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  • Credit-Market Sentiment and the Business Cycle

Project Notes

  • Project Overview
    • Goals
    • Data Sources
    • Methodology

Notebooks 📖

  • Data Walkthrough & Summary Statistics
  • Lopez-Salido, Stein & ZakrajÅ¡ek (2017): Replication Walkthrough
  • Lopez-Salido, Stein & ZakrajÅ¡ek (2017): Aaa-Spread Extension
  • Case Study: Does the Lopez-Salido, Stein & Zakrajsek (2017) Sentiment Signal Speak to the 2020-2022 Cycle?

Pipeline Charts 📈

  • Chart List

Pipeline Dataframes 📊

  • Dataframe: P01:fred_macroeconomic_variables - FRED Macroeconomic Data
  • Dataframe: P01:fred_processed_annual_series - FRED Processed Annual Series
  • Dataframe: P01:fred_processed_monthly_series - FRED Processed Monthly Series
  • Dataframe: P01:greenwood_hanson_hys - Greenwood-Hanson High-Yield Share Data (Published Historical, 1926-2008)
  • Dataframe: P01:greenwood_hanson_hys_processed_series - Greenwood-Hanson High-Yield Share
  • Dataframe: P01:mergent_fisd_bond_data - Mergent FISD High-Yield Share Data (Raw FISD Reconstruction, 1980s-present)
  • Dataframe: P01:shiller_market_variables - Robert Shiller’s Stock Market Data
  • Dataframe: P01:shiller_processed_annual_series - Robert Shiller Annual Stock Market Data

Categories

  • Aaa (5)
  • Baa (5)
  • Cape (1)
  • Credit Spread (5)
  • Extension (6)
  • Figure 1 (4)
  • Figure 2 (4)
  • Fred (2)
  • Gdp Growth (5)
  • Greenwood (1)
  • Hanson (1)
  • High Yield Share (1)
  • Hys (1)
  • Sentiment (4)
  • Shiller (1)
  • Summary Statistics (4)

Tags

  • 1483–1525
  • FRED
  • Greenwood & Hanson (2013)
  • Issuer Quality and Corporate Bond Returns
  • Mergent FISD
  • Office of Financial Research
  • Review of Financial Studies
  • Review of Financial Studies 26(6)
  • Robert Shiller's Data Website

Posts in Greenwood

Chart: Summary Statistics: Greenwood-Hanson High-Yield Share (1929-present)

  • 19 August 2026
  • Summary Statistics , Hys , Greenwood , Hanson , High Yield Share
  • Greenwood & Hanson (2013) Issuer Quality and Corporate Bond Returns Review of Financial Studies 26(6) 1483–1525 Review of Financial Studies Mergent FISD

Annual high-yield issuance share, colored by underlying source series.

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By Fernando Raffo, Bangjie Xu

© Copyright 2026, Fernando Raffo, Bangjie Xu.