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    • Updating the Recession Risk and the Excess Bond Premium

    Metadata Updated: December 18, 2024

    The excess bond premium (EBP) is a measure of investor sentiment or risk appetite in the corporate bond market. A credit spread index can be decomposed into two components: a component that captures the systematic movements in default risk of individual firms and a residual component: the excess bond premium that represents variation in the average price of bearing exposure to US corporate credit risk, above and beyond the compensation for expected defaults. The EBP component of corporate bond credit spreads that is not directly attributable to expected default risk provides an effective measure of investor sentiment or risk appetite in the corporate bond market.

    Access & Use Information

    Public: This dataset is intended for public access and use. License: No license information was provided. If this work was prepared by an officer or employee of the United States government as part of that person's official duties it is considered a U.S. Government Work.

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    Dates

    Metadata Created Date December 18, 2024
    Metadata Updated Date December 18, 2024

    Metadata Source

    Harvested from Federal Reserve

    Other Data Resources

    Additional Metadata

    Resource Type Dataset
    Metadata Created Date December 18, 2024
    Metadata Updated Date December 18, 2024
    Publisher Board of Governors of the Federal Reserve System
    Maintainer
    Identifier FRBC0014
    Data Last Modified R/P1M
    Public Access Level public
    Bureau Code 920:00
    Schema Version https://project-open-data.cio.gov/v1.1/schema
    Harvest Object Id 1d42647f-4536-4895-bae0-034dd30aa669
    Harvest Source Id ed4f9073-f069-4049-8ee0-17ff5c98cd46
    Harvest Source Title Federal Reserve
    Homepage URL https://www.federalreserve.gov/econres/notes/feds-notes/updating-the-recession-risk-and-the-excess-bond-premium-20161006.html
    Program Code 920:000
    Source Datajson Identifier True
    Source Hash dd3e963184c1ea83d8b4e678f9f1618eb741702f52aa137863262b7fb135ed58
    Source Schema Version 1.1

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