The GZ credit spread, named after economists Simon Gilchrist and Egon Zakrajšek, is the extra yield US nonfinancial companies pay on their bonds over comparable Treasuries. The excess bond premium is the part of that spread not explained by expected defaults, so it reflects investors’ appetite for credit risk; rises in it have tended to precede economic slowdowns. The lower panel is the New York Fed’s weekly Corporate Bond Market Distress Index, which runs from 0 to 1 and rises when corporate bond markets are strained.Excess bond premium = GZ credit spread − spread predicted by expected default risk