For US bonds, we include government and corporate bond portfolios in the same class. (Our choice to combine US government and corporate bonds into a single asset class is driven by our desire to estimate prices of intermediary capital risk separately for each asset class. Treating US government bonds as its own asset class is not statistically sensible due to the very high correlation in the returns on these portfolios.)
For corporate bonds, we use ten portfolios sorted on yield spreads from Nozawa (2017). These portfolios are based on a comprehensive bond data set combining TRACE, the Lehman bond database, and others, starting in 1973.
For US bonds, we include government and corporate bond portfolios in the same class. (Our choice to combine US government and corporate bonds into a single asset class is driven by our desire to estimate prices of intermediary capital risk separately for each asset class. Treating US government bonds as its own asset class is not statistically sensible due to the very high correlation in the returns on these portfolios.)
For corporate bonds, we use ten portfolios sorted on yield spreads from Nozawa (2017). These portfolios are based on a comprehensive bond data set combining TRACE, the Lehman bond database, and others, starting in 1973.