Journal Article
The Term Structure of the Excess Bond Premium: Measures and Implications
Abstract: In this article, we construct daily aggregate as well as short-, medium-, and long-term "excess bond premium" (EBP) measures using a widely available corporate bond database (known as "TRACE"). The novel EBP measures we construct provide an important gauge of strains in the financial sector at different horizons. We find that the short-term EBP measure increased more dramatically at the peaks of the COVID-19 pandemic and the 2007–09 global financial crisis, but the pattern was reversed around the interest rate liftoff at the end of 2015.
Keywords: excess bond premium; term structure; TRACE; COVID-19;
JEL Classification: E44; E58; G12;
https://doi.org/10.29338/ph2021-12
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Bibliographic Information
Provider: Federal Reserve Bank of Atlanta
Part of Series: Policy Hub
Publication Date: 2021-09-24
Volume: 2021
Issue: 12
Order Number: 2021-12