Accessible Version
Accessible Version
Figure 1
Top-left panel
Credit risk premium
| Period | Percent |
|---|---|
| 1983 | 4.48 |
| 1984 | 0.59 |
| 1985 | 2.96 |
| 1986 | 6.88 |
| 1987 | 2.08 |
| 1988 | -8.07 |
| 1989 | -2.10 |
| 1990 | 22.22 |
| 1991 | 18.69 |
| 1992 | -0.05 |
| 1993 | -6.44 |
| 1994 | -8.51 |
| 1995 | 0.02 |
| 1996 | -8.49 |
| 1997 | -8.37 |
| 1998 | -0.16 |
| 1999 | -2.87 |
| 2000 | 15.45 |
| 2001 | 12.73 |
| 2002 | 14.56 |
| 2003 | -3.65 |
| 2004 | -7.96 |
| 2005 | -0.78 |
| 2006 | -5.31 |
| 2007 | 6.21 |
| 2008 | 52.54 |
| 2009 | 3.45 |
| 2010 | 1.12 |
| 2011 | 14.41 |
| 2012 | 6.95 |
| 2013 | -1.55 |
Note: This figure plots an estimate of the forward-looking credit risk premium, following the approach of Greenwood and Hanson (2013). The estimate is based on the fitted value from a regression of a 2-year-ahead excess return on high-yield bonds (relative to Treasury securities) on the log of the high-yield share and on the Baa credit spread.
The average credit risk premium over 1983 through 2013 is plotted as a horizontal line at 3.90 percent.
Source: Greenwood and Hanson (2013).
Top-right panel
Term premium
| Period | Percentage points |
|---|---|
| January 1983 | 3.89 |
| February 1983 | 3.55 |
| March 1983 | 3.51 |
| April 1983 | 3.47 |
| May 1983 | 3.64 |
| June 1983 | 3.67 |
| July 1983 | 4.05 |
| August 1983 | 4.11 |
| September 1983 | 3.99 |
| October 1983 | 4.21 |
| November 1983 | 4.03 |
| December 1983 | 4.12 |
| January 1984 | 4.06 |
| February 1984 | 4.21 |
| March 1984 | 4.38 |
| April 1984 | 4.60 |
| May 1984 | 5.10 |
| June 1984 | 5.06 |
| July 1984 | 4.34 |
| August 1984 | 4.22 |
| September 1984 | 4.15 |
| October 1984 | 3.99 |
| November 1984 | 4.17 |
| December 1984 | 4.33 |
| January 1985 | 4.04 |
| February 1985 | 4.36 |
| March 1985 | 4.26 |
| April 1985 | 4.26 |
| May 1985 | 3.70 |
| June 1985 | 3.84 |
| July 1985 | 3.93 |
| August 1985 | 3.74 |
| September 1985 | 3.79 |
| October 1985 | 3.51 |
| November 1985 | 3.24 |
| December 1985 | 2.80 |
| January 1986 | 2.89 |
| February 1986 | 2.20 |
| March 1986 | 1.92 |
| April 1986 | 2.02 |
| May 1986 | 2.50 |
| June 1986 | 2.20 |
| July 1986 | 2.24 |
| August 1986 | 2.06 |
| September 1986 | 2.42 |
| October 1986 | 2.27 |
| November 1986 | 2.08 |
| December 1986 | 2.03 |
| January 1987 | 1.98 |
| February 1987 | 1.97 |
| March 1987 | 2.10 |
| April 1987 | 2.59 |
| May 1987 | 2.69 |
| June 1987 | 2.73 |
| July 1987 | 2.83 |
| August 1987 | 2.99 |
| September 1987 | 3.28 |
| October 1987 | 3.11 |
| November 1987 | 3.09 |
