Gilchrist and Zakrajsek (2012)

Macro credit spread and excess bond premium

This module downloads and processes data developed by:

PROVIDER = 'Gilchrist, Simon, and Egon Zakrajšek, 2012'
URL = 'https://www.federalreserve.gov/econres/notes/feds-notes/ebp_csv.csv'
HOST_WEBSITE = 'https://www.federalreserve.gov/econres/notes/feds-notes/updating-the-recession-risk-and-the-excess-bond-premium-20161006.html'
FREQ = 'M'
MIN_YEAR = 1973
MAX_YEAR = None
TIME_VAR_IN_RAW_DSET = 'date'
TIME_VAR_IN_CLEAN_DSET = f'{FREQ}date'

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get_raw_data

 get_raw_data (url:str='https://www.federalreserve.gov/econres/notes/feds-
               notes/ebp_csv.csv', nrows:int=None, delimiter:str=',',
               headers:dict=None)

Download raw data from url

Type Default Details
url str https://www.federalreserve.gov/econres/notes/feds-notes/ebp_csv.csv
nrows int None How many rows to download. If None, all rows are downloaded
delimiter str ,
headers dict None
Returns pd.DataFrame 
raw = get_raw_data(nrows=3)
raw
date gz_spread ebp est_prob
0 1973-01-01 1.101827 0.015875 0.229627
1 1973-02-01 1.045423 -0.001218 0.223800

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list_all_vars

 list_all_vars ()
list_all_vars()
name
0 date
1 gz_spread
2 ebp
3 est_prob

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process_raw_data

 process_raw_data (df:pandas.core.frame.DataFrame=None)
clean = process_raw_data(raw)
clean
date dtdate gz_spread ebp est_prob
Mdate
1973-01 1973-01-01 1973-01-01 1.101827 0.015875 0.229627
1973-02 1973-02-01 1973-02-01 1.045423 -0.001218 0.223800