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Credit Spread Slopes Plot with Timeline


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Description

This graph plots monthly Coincident index together with one- and seven-year credit spread slope at the 20th percentile, median, and 80th percentile for Japan. The shaded vertical bars represent recession periods as defined by the Cabinet Office, the government of Japan. Events that affected credit spreads are plotted on the timeline to help understanding the behavior of credit spreads.

This plot is a Double-Y graph: Coincident index and credit spread slope. The Double-Y graph with one shared X-axis is used for a combination of separately scaled multiple lines, see Tutorials (Multi-Axis and Multi-Panel 6.8.1 Double Y). The recession bars, the periods of recession marked as vertical bars, are added in the graph to represent the business cycle. It is common to plot economic and/or financial data with periods of recession, and Tutorials (Line and Symbol 6.6.3 Line Graph with Recession Bars and video) explain how to add recession bars in the graph.

The timeline of events that affected credit spreads helps us understand the movements of credit spreads. The graph has two layers to plot the Coincident index and credit spread slopes on each. The timeline labels are added into the third layer linked to the first layer. The third layer can have a middle X axis with different increment, see Origin blog which explains how to create a timeline or chronological chart in the graph. Timeline labels are added as a scatter plot. When we would like to indicate the period not the exact date, Plot Type is set to be Line+Symbol in the Layer Contents dialog.

The graph was contributed by Sumiko Takaoka of Faculty of Economics, Seikei University in Tokyo, JAPAN. It is part of a paper; Tatsuyoshi Okimoto and Sumiko Takaoka "Distribution of the credit spread curves and economic fluctuations", 2019.

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