| December 1987 | 2.94 |
| January 1988 | 2.56 |
| February 1988 | 2.53 |
| March 1988 | 2.79 |
| April 1988 | 2.88 |
| May 1988 | 2.96 |
| June 1988 | 2.70 |
| July 1988 | 2.78 |
| August 1988 | 2.74 |
| September 1988 | 2.49 |
| October 1988 | 2.31 |
| November 1988 | 2.45 |
| December 1988 | 2.47 |
| January 1989 | 2.29 |
| February 1989 | 2.45 |
| March 1989 | 2.33 |
| April 1989 | 2.28 |
| May 1989 | 2.04 |
| June 1989 | 1.91 |
| July 1989 | 1.70 |
| August 1989 | 1.98 |
| September 1989 | 2.01 |
| October 1989 | 1.83 |
| November 1989 | 1.81 |
| December 1989 | 1.85 |
| January 1990 | 2.14 |
| February 1990 | 2.22 |
| March 1990 | 2.27 |
| April 1990 | 2.49 |
| May 1990 | 2.28 |
| June 1990 | 2.19 |
| July 1990 | 2.17 |
| August 1990 | 2.54 |
| September 1990 | 2.57 |
| October 1990 | 2.44 |
| November 1990 | 2.21 |
| December 1990 | 2.31 |
| January 1991 | 2.35 |
| February 1991 | 2.42 |
| March 1991 | 2.56 |
| April 1991 | 2.58 |
| May 1991 | 2.61 |
| June 1991 | 2.77 |
| July 1991 | 2.69 |
| August 1991 | 2.54 |
| September 1991 | 2.34 |
| October 1991 | 2.40 |
| November 1991 | 2.50 |
| December 1991 | 2.23 |
| January 1992 | 2.67 |
| February 1992 | 2.66 |
| March 1992 | 2.80 |
| April 1992 | 2.93 |
| May 1992 | 2.70 |
| June 1992 | 2.61 |
| July 1992 | 2.40 |
| August 1992 | 2.34 |
| September 1992 | 2.28 |
| October 1992 | 2.52 |
| November 1992 | 2.58 |
| December 1992 | 2.48 |
| January 1993 | 2.25 |
| February 1993 | 1.98 |
| March 1993 | 2.01 |
| April 1993 | 1.95 |
| May 1993 | 1.91 |
| June 1993 | 1.66 |
| July 1993 | 1.68 |
| August 1993 | 1.42 |
| September 1993 | 1.42 |
| October 1993 | 1.40 |
| November 1993 | 1.64 |
| December 1993 | 1.68 |
| January 1994 | 1.54 |
| February 1994 | 1.84 |
| March 1994 | 2.25 |
| April 1994 | 2.27 |
| May 1994 | 2.21 |
| June 1994 | 2.39 |
| July 1994 | 2.15 |
| August 1994 | 2.14 |
| September 1994 | 2.34 |
| October 1994 | 2.41 |
| November 1994 | 2.32 |
| December 1994 | 2.22 |
| January 1995 | 2.06 |
| February 1995 | 1.84 |
| March 1995 | 1.85 |
| April 1995 | 1.71 |
| May 1995 | 1.22 |
| June 1995 | 1.22 |
| July 1995 | 1.41 |
| August 1995 | 1.31 |
| September 1995 | 1.21 |
| October 1995 | 1.10 |
| November 1995 | 0.95 |
| December 1995 | 0.92 |
| January 1996 | 0.96 |
| February 1996 | 1.32 |
| March 1996 | 1.48 |
| April 1996 | 1.67 |
| May 1996 | 1.79 |
| June 1996 | 1.66 |
| July 1996 | 1.69 |
| August 1996 | 1.81 |
| September 1996 | 1.71 |
| October 1996 | 1.43 |
| November 1996 | 1.21 |
| December 1996 | 1.47 |
| January 1997 | 1.54 |
