul | 403.07 | 144.6 |
| 2-Aug | 393.64 | 135.38 |
| 2-Sep | 427.26 | 150.92 |
| 2-Oct | 433.66 | 131.77 |
| 2-Nov | 379.84 | 97.16 |
| 2-Dec | 368.62 | 81.68 |
| 3-Jan | 358.95 | 79.99 |
| 3-Feb | 343.07 | 55.94 |
| 3-Mar | 318 | 2.18 |
| 3-Apr | 270.04 | -0.99 |
| 3-May | 277.39 | -67.77 |
| 3-Jun | 251.43 | -47.57 |
| 3-Jul | 241.81 | -119.17 |
| 3-Aug | 237.33 | -22.97 |
| 3-Sep | 239.86 | -63.63 |
| 3-Oct | 208.42 | -55.17 |
| 3-Nov | 199.07 | -57.41 |
| 3-Dec | 190.53 | -51.8 |
| 4-Jan | 178.53 | -74.35 |
| 4-Feb | 190.72 | -34.41 |
| 4-Mar | 192.79 | -54.27 |
| 4-Apr | 175.38 | -77.57 |
| 4-May | 190.35 | -37.26 |
| 4-Jun | 180.68 | -38.45 |
| 4-Jul | 174.52 | -32.25 |
| 4-Aug | 186.8 | -45.43 |
| 4-Sep | 175.43 | -59.73 |
| 4-Oct | 175.14 | -56.36 |
| 4-Nov | 154.09 | -68.87 |
| 4-Dec | 147.18 | -75.56 |
| 5-Jan | 169.67 | -76.04 |
| 5-Feb | 154.16 | -101.76 |
| 5-Mar | 183.92 | -72.75 |
| 5-Apr | 211.09 | -52.45 |
| 5-May | 208.93 | -41.81 |
| 5-Jun | 192.53 | -58.92 |
| 5-Jul | 167.18 | -68.6 |
| 5-Aug | 178.27 | -70.27 |
| 5-Sep | 180.16 | -57.66 |
| 5-Oct | 186.57 | -47.47 |
| 5-Nov | 186.61 | -44.78 |
| 5-Dec | 193.34 | -44.07 |
| 6-Jan | 178.54 | -48.39 |
| 6-Feb | 172.51 | -44.75 |
| 6-Mar | 170.35 | -51.93 |
| 6-Apr | 161.45 | -54.21 |
| 6-May | 163.75 | -43.01 |
| 6-Jun | 172.88 | -48.6 |
| 6-Jul | 177.49 | -39.04 |
| 6-Aug | 178.55 | -41.43 |
| 6-Sep | 179.22 | -49.74 |
| 6-Oct | 169.65 | -51.5 |
| 6-Nov | 167.91 | -48.48 |
| 6-Dec | 158.21 | -60.52 |
| 7-Jan | 148.77 | -65.01 |
| 7-Feb | 150.63 | -68.5 |
| 7-Mar | 157.83 | -45.39 |
| 7-Apr | 154.32 | -45.27 |
| 7-May | 146.23 | -69.1 |
| 7-Jun | 161.44 | -48.22 |
| 7-Jul | 211.57 | -9.94 |
| 7-Aug | 227.18 | 2.49 |
| 7-Sep | 223.37 | -5.15 |
| 7-Oct | 217.21 | -14.73 |
| 7-Nov | 274.13 | 17.62 |
| 7-Dec | 282.51 | 32.85 |
| 8-Jan | 323.76 | 55.78 |
| 8-Feb | 349.96 | 77.11 |
| 8-Mar | 373.47 | 97.71 |
| 8-Apr | 321.62 | 48.93 |
| 8-May | 306.79 | 53.61 |
| 8-Jun | 339.18 | 60.74 |
| 8-Jul | 362.21 | 87.23 |
| 8-Aug | 373.49 | 102.6 |
| 8-Sep | 473.69 | 150.59 |
| 8-Oct | 705.66 | 291.02 |
| 8-Nov | 775.84 | 226.49 |
| 8-Dec | 751.88 | 240.11 |
| 9-Jan | 627.18 | 221.57 |
| 9-Feb | 611.18 | 275.61 |
| 9-Mar | 622.84 | 224.02 |
| 9-Apr | 531.72 | 192.17 |
| 9-May | 473.67 | 106.88 |
| 9-Jun | 410.25 | 66.84 |
| 9-Jul | 348.93 | 9.77 |
| 9-Aug | 328.22 | -16.02 |
| 9-Sep | 293.53 | -12.43 |
| 9-Oct | 282.48 | -30.88 |
| 9-Nov | 281.96 | -14.68 |
| 9-Dec | 239.51 | -59.85 |
| 10-Jan | 239.19 | -26.4 |
| 10-Feb | 241.82 | -4.32 |
| 10-Mar | 221.56 | -16.75 |
