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Corporate Bond Spreads and the Excess Bond Premium
Gilchrist–Zakrajšek spread and excess bond premium, U.S. corporate bonds, percentage points, monthly
Plays the chart through its history. Pauses are where the data set a record or moved most.
GZ credit spread · Continuation · the recent trend, flattening · 30 days
Excess bond premium · Continuation · the recent trend, flattening · 30 days
Dashed: the projection from the latest reading. Shaded: the range about two in three outcomes land in. A projection, not a promise.
Federal Reserve Board. The GZ spread averages the spreads of individual senior unsecured corporate bonds over matching Treasuries; the excess bond premium is the part of it not explained by each issuer’s expected default risk.
What investors demand to hold U.S. corporate bonds over Treasuries, and how much of that is fear rather than expected defaults. The excess bond premium has tended to rise before slowdowns.
What this chart reads
- GZ Corporate Credit Spreadas “GZ credit spread”latest 2026-09-01
- Excess Bond Premiumas “Excess bond premium”latest 2026-09-01
Sources
GZ Corporate Credit Spread. Source: Federal Reserve Board staff, updating Gilchrist & Zakrajšek (2012), "Credit Spreads and Business Cycle Fluctuations," *American Economic Review* 102(4). A US government work, public domain. It replaces Moody's Baa–10y spread, whose terms do not allow storage or redistribution.
Excess Bond Premium. Source: Federal Reserve Board staff, updating Gilchrist & Zakrajšek (2012), "Credit Spreads and Business Cycle Fluctuations," *American Economic Review* 102(4). A US government work, public domain.
Charts are drawn from Palanor's signal library and recomputed from source data on every view. Transformations (changes, indexing, year-on-year rates) are Palanor's.