Project Overview#
Lopez-Salido, Stein & Zakrajsek (2017) Replication#
A replication of Tables I-II and Figures I-II from López-Salido, Stein, and Zakrajšek, “Credit-Market Sentiment and the Business Cycle” (QJE, 2017), built on data from FRED, WRDS Mergent FISD, Robert Shiller’s data website, and the Greenwood-Hanson high-yield share series. The replication is extended in two directions: an analogous credit-spread measure built from Aaa-Treasury (rather than Baa-Treasury) spreads, and an out-of-sample test of the sentiment signal over the 2020-2022 period spanning the COVID-19 shock and the subsequent market froth.
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