Skip to content

KB/signal

GZ Credit Spread

Last verified

Auto-generated. This article is rebuilt from app/signals/config/signal_definitions.json by scripts/build_signals_kb.py. Edit the registry entry and re-run the script β€” do not edit this file directly.

GZ Credit Spread

What it is

GZ Credit Spread β€” registry key gz_spread.

Gilchrist-ZakrajΕ‘ek parent credit spread ingested from the monthly FEDS Notes CSV alongside EBP and persisted on daily_signals. Now a LEVEL leg of the drawdown-risk lens (compute_drawdown_risk, +1 orientation, weight 1.0) β€” a transparency/coverage credit-stress leg, NOT a health-score, alignment, or banded scoring component (the drawdown-risk lens is a separate transparent z-score composite, not the health score).

Data-pyramid tier

T1 β€” Signal. This metric sits at the signal layer of the platform’s six-tier data pyramid (T0 raw inputs β†’ T5 actionable read). The tier reflects how far the value is from a raw measurement β€” not how strongly it is validated. Abstraction and validation are separate axes: a higher tier is not a claim of stronger evidence.

Horizon & validation

Horizon: 40-60d β€” the window this metric’s measured skill speaks to. A horizon stamp is an evidence claim, not a trading signal.

Evidence: Macro drawdown-lens leg: forward-maxdd correlation grows with horizon and peaks at 40-60d (breakeven_10y +0.28@20d -> +0.42@60d; ofr_fsi_funding ~+0.278, highest tested). FAILS clean walk-forward (single 2022 bear, in-sample; RT-3 falsifier open). Weak - ships labeled, never as a standalone forecast.

Source

Source module: ebp
Data source: back_fillable

Fetched directly from app/sources/ebp.py; see source code for the upstream API call and any provider-specific handling.

How it’s computed

The Gilchrist-ZakrajΕ‘ek (2012) corporate bond credit spread index β€” the average duration-matched spread of senior unsecured corporate bonds over Treasuries, in percentage points. EBP is the residual of this spread after removing expected-default-risk compensation; the GZ spread is the parent series both components sum to. Sourced verbatim from the Fed’s monthly FEDS Notes ebp_csv.csv gz_spread column, last row (the same CSV row as ebp, so its as-of stamp is the shared ebp_obs_date column β€” the gex β†’ dix_obs_date shared-vintage pattern). See app/sources/ebp.py.

Where it surfaces

Health-score / alignment role

Data carrier β€” no implication, no health-score contribution.

Persisted for downstream consumers (sparklines, base-rate matcher, calibration substrate) but does not classify into BULLISH / NEUTRAL / BEARISH and does not contribute to the 0-100 health score.

Release cadence

Federal Reserve FEDS-notes monthly Excess Bond Premium CSV (ebp_csv.csv); the gz_spread column, same monthly cadence as EBP, last row is the latest month.

See also