corporate bonds and U.S. Treasury bonds

The spread between corporate bonds and U.S. Treasury bonds reflects the credit risk embedded in corporate bonds. The Board of Governors of the Federal Reserve System (FRS) publishes various series of spreads across ratings of corporate bonds. In addition, the FRS also publishes a time series of changes in U. S. Gross Domestic Product. Attached are two spreadsheets:

• _Moody’s Seasoned Baa Corporate Bond Yield Relative to Yield on 10-Year Treasury Constant Maturity – contains the monthly spreads (January 1970 – _October 2019) between Corporate Baa Yields and 10-yr Constant Maturity Treasury Bonds.

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• _Real Gross Domestic Product – _the quarterly percentage change (Q1Y1970 – _Q3Y2019) in Gross Domestic Product.

The excel assignment is to plot both series, on one graph, and indicate the periods of recession in the U.S. economy. Also, note if the changes in credit spreads precede or follow periods of economic recession.


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