Replication Data for: Shockwaves of Corporate Bond Spreads: How Rising Yields Shape the Economy, Currency, and Markets

This study utilizes a local projections framework to analyze the macroeconomic and finan-cial market repercussions of an unanticipated increase in U.S. corporate bond spreads. Spe-cifically, it quantifies the effects of a one percentage point rise in the excess bond premium, as defined by Gilchrist and Zakrajšek (2012), on key real economic indicators using quarter-ly data, while also assessing the corresponding responses of stock prices and exchange rates on a monthly basis. The resulting impulse response functions reveal that a shock to corporate bond spreads exerts a statistically significant negative impact on economic activity and stock prices, while concurrently leading to an appreciation of the U.S. dollar. Further analysis, achieved by dividing the sample into two distinct periods, demonstrates that the adverse ef-fects of financial shocks on real GDP post-1995 are less pronounced but exhibit greater per-sistence. Additionally, an increase in stock price volatility suggests that widening bond spreads may themselves contribute to heightened uncertainty. The findings further under-score the U.S. dollar's role as a safe haven and highlight the potential of U.S. financial shocks to propagate global uncertainty.