| February 1997 | 1.57 |
| March 1997 | 1.80 |
| April 1997 | 1.65 |
| May 1997 | 1.64 |
| June 1997 | 1.58 |
| July 1997 | 1.19 |
| August 1997 | 1.43 |
| September 1997 | 1.33 |
| October 1997 | 1.10 |
| November 1997 | 1.05 |
| December 1997 | 0.97 |
| January 1998 | 0.85 |
| February 1998 | 0.94 |
| March 1998 | 1.00 |
| April 1998 | 1.02 |
| May 1998 | 0.94 |
| June 1998 | 0.86 |
| July 1998 | 0.89 |
| August 1998 | 0.60 |
| September 1998 | 0.30 |
| October 1998 | 0.46 |
| November 1998 | 0.51 |
| December 1998 | 0.57 |
| January 1999 | 0.53 |
| February 1999 | 0.96 |
| March 1999 | 1.01 |
| April 1999 | 0.99 |
| May 1999 | 1.22 |
| June 1999 | 1.26 |
| July 1999 | 1.41 |
| August 1999 | 1.38 |
| September 1999 | 1.38 |
| October 1999 | 1.35 |
| November 1999 | 1.34 |
| December 1999 | 1.52 |
| January 2000 | 1.55 |
| February 2000 | 1.44 |
| March 2000 | 1.10 |
| April 2000 | 1.25 |
| May 2000 | 1.23 |
| June 2000 | 1.05 |
| July 2000 | 0.97 |
| August 2000 | 0.80 |
| September 2000 | 0.83 |
| October 2000 | 0.74 |
| November 2000 | 0.54 |
| December 2000 | 0.47 |
| January 2001 | 0.75 |
| February 2001 | 0.67 |
| March 2001 | 0.85 |
| April 2001 | 1.18 |
| May 2001 | 1.35 |
| June 2001 | 1.35 |
| July 2001 | 1.11 |
| August 2001 | 1.05 |
| September 2001 | 1.14 |
| October 2001 | 1.03 |
| November 2001 | 1.52 |
| December 2001 | 1.76 |
| January 2002 | 1.68 |
| February 2002 | 1.58 |
| March 2002 | 1.92 |
| April 2002 | 1.71 |
| May 2002 | 1.61 |
| June 2002 | 1.50 |
| July 2002 | 1.19 |
| August 2002 | 0.91 |
| September 2002 | 0.56 |
| October 2002 | 0.78 |
| November 2002 | 1.11 |
| December 2002 | 0.76 |
| January 2003 | 0.92 |
| February 2003 | 0.66 |
| March 2003 | 0.79 |
| April 2003 | 0.82 |
| May 2003 | 0.35 |
| June 2003 | 0.55 |
| July 2003 | 1.29 |
| August 2003 | 1.31 |
| September 2003 | 0.87 |
| October 2003 | 1.16 |
| November 2003 | 1.18 |
| December 2003 | 1.12 |
| January 2004 | 1.05 |
| February 2004 | 0.93 |
| March 2004 | 0.78 |
| April 2004 | 1.32 |
| May 2004 | 1.37 |
| June 2004 | 1.23 |
| July 2004 | 1.11 |
| August 2004 | 0.80 |
| September 2004 | 0.72 |
| October 2004 | 0.61 |
| November 2004 | 0.77 |
| December 2004 | 0.61 |
| January 2005 | 0.51 |
| February 2005 | 0.62 |
| March 2005 | 0.69 |
| April 2005 | 0.44 |
| May 2005 | 0.30 |
| June 2005 | 0.20 |
| July 2005 | 0.36 |
| August 2005 | 0.16 |
| September 2005 | 0.38 |
| October 2005 | 0.43 |
| November 2005 | 0.37 |
| December 2005 | 0.26 |
| January 2006 | 0.30 |
| February 2006 | 0.31 |
| March 2006 | 0.48 |
