Chart: Figure 2: Credit-Market Sentiment and GDP Growth (1929-2015)

Interactive replication of Figure II: credit-market sentiment at t-2 vs. real GDP-per-capita growth at t, both orthogonalized against Table II column (1)’s other regressor, with the fitted line and influential observations highlighted.

Chart

Sources: FRED, Office of Financial Research

Full Screen Chart

Table II column (1) only: the fitted change in the Baa-Treasury spread (from an auxiliary regression on the lagged Greenwood-Hanson high-yield share and lagged spread level) vs. real GDP-per-capita growth, both orthogonalized against lagged GDP growth. Column (1) does not use Shiller’s P/E10 or the interest-rate/inflation controls, which only enter other Table II columns.

Chart Specs

Chart Name	Figure 2: Credit-Market Sentiment and GDP Growth (1929-2015)
Chart ID	figure_2_replication
Tags	Sentiment, Gdp Growth, Baa, Figure 2
Data Series Start Date
Data Frequency	Annual
Observation Period	Calendar Year
Lag in Data Release
Data Release Timing
Seasonal Adjustment	Mixed
Units	Percentage Points
HTML Chart	HTML

Dataframe Manifest

Dataframe Name	FRED Processed Annual Series
Dataframe ID	fred_processed_annual_series
Sources	FRED, Office of Financial Research
Providers	FRED, Office of Financial Research
Provider Links	https://fred.stlouisfed.org/
Tags	Processed Data, Macroeconomic Data, Fred
Access Types	Public
How is data pulled?	Web API via Python pandas_datareader.data.DataReader
Data available up to (min)
Data available up to (max)
Dataframe Path	C:\Users\fraff\OneDrive\Documentos\UChicago\FINM_32900_Full_Stack_Quantitative_Finance\Project\p03_lopez_salido_stein_zakrajsek_2017_data\processed_data\fred_final_series_annual.parquet

Linked Charts:

• P01:figure_2_replication

• P01:figure_2_extended

• P01:figure_2_aaa_replication

• P01:figure_2_aaa_extended

• P01:summary_statistics_gdp_growth

Pipeline Manifest

Pipeline Name	Credit-Market Sentiment and the Business Cycle
Pipeline ID	P01
Maintainer	Fernando Raffo, Bangjie Xu
Contributors	Fernando Raffo, Bangjie Xu
Repository	fernando-raffo/p03_lopez_salido_stein_zakrajsek_2017
Pipeline Web Page	Pipeline Web Page
Date of Last Code Update	2026-08-19 22:04:54
OS Compatibility	Windows, Linux, MacOS
Linked Dataframes	P01:fred_macroeconomic_variables P01:shiller_market_variables P01:greenwood_hanson_hys P01:mergent_fisd_bond_data P01:fred_processed_monthly_series P01:fred_processed_annual_series P01:shiller_processed_annual_series P01:greenwood_hanson_hys_processed_series

Chart: Figure 2 (Aaa variant): Credit-Market Sentiment and GDP Growth (1929-present, extended)   Chart: Figure 2: Credit-Market Sentiment and GDP Growth (1929-present, extended)