| 10-Apr | 209.96 | -30.24 |
| 10-May | 255.23 | -23.88 |
| 10-Jun | 267.94 | -9.66 |
| 10-Jul | 252.15 | 9.38 |
| 10-Aug | 266.96 | -49.96 |
| 10-Sep | 251.17 | -11.67 |
| 10-Oct | 239.2 | -5.11 |
| 10-Nov | 238.5 | -19.32 |
| 10-Dec | 220.87 | -45.49 |
| 11-Jan | 210.63 | 2.71 |
| 11-Feb | 198.63 | -25.53 |
| 11-Mar | 194.73 | -29.37 |
| 11-Apr | 194.56 | -25.62 |
| 11-May | 203.83 | -13.57 |
| 11-Jun | 212.1 | -0.28 |
| 11-Jul | 218.27 | -8.22 |
| 11-Aug | 277.37 | -27.14 |
| 11-Sep | 305.83 | 20.82 |
| 11-Oct | 276.43 | -32.4 |
| 11-Nov | 294.2 | 32.6 |
| 11-Dec | 284.27 | 6.89 |
| 12-Jan | 271.64 | -1.75 |
| 12-Feb | 245.92 | -11.3 |
| 12-Mar | 239.24 | -53.72 |
| 12-Apr | 249.78 | -35.81 |
| 12-May | 276.39 | -36.78 |
| 12-Jun | 271.81 | -5.54 |
| 12-Jul | 255.98 | -24.29 |
| 12-Aug | 249.04 | -44.88 |
| 12-Sep | 236.17 | -34.77 |
| 12-Oct | 220.41 | -34.87 |
| 12-Nov | 230.24 | -20.29 |
| 12-Dec | 220.75 | -29.74 |
| 13-Jan | 209.33 | -18.26 |
| 13-Feb | 212.77 | -13.59 |
| 13-Mar | 210.9 | -19.24 |
| 13-Apr | 205.02 | -23.19 |
| 13-May | 196.69 | -61.27 |
| 13-Jun | 214.77 | -46.95 |
| 13-Jul | 201.19 | -3.21 |
| 13-Aug | 198.38 | -15.14 |
| 13-Sep | 203.83 | -16.24 |
| 13-Oct | 195.08 | -3.76 |
| 13-Nov | 189.89 | 1.59 |
| 13-Dec | 176.4 | -9.83 |
| 14-Jan | 180.28 | -31.25 |
| 14-Feb | 170.54 | -20.1 |
| 14-Mar | 165.65 | -26.67 |
| 14-Apr | 158.16 | -37.25 |
| 14-May | 157.94 | -40.07 |
| 14-Jun | 156.06 | -32.22 |
| 14-Jul | 159.95 | -34.39 |
| 14-Aug | 159.15 | -36.11 |
| 14-Sep | 171.98 | -27.37 |
| 14-Oct | 184.17 | -28.76 |
| 14-Nov | 198.28 | -3.58 |
| 14-Dec | 208.31 | -2.33 |
| 15-Jan | 207.09 | -28.39 |
| 15-Feb | 191.48 | -41.78 |
| 15-Mar | 202.75 | -26.6 |
| 15-Apr | 198.99 | -8.14 |
| 15-May | 197.91 | -3.15 |
| 15-Jun | 213.04 | 11.58 |
| 15-Jul | 222.84 | 11.83 |
| 15-Aug | 238.78 | 31.68 |
| 15-Sep | 254.93 | 38.03 |
| 15-Oct | 226.1 | 27.74 |
| 15-Nov | 235.51 | 39.09 |
| 15-Dec | 250.17 | 42.09 |
| 16-Jan | 298.41 | 73.17 |
| 16-Feb | 304.67 | 77.98 |
| 16-Mar | 266.53 | 29.29 |
Figure 2: Recession Risk and the Excess Bond Premium
Note: Sample period: monthly data from January 1973 to March 2016. The solid line depicts the in-sample probability of an NBER-dated recession occurring at any point over the subsequent 12 months, implied by the probit specification in column 4 of Table 1; the dotted black line denotes the unconditional probability of entering into a recession at any point over the subsequent 12 months. Shaded vertical bars represent the actual NBER-dated recessions.
Sources: Authors' calculations (see the text and notes to Figure 1 for details).
| Date | Probability of recession |
|---|---|
| Jan-73 | 21.05 |
| Feb-73 | 20.24 |
| Mar-73 | 17.19 |
| Apr-73 | 15.49 |
| May-73 | 18.4 |
| Jun-73 | 21.33 |
| Jul-73 | 9.98 |
| Aug-73 | 13.96 |
| Sep-73 | 10.61 |
| Oct-73 | 25.05 |
| Nov-73 | 21.7 |
| Dec-73 | 19.46 |
| Jan-74 | 18.66 |
| Feb-74 | 26.21 |
| Mar-74 | 15.99 |
| Apr-74 | 21.29 |
| May-74 | 21.62 |
| Jun-74 | 46.61 |
| Jul-74 | 68.71 |
| Aug-74 | 51.6 |
| Sep-74 | 55.18 |
| Oct-74 | 56.24 |
| Nov-74 | 59.94 |
| Dec-74 | 66.2 |
| Jan-75 | 33.89 |
| Feb-75 | 35.03 |
| Mar-75 | 43.46 |
| Apr-75 | 26.75 |
| May-75 | 33.32 |
| Jun-75 | 28 |
| Jul-75 | 33.55 |
| Aug-75 | 30.41 |
| Sep-75 | 30.52 |
| Oct-75 | 22.84 |
| Nov-75 | 26.78 |
| Dec-75 | 18.55 |
| Jan-76 | 16.52 |
| Feb-76 | 19.38 |
| Mar-76 | 17.73 |
| Apr-76 | 19.47 |
| May-76 | 17.18 |
| Jun-76 | 19.83 |
| Jul-76 | 18.85 |
| Aug-76 | 16.33 |
| Sep-76 | 15.38 |
| Oct-76 | 17.49 |
| Nov-76 | 11.56 |
| Dec-76 | 20.67 |
| Jan-77 | 11.72 |
| Feb-77 | 15.61 |
| Mar-77 | 16.68 |
| Apr-77 | 14.17 |
| May-77 | 14.02 |
| Jun-77 | 13.57 |
| Jul-77 | 15.92 |
| Aug-77 | 15.33 |
| Sep-77 | 16.5 |
| Oct-77 | 16.09 |
| Nov-77 | 16.65 |
| Dec-77 | 11.24 |
| Jan-78 | 10.97 |
| Feb-78 | 11.05 |
| Mar-78 | 10.83 |
| Apr-78 | 12.22 |
| May-78 | 12.96 |
| Jun-78 | 8.51 |
| Jul-78 | 10.5 |
| Aug-78 | 9.8 |
| Sep-78 | 11.27 |
| Oct-78 | 7.2 |
| Nov-78 | 12.32 |
| Dec-78 | 8.91 |
| Jan-79 | 11.85 |
| Feb-79 | 10.85 |
| Mar-79 | 14.95 |
| Apr-79 | 13.53 |
| May-79 | 11.98 |
| Jun-79 | 14.4 |
| Jul-79 | 12.78 |
| Aug-79 | 10.74 |
| Sep-79 | 15.64 |
| Oct-79 | 3.21 |
| Nov-79 | 15.52 |
| Dec-79 | 24.74 |
| Jan-80 | 18.56 |
| Feb-80 | 7.46 |
| Mar-80 | 30.64 |
| Apr-80 | 6.53 |
| May-80 | 19.8 |
| Jun-80 | 19.03 |
| Jul-80 | 25.25 |
| Aug-80 | 20.71 |
| Sep-80 | 18.66 |
| Oct-80 | 14.5 |
| Nov-80 | 32.24 |
| Dec-80 | 21.22 |
| Jan-81 | 35.06 |
| Feb-81 | 24.88 |
| Mar-81 | 20.15 |
| Apr-81 | 43.77 |
| May-81 | 34.86 |
| Jun-81 | 38.56 |
| Jul-81 | 38.63 |
| Aug-81 | 31.49 |
| Sep-81 | 38.4 |
| Oct-81 | 46.66 |
| Nov-81 | 31.52 |
| Dec-81 | 47.16 |
| Jan-82 | 56.65 |
| Feb-82 | 44.95 |
| Mar-82 | 64.13 |
| Apr-82 | 57.2 |
| May-82 | 55.39 |
| Jun-82 | 53.54 |
| Jul-82 | 53.3 |
| Aug-82 | 22.26 |
| Sep-82 | 43.31 |
| Oct-82 | 29.65 |
| Nov-82 | 44.15 |
| Dec-82 | 54.75 |
| Jan-83 | 36.75 |
| Feb-83 | 34.36 |
| Mar-83 | 29.5 |
| Apr-83 | 25.33 |
| May-83 | 18.32 |
| Jun-83 | 23.62 |
| Jul-83 | 18.1 |
| Aug-83 | 15.68 |
| Sep-83 | 18.64 |
| Oct-83 | 18.81 |
| Nov-83 | 22.96 |
| Dec-83 | 25.54 |
| Jan-84 | 22.37 |
| Feb-84 | 19.23 |
| Mar-84 | 22.96 |
| Apr-84 | 25.23 |
| May-84 | 12.93 |
| Jun-84 | 20.19 |
| Jul-84 | 17 |
| Aug-84 | 28.3 |
| Sep-84 | 19.72 |
| Oct-84 | 13.95 |
| Nov-84 | 17.65 |
| Dec-84 | 18.94 |
| Jan-85 | 18.41 |
| Feb-85 | 17.34 |
| Mar-85 | 24.39 |
| Apr-85 | 19.19 |
| May-85 | 14.32 |
| Jun-85 | 27.29 |
| Jul-85 | 26.14 |
| Aug-85 | 25.37 |
| Sep-85 | 29.65 |
| Oct-85 | 31.71 |
| Nov-85 | 31.36 |
| Dec-85 | 20.64 |
| Jan-86 | 31.57 |
| Feb-86 | 12.98 |
| Mar-86 | 43.92 |
| Apr-86 | 41.07 |
| May-86 | 20.55 |
| Jun-86 | 20.75 |
| Jul-86 | 50.89 |
| Aug-86 | 47.97 |
| Sep-86 | 31.58 |
| Oct-86 | 41.71 |
| Nov-86 | 46.07 |
| Dec-86 | 47.07 |
| Jan-87 | 39.41 |
| Feb-87 | 41.71 |
| Mar-87 | 36.39 |
| Apr-87 | 8.75 |
| May-87 | 24.18 |
| Jun-87 | 23.97 |
| Jul-87 | 29.55 |
| Aug-87 | 29.72 |
| Sep-87 | 30 |
| Oct-87 | 2.65 |
| Nov-87 | 25.43 |
| Dec-87 | 15.14 |
| Jan-88 | 10 |
| Feb-88 | 22.87 |
| Mar-88 | 14.82 |
| Apr-88 | 16.66 |
| May-88 | 19.65 |
| Jun-88 | 21.56 |
| Jul-88 | 11.63 |
| Aug-88 | 17.66 |
| Sep-88 | 24.38 |
| Oct-88 | 29.16 |
| Nov-88 | 23.33 |
| Dec-88 | 28.47 |
| Jan-89 | 26.98 |
| Feb-89 | 23.53 |
| Mar-89 | 35.04 |
| Apr-89 | 41.45 |
| May-89 | 31.4 |
| Jun-89 | 40.46 |
| Jul-89 | 53.14 |
| Aug-89 | 37.07 |