| April 2006 | 0.57 |
| May 2006 | 0.57 |
| June 2006 | 0.52 |
| July 2006 | 0.43 |
| August 2006 | 0.28 |
| September 2006 | 0.23 |
| October 2006 | 0.17 |
| November 2006 | 0.07 |
| December 2006 | 0.25 |
| January 2007 | 0.33 |
| February 2007 | 0.14 |
| March 2007 | 0.21 |
| April 2007 | 0.21 |
| May 2007 | 0.43 |
| June 2007 | 0.54 |
| July 2007 | 0.35 |
| August 2007 | 0.35 |
| September 2007 | 0.45 |
| October 2007 | 0.37 |
| November 2007 | 0.24 |
| December 2007 | 0.24 |
| January 2008 | 0.30 |
| February 2008 | 0.32 |
| March 2008 | 0.31 |
| April 2008 | 0.60 |
| May 2008 | 0.76 |
| June 2008 | 0.64 |
| July 2008 | 0.67 |
| August 2008 | 0.51 |
| September 2008 | 0.71 |
| October 2008 | 1.14 |
| November 2008 | 0.46 |
| December 2008 | 0.06 |
| January 2009 | 0.46 |
| February 2009 | 0.53 |
| March 2009 | 0.17 |
| April 2009 | 0.55 |
| May 2009 | 0.82 |
| June 2009 | 0.91 |
| July 2009 | 0.90 |
| August 2009 | 0.83 |
| September 2009 | 0.76 |
| October 2009 | 0.79 |
| November 2009 | 0.58 |
| December 2009 | 1.05 |
| January 2010 | 0.89 |
| February 2010 | 0.85 |
| March 2010 | 1.01 |
| April 2010 | 0.88 |
| May 2010 | 0.64 |
| June 2010 | 0.34 |
| July 2010 | 0.23 |
| August 2010 | -0.09 |
| September 2010 | -0.09 |
| October 2010 | -0.09 |
| November 2010 | 0.08 |
| December 2010 | 0.55 |
| January 2011 | 0.57 |
| February 2011 | 0.65 |
| March 2011 | 0.72 |
| April 2011 | 0.57 |
| May 2011 | 0.31 |
| June 2011 | 0.41 |
| July 2011 | 0.03 |
| August 2011 | -0.34 |
| September 2011 | -0.48 |
| October 2011 | -0.35 |
| November 2011 | -0.40 |
| December 2011 | -0.54 |
| January 2012 | -0.66 |
| February 2012 | -0.54 |
| March 2012 | -0.35 |
| April 2012 | -0.58 |
| May 2012 | -0.81 |
| June 2012 | -0.75 |
| July 2012 | -0.86 |
| August 2012 | -0.84 |
| September 2012 | -0.81 |
| October 2012 | -0.74 |
| November 2012 | -0.82 |
| December 2012 | -0.70 |
| January 2013 | -0.53 |
| February 2013 | -0.64 |
| March 2013 | -0.65 |
| April 2013 | -0.75 |
| May 2013 | -0.38 |
| June 2013 | -0.04 |
| July 2013 | 0.00 |
| August 2013 | 0.21 |
| September 2013 | 0.04 |
| October 2013 | -0.04 |
| November 2013 | 0.07 |
| December 2013 | 0.38 |
Note: This figure plots an estimate of the 10-year term premium based on the Kim and Wright (2005) latent three-factor Gaussian term structure model.
Source: Kim and Wright (2005).
Note: The shaded bars indicate periods of business recession as defined by the National Bureau of Economic Research (July 1990-March 1991, March 2001-November 2001, and December 2007-June 2009).
