This paper empirically investigates how trading rates in the secondary corporate bond s market correlate with changes in the country s economic activity. The database consists of corporate bonds with floating rates tied to CDI (plus) spