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Credit-Market Sentiment and the Business Cycle

Project Notes

Project Overview

Notebooks 📖

Data Walkthrough & Summary Statistics
Lopez-Salido, Stein & Zakrajšek (2017): Replication Walkthrough
Lopez-Salido, Stein & Zakrajšek (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

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By Fernando Raffo, Bangjie Xu

© Copyright 2026, Fernando Raffo, Bangjie Xu.