Figure 2: Excess Bond Premium (EBP), Economic Growth, and the Labor Market
Middle-left panel
| Negative changes in EBP (pps.) | Year-ahead 4-quarter real GDP growth (%) |
|---|---|
| -0.0031 | 5.93 |
| -0.0053 | -1.62 |
| -0.0083 | 5.14 |
| -0.0087 | 2.26 |
| -0.0115 | 3.99 |
| -0.0144 | 2.56 |
| -0.0148 | 2.67 |
| -0.0155 | 3.33 |
| -0.0200 | 1.70 |
| -0.0228 | 3.29 |
| -0.0232 | 4.23 |
| -0.0251 | 4.50 |
| -0.0259 | 5.15 |
| -0.0268 | 5.60 |
| -0.0278 | 1.24 |
| -0.0321 | 2.86 |
| -0.0323 | 4.06 |
| -0.0365 | 3.38 |
| -0.0388 | 1.28 |
| -0.0398 | 4.15 |
| -0.0431 | 4.86 |
| -0.0439 | 2.82 |
| -0.0450 | 6.47 |
| -0.0459 | 2.37 |
| -0.0474 | 4.23 |
| -0.0492 | -2.68 |
| -0.0493 | -0.19 |
| -0.0518 | 1.84 |
| -0.0522 | 2.83 |
| -0.0545 | 1.62 |
| -0.0556 | 4.25 |
| -0.0565 | 2.74 |
| -0.0582 | 1.13 |
| -0.0587 | -2.33 |
| -0.0587 | 4.52 |
| -0.0622 | 3.67 |
| -0.0646 | 1.99 |
| -0.0692 | 4.70 |
| -0.0696 | 4.22 |
| -0.0729 | 4.05 |
| -0.0739 | 0.64 |
| -0.0747 | 3.19 |
| -0.0789 | 1.29 |
| -0.0799 | 3.85 |
| -0.0807 | 4.02 |
| -0.0827 | -0.07 |
| -0.0869 | 6.32 |
| -0.0872 | 2.20 |
| -0.0905 | 1.56 |
| -0.1002 | 3.25 |
| -0.1024 | 4.57 |
| -0.1064 | -0.04 |
| -0.1211 | 3.16 |
| -0.1222 | 3.00 |
| -0.1287 | 4.19 |
| -0.1318 | 1.42 |
| -0.1332 | 1.87 |
| -0.1429 | 4.46 |
| -0.1451 | -0.91 |
| -0.1473 | 6.73 |
| -0.1478 | 2.16 |
| -0.1600 | 5.96 |
| -0.1647 | 8.20 |
| -0.1676 | 3.11 |
| -0.2003 | 3.41 |
| -0.2094 | 4.24 |
| -0.2264 | 4.11 |
| -0.2297 | 7.69 |
| -0.2341 | -4.18 |
| -0.2392 | 3.36 |
| -0.2547 | 3.00 |
| -0.2581 | 2.73 |
| -0.2600 | -0.53 |
| -0.2755 | 1.31 |
| -0.2854 | -0.62 |
| -0.3625 | 1.41 |
| -0.3656 | 5.59 |
| -0.3695 | 4.25 |
| -0.4628 | 2.01 |
| -0.4712 | 5.98 |
| -0.5349 | 4.41 |
| -0.5745 | 4.34 |
| -0.6773 | 3.76 |
| -0.7935 | 4.16 |
| -1.1253 | 2.62 |
| -1.2811 | 2.99 |
Note: The chart depicts the relationship between year-ahead 4-quarter real GDP growth and negative quarterly changes in the EBP in quarter t. A regression line begins at approximately (-1.4, 3.7) and slopes downward to approximately (0.0, 2.9).
Source: Gilchrist and Zakrajsek (2012) and author calculations based on data from the Bureau of Economic Analysis and the Bureau of Labor Statistics.