| Sep-89 | 40.25 |
| Oct-89 | 40.5 |
| Nov-89 | 48.57 |
| Dec-89 | 42.88 |
| Jan-90 | 29.52 |
| Feb-90 | 35.97 |
| Mar-90 | 38.71 |
| Apr-90 | 23.66 |
| May-90 | 22.86 |
| Jun-90 | 27.54 |
| Jul-90 | 26.4 |
| Aug-90 | 15.82 |
| Sep-90 | 23.12 |
| Oct-90 | 31.04 |
| Nov-90 | 35.46 |
| Dec-90 | 35.49 |
| Jan-91 | 37.18 |
| Feb-91 | 33.08 |
| Mar-91 | 31.07 |
| Apr-91 | 28.63 |
| May-91 | 28.68 |
| Jun-91 | 24.17 |
| Jul-91 | 29.21 |
| Aug-91 | 26.04 |
| Sep-91 | 26.84 |
| Oct-91 | 27.07 |
| Nov-91 | 28.19 |
| Dec-91 | 28.66 |
| Jan-92 | 23.63 |
| Feb-92 | 25.46 |
| Mar-92 | 23.63 |
| Apr-92 | 23.44 |
| May-92 | 21.96 |
| Jun-92 | 21.32 |
| Jul-92 | 18.54 |
| Aug-92 | 24.96 |
| Sep-92 | 29.37 |
| Oct-92 | 25.93 |
| Nov-92 | 24.7 |
| Dec-92 | 26.55 |
| Jan-93 | 25.05 |
| Feb-93 | 23.96 |
| Mar-93 | 23.35 |
| Apr-93 | 23.81 |
| May-93 | 22.76 |
| Jun-93 | 19.55 |
| Jul-93 | 19.45 |
| Aug-93 | 18.87 |
| Sep-93 | 22.49 |
| Oct-93 | 19.73 |
| Nov-93 | 17.19 |
| Dec-93 | 16.26 |
| Jan-94 | 13.96 |
| Feb-94 | 9.08 |
| Mar-94 | 11.73 |
| Apr-94 | 12.66 |
| May-94 | 12.38 |
| Jun-94 | 11.21 |
| Jul-94 | 12.02 |
| Aug-94 | 13.11 |
| Sep-94 | 9.79 |
| Oct-94 | 12.09 |
| Nov-94 | 13.32 |
| Dec-94 | 14.8 |
| Jan-95 | 13.5 |
| Feb-95 | 12.62 |
| Mar-95 | 12.49 |
| Apr-95 | 13.82 |
| May-95 | 11.03 |
| Jun-95 | 16.47 |
| Jul-95 | 11.57 |
| Aug-95 | 14.5 |
| Sep-95 | 15.45 |
| Oct-95 | 16.6 |
| Nov-95 | 19.51 |
| Dec-95 | 19.3 |
| Jan-96 | 17.73 |
| Feb-96 | 11.12 |
| Mar-96 | 10.84 |
| Apr-96 | 12.07 |
| May-96 | 11.48 |
| Jun-96 | 12.48 |
| Jul-96 | 11.2 |
| Aug-96 | 9.58 |
| Sep-96 | 9.76 |
| Oct-96 | 11.06 |
| Nov-96 | 11.93 |
| Dec-96 | 9.4 |
| Jan-97 | 11.65 |
| Feb-97 | 8.47 |
| Mar-97 | 7.96 |
| Apr-97 | 9.32 |
| May-97 | 8.9 |
| Jun-97 | 7.23 |
| Jul-97 | 7.65 |
| Aug-97 | 7.91 |
| Sep-97 | 6.85 |
| Oct-97 | 9.69 |
| Nov-97 | 11.28 |
| Dec-97 | 9.52 |
| Jan-98 | 10.85 |
| Feb-98 | 11.29 |
| Mar-98 | 10.23 |
| Apr-98 | 8.57 |