Middle-right panel
| Positive changes in EBP (pps.) | Year-ahead 4-quarter real GDP growth (%) | Period |
|---|---|---|
| 0.0071 | 2.67 | ND |
| 0.0078 | 3.67 | ND |
| 0.0109 | -0.75 | ND |
| 0.0135 | 3.28 | ND |
| 0.0153 | 4.01 | ND |
| 0.0156 | 2.63 | ND |
| 0.0159 | 3.67 | ND |
| 0.0160 | 3.56 | ND |
| 0.0185 | 1.49 | ND |
| 0.0208 | 2.28 | ND |
| 0.0210 | 4.30 | ND |
| 0.0241 | 2.41 | ND |
| 0.0256 | 1.97 | ND |
| 0.0277 | 3.94 | ND |
| 0.0281 | 2.90 | ND |
| 0.0334 | 2.53 | ND |
| 0.0407 | 3.35 | ND |
| 0.0409 | 4.35 | ND |
| 0.0496 | 3.68 | ND |
| 0.0552 | 4.36 | ND |
| 0.0552 | 1.93 | ND |
| 0.0555 | 2.25 | ND |
| 0.0568 | 2.74 | ND |
| 0.0586 | 0.86 | ND |
| 0.0650 | 4.82 | ND |
| 0.0651 | 3.22 | ND |
| 0.0694 | 4.83 | ND |
| 0.0732 | -1.41 | ND |
| 0.0754 | 1.71 | ND |
| 0.0777 | 4.24 | ND |
| 0.0853 | 3.08 | ND |
| 0.0910 | 4.12 | ND |
| 0.1017 | 4.88 | ND |
| 0.1206 | 2.24 | ND |
| 0.1215 | 7.54 | ND |
| 0.1335 | 1.42 | ND |
| 0.1380 | 5.48 | ND |
| 0.1398 | 2.59 | ND |
| 0.1478 | 4.36 | ND |
| 0.1513 | 4.75 | ND |
| 0.1568 | 4.00 | ND |
| 0.1729 | 1.69 | ND |
| 0.1759 | -2.45 | ND |
| 0.1764 | -2.85 | ND |
| 0.1833 | 3.13 | ND |
| 0.1928 | 4.21 | ND |
| 0.2159 | -1.82 | ND |
| 0.2230 | 3.07 | ND |
| 0.2242 | 2.74 | ND |
| 0.2267 | 1.58 | ND |
| 0.2319 | 2.38 | ND |
| 0.2436 | 2.43 | ND |
| 0.2594 | 4.29 | ND |
| 0.2596 | 2.01 | ND |
| 0.2653 | -1.18 | ND |
| 0.2702 | 4.66 | ND |
| 0.2739 | 0.47 | ND |
| 0.2832 | 1.58 | ND |
| 0.2888 | 1.22 | ND |
| 0.3691 | -1.95 | ND |
| 0.3836 | 2.88 | ND |
| 0.4019 | 3.23 | 1986:Q3 |
| 0.4446 | 4.09 | 1987:Q3 |
| 0.4849 | 0.90 | 2000:Q2 |
| 0.5728 | -0.31 | 2007:Q3 |
| 0.5734 | 0.18 | 2000:Q4 |
| 0.5914 | -3.36 | 2008:Q3 |
| 0.6093 | 0.79 | 1974:Q3 |
| 0.7012 | -3.58 | 2008:Q1 |
| 0.7126 | 3.17 | 2002:Q3 |
| 1.1660 | -0.24 | 2008:Q4 |
Note: The chart depicts the relationship between year-ahead 4-quarter real GDP growth and positive quarterly changes in the EBP in quarter t. A regression line begins at approximately (0.0, 3.3) and slopes downward to approximately (1.4, -2.9).
Source: Gilchrist and Zakrajsek (2012) and author calculations based on data from the Bureau of Economic Analysis and the Bureau of Labor Statistics.
Bottom-left panel
| Negative changes in EBP (pps.) | Year-ahead 4-quarter unemployment rate change (pps.) |
|---|---|
| -0.0031 | -1.13 |
| -0.0053 | 1.80 |
| -0.0083 | -0.33 |
| -0.0087 | -0.83 |
| -0.0115 | -0.60 |
| -0.0144 | 0.07 |
| -0.0148 | -0.33 |
| -0.0155 | -0.90 |
| -0.0200 | -0.13 |
| -0.0228 | 0.70 |
| -0.0232 | 0.27 |
| -0.0251 | -0.63 |
| -0.0259 | -0.87 |
| -0.0268 | -0.83 |
| -0.0278 | -0.23 |
| -0.0321 | 0.77 |
| -0.0323 | -1.17 |
| -0.0365 | -0.57 |
| -0.0388 | 0.83 |
| -0.0398 | -0.87 |
| -0.0431 | -1.10 |
| -0.0439 | -0.17 |
| -0.0450 | -0.77 |
| -0.0459 | -0.17 |
| -0.0474 | -0.50 |
| -0.0492 | 2.50 |
| -0.0493 | 0.27 |
| -0.0518 | -0.57 |
| -0.0522 | 0.10 |
| -0.0545 | -0.70 |
| -0.0556 | -0.80 |
| -0.0565 | -0.53 |
| -0.0582 | 0.50 |
| -0.0587 | 3.13 |
| -0.0587 | -0.60 |
| -0.0622 | -0.13 |
| -0.0646 | -0.93 |
| -0.0692 | -0.13 |
| -0.0696 | -0.90 |
| -0.0729 | -1.00 |
| -0.0739 | 0.77 |
| -0.0747 | 0.77 |
| -0.0789 | 0.07 |
| -0.0799 | -0.23 |
| -0.0807 | -0.33 |
| -0.0827 | 1.17 |
| -0.0869 | -0.47 |
| -0.0872 | 0.90 |
| -0.0905 | 1.53 |
| -0.1002 | -0.23 |
| -0.1024 | -0.40 |
| -0.1064 | 1.43 |
| -0.1211 | -0.23 |
| -0.1222 | 0.07 |
| -0.1287 | -0.27 |
| -0.1318 | 1.43 |
| -0.1332 | 0.37 |
| -0.1429 | -0.30 |
| -0.1451 | 1.30 |
| -0.1473 | -1.93 |
| -0.1478 | -0.33 |
| -0.1600 | -1.30 |
| -0.1647 | -2.50 |
| -0.1676 | -0.57 |
| -0.2003 | -1.10 |
| -0.2094 | -0.53 |
| -0.2264 | -0.27 |
| -0.2297 | -2.70 |
| -0.2341 | 3.97 |
| -0.2392 | -0.70 |
| -0.2547 | -0.47 |
| -0.2581 | -0.37 |
| -0.2600 | 1.50 |
| -0.2755 | -0.53 |
| -0.2854 | 0.83 |
| -0.3625 | 1.47 |
| -0.3656 | -0.53 |
| -0.3695 | -0.03 |
| -0.4628 | 0.37 |
| -0.4712 | -0.53 |
| -0.5349 | -0.80 |
| -0.5745 | -0.17 |
| -0.6773 | -0.50 |
| -0.7935 | -0.53 |
| -1.1253 | 0.33 |
| -1.2811 | -0.13 |
Note: The chart depicts the relationship between year-ahead 4-quarter change in the unemployment rate and negative quarterly changes in the EBP in quarter t. A regression line begins at approximately (-1.4, -0.1) and slopes upward to approximately (0.0, 0.0).
Source: Gilchrist and Zakrajsek (2012) and author calculations based on data from the Bureau of Economic Analysis and the Bureau of Labor Statistics.
Bottom-right panel
| Positive changes in EBP (pps.) | Year-ahead 4-quarter unemployment rate change (pps.) | Period |
|---|---|---|
| 0.0071 | -0.43 | ND |
| 0.0078 | -0.13 | ND |
| 0.0109 | 1.63 | ND |
| 0.0135 | -0.47 | ND |
| 0.0153 | -0.40 | ND |
| 0.0156 | -0.30 | ND |
| 0.0159 | 0.77 | ND |
| 0.0160 | -0.40 | ND |
| 0.0185 | -0.50 | ND |
| 0.0208 | 0.03 | ND |
| 0.0210 | -0.67 | ND |
| 0.0241 | -0.53 | ND |
| 0.0256 | 0.30 | ND |
| 0.0277 | -0.17 | ND |
| 0.0281 | -0.20 | ND |
| 0.0334 | 1.70 | ND |
| 0.0407 | -0.50 | ND |
| 0.0409 | -1.00 | ND |
| 0.0496 | -0.23 | ND |
| 0.0552 | -0.43 | ND |
| 0.0552 | -0.80 | ND |
| 0.0555 | -0.07 | ND |
| 0.0568 | -0.87 | ND |
| 0.0586 | 0.83 | ND |
| 0.0650 | -0.33 | ND |
| 0.0651 | -0.80 | ND |
| 0.0694 | -0.73 | ND |
| 0.0732 | 2.43 | ND |
| 0.0754 | 0.47 | ND |
| 0.0777 | -0.23 | ND |
| 0.0853 | -0.97 | ND |
| 0.0910 | -0.20 | ND |
| 0.1017 | -0.23 | ND |
| 0.1206 | 0.20 | ND |
| 0.1215 | -2.13 | ND |
| 0.1335 | 0.43 | ND |
| 0.1380 | -1.23 | ND |
| 0.1398 | -0.73 | ND |
| 0.1478 | -0.23 | ND |
| 0.1513 | -0.37 | ND |
| 0.1568 | -0.23 | ND |