| May-98 | 9.61 |
| Jun-98 | 9.93 |
| Jul-98 | 11.14 |
| Aug-98 | 22.11 |
| Sep-98 | 21.25 |
| Oct-98 | 25.93 |
| Nov-98 | 26.82 |
| Dec-98 | 21.22 |
| Jan-99 | 21.39 |
| Feb-99 | 13.56 |
| Mar-99 | 14.83 |
| Apr-99 | 13.42 |
| May-99 | 13.52 |
| Jun-99 | 14.97 |
| Jul-99 | 16.45 |
| Aug-99 | 17.78 |
| Sep-99 | 22.65 |
| Oct-99 | 22.89 |
| Nov-99 | 21.42 |
| Dec-99 | 14.17 |
| Jan-00 | 19.63 |
| Feb-00 | 21.56 |
| Mar-00 | 31.05 |
| Apr-00 | 38.38 |
| May-00 | 47.6 |
| Jun-00 | 49.91 |
| Jul-00 | 52.9 |
| Aug-00 | 60.92 |
| Sep-00 | 65.23 |
| Oct-00 | 81.22 |
| Nov-00 | 83.64 |
| Dec-00 | 83.61 |
| 1-Jan | 68.01 |
| 1-Feb | 69.53 |
| 1-Mar | 67.44 |
| 1-Apr | 59.02 |
| 1-May | 51.45 |
| 1-Jun | 62.92 |
| 1-Jul | 50.61 |
| 1-Aug | 49.83 |
| 1-Sep | 71.7 |
| 1-Oct | 62.94 |
| 1-Nov | 12.1 |
| 1-Dec | 34.76 |
| 2-Jan | 42.49 |
| 2-Feb | 52.27 |
| 2-Mar | 28.23 |
| 2-Apr | 34.95 |
| 2-May | 40.31 |
| 2-Jun | 60.6 |
| 2-Jul | 83.6 |
| 2-Aug | 80.63 |
| 2-Sep | 85.46 |
| 2-Oct | 79.38 |
| 2-Nov | 65.21 |
| 2-Dec | 57.91 |
| 3-Jan | 57.09 |
| 3-Feb | 45.26 |
| 3-Mar | 21.63 |
| 3-Apr | 20.5 |
| 3-May | 4.94 |
| 3-Jun | 8.07 |
| 3-Jul | 1.11 |
| 3-Aug | 13.66 |
| 3-Sep | 5.49 |
| 3-Oct | 6.75 |
| 3-Nov | 6.4 |
| 3-Dec | 7.31 |
| 4-Jan | 4.16 |
| 4-Feb | 10.79 |
| 4-Mar | 6.9 |
| 4-Apr | 3.82 |
| 4-May | 10.15 |
| 4-Jun | 9.9 |
| 4-Jul | 11.3 |
| 4-Aug | 8.47 |
| 4-Sep | 6.05 |
| 4-Oct | 6.56 |
| 4-Nov | 4.8 |
| 4-Dec | 4.03 |
| 5-Jan | 3.98 |
| 5-Feb | 1.92 |
| 5-Mar | 4.34 |
| 5-Apr | 7.2 |
| 5-May | 9.19 |
| 5-Jun | 6.17 |
| 5-Jul | 4.84 |
| 5-Aug | 4.63 |
| 5-Sep | 6.36 |
| 5-Oct | 8.09 |
| 5-Nov | 8.6 |
| 5-Dec | 8.74 |
| 6-Jan | 7.92 |
| 6-Feb | 8.6 |
| 6-Mar | 7.29 |
| 6-Apr | 6.91 |
| 6-May | 8.95 |
| 6-Jun | 7.88 |
| 6-Jul | 9.77 |
| 6-Aug | 9.27 |
| 6-Sep | 7.68 |
| 6-Oct | 7.37 |
| 6-Nov | 7.9 |
| 6-Dec | 5.93 |
| 7-Jan | 5.3 |
| 7-Feb | 4.85 |
| 7-Mar | 8.48 |
| 7-Apr | 8.5 |
| 7-May | 4.78 |
| 7-Jun | 7.95 |
| 7-Jul | 17.5 |
| 7-Aug | 21.75 |
| 7-Sep | 19.07 |
| 7-Oct | 16.01 |
| 7-Nov | 27.64 |
| 7-Dec | 34.28 |
| 8-Jan | 45.18 |
| 8-Feb | 55.68 |
| 8-Mar | 65.47 |
| 8-Apr | 41.84 |
| 8-May | 44.12 |
| 8-Jun | 47.62 |
| 8-Jul | 60.57 |
| 8-Aug | 67.67 |
| 8-Sep | 85.37 |
| 8-Oct | 99.74 |
| 8-Nov | 97.68 |
| 8-Dec | 98.46 |
| 9-Jan | 97.33 |
| 9-Feb | 99.53 |
| 9-Mar | 97.51 |
| 9-Apr | 94.15 |
| 9-May | 69.55 |
| 9-Jun | 50.63 |
| 9-Jul | 24.49 |
| 9-Aug | 15.63 |
| 9-Sep | 16.72 |
| 9-Oct | 11.63 |
| 9-Nov | 16.03 |
| 9-Dec | 6.03 |
| 10-Jan | 12.75 |
| 10-Feb | 19.35 |
| 10-Mar | 15.41 |
| 10-Apr | 11.78 |
| 10-May | 13.41 |
| 10-Jun | 17.59 |
| 10-Jul | 24.34 |
| 10-Aug | 7.64 |
| 10-Sep | 16.95 |
| 10-Oct | 19.08 |
| 10-Nov | 14.67 |
| 10-Dec | 8.46 |
| 11-Jan | 21.83 |
| 11-Feb | 12.97 |
| 11-Mar | 12 |
| 11-Apr | 12.95 |
| 11-May | 16.37 |
| 11-Jun | 20.75 |
| 11-Jul | 18.05 |
| 11-Aug | 12.56 |
| 11-Sep | 28.98 |
| 11-Oct | 11.26 |
| 11-Nov | 34.16 |
| 11-Dec | 23.38 |
| 12-Jan | 20.24 |
| 12-Feb | 17.07 |
| 12-Mar | 6.99 |
| 12-Apr | 10.48 |
| 12-May | 10.26 |
| 12-Jun | 18.94 |
| 12-Jul | 13.3 |
| 12-Aug | 8.58 |
| 12-Sep | 10.71 |
| 12-Oct | 10.69 |
| 12-Nov | 14.4 |
| 12-Dec | 11.91 |
| 13-Jan | 14.97 |
| 13-Feb | 16.36 |
| 13-Mar | 14.69 |
| 13-Apr | 13.6 |
| 13-May | 5.82 |
| 13-Jun | 8.18 |
| 13-Jul | 19.73 |
| 13-Aug | 15.89 |
| 13-Sep | 15.56 |
| 13-Oct | 19.54 |
| 13-Nov | 21.42 |
| 13-Dec | 17.53 |
| 14-Jan | 11.54 |
| 14-Feb | 14.45 |
| 14-Mar | 12.68 |
| 14-Apr | 10.16 |
| 14-May | 9.55 |
| 14-Jun | 11.31 |
| 14-Jul | 10.8 |
| 14-Aug | 10.41 |
| 14-Sep | 12.5 |
| 14-Oct | 12.15 |
| 14-Nov | 19.6 |
| 14-Dec | 20.03 |
| 15-Jan | 12.24 |
| 15-Feb | 9.2 |
| 15-Mar | 12.7 |
| 15-Apr | 18.08 |
| 15-May | 19.75 |
| 15-Jun | 25.2 |
| 15-Jul | 25.3 |
| 15-Aug | 33.75 |
| 15-Sep | 36.66 |
| 15-Oct | 31.98 |
| 15-Nov | 37.16 |
| 15-Dec | 38.57 |
| 16-Jan | 53.75 |
| 16-Feb | 56.11 |
| 16-Mar | 32.67 |