| 0.1729 | 1.13 | ND |
| 0.1759 | 1.40 | ND |
| 0.1764 | 2.07 | ND |
| 0.1833 | -0.23 | ND |
| 0.1928 | -0.50 | ND |
| 0.2159 | 3.67 | ND |
| 0.2230 | -0.40 | ND |
| 0.2242 | 0.03 | ND |
| 0.2267 | 0.17 | ND |
| 0.2319 | -0.53 | ND |
| 0.2436 | 0.10 | ND |
| 0.2594 | -0.27 | ND |
| 0.2596 | -0.77 | ND |
| 0.2653 | 2.03 | ND |
| 0.2702 | -0.30 | ND |
| 0.2739 | 0.83 | ND |
| 0.2832 | 1.53 | ND |
| 0.2888 | 0.97 | ND |
| 0.3691 | 1.83 | ND |
| 0.3836 | -0.47 | ND |
| 0.4019 | -0.97 | ND |
| 0.4446 | -0.53 | ND |
| 0.4849 | 0.47 | ND |
| 0.5728 | 1.33 | 2007:Q3 |
| 0.5734 | 1.60 | 2000:Q4 |
| 0.5914 | 3.63 | 2008:Q3 |
| 0.6093 | 2.83 | 1974:Q3 |
| 0.7012 | 3.27 | 2008:Q1 |
| 0.7126 | 0.40 | 2002:Q3 |
| 1.1660 | 3.07 | 2008:Q4 |
Note: The chart depicts the relationship between year-ahead 4-quarter change in the unemployment rate and positive quarterly changes in the EBP in quarter t. A regression line begins at approximately (0.0, -0.4) and slopes upward to approximately (1.4, 3.85).
Source: Gilchrist and Zakrajsek (2012) and author calculations based on data from the Bureau of Economic Analysis and the Bureau of Labor Statistics.
Table 1: Asymmetric Effects of Excess Bond Premium on Economic Activity
| Explanatory Variables | Real GDPa | Unemployment Rateb |
|---|---|---|
| Increases in the EBP |
-4.129*** (1.029) |
2.724*** (0.821) |
| Decreases in the EBP |
-0.261 (0.455) |
-0.559 (0.406) |
| Real Treasury yield (2y) |
0.144 (0.194) |
-0.058 (0.074) |
| Term spread (10y/2y) |
0.488* (0.289) |
-0.446*** (0.130) |
| Asymmetry (increase - decrease) |
-3.868*** (1.289) |
3.283*** (0.996) |
| Adj. R^2 | 0.210 | 0.303 |
Note: Sample period: 1973:Q1 - 2012:Q4 (Obs. = 154). Entries in the table denote the OLS estimates of the coefficients associated with each financial indicator. Heteroskedasticity- and autocorrelation-consistent asymptotic standard errors are reported in parentheses. Statistical significance at the 10, 5, and 1 percent levels is denoted by *, **, and ***, respectively. In column (a), the dependent variable is the annualized growth rate of real GDP between quarters t+4 and t‑1. In addition to the specified financial indicator in quarter t, each specification also includes a constant and 3 lags of (annualized) quarterly real GDP growth (not reported). In column (b), the dependent variable is the annualized change in the unemployment rate between quarters t+4 and t‑1. In addition to the specified financial indicator in quarter t, each specification also includes a constant and 3 lags of (annualized) quarterly change in the unemployment rate (not reported).
Source: Gilchrist and Zakrajsek (2012) and author calculations based on data from the Bureau of Economic Analysis and the Bureau of Labor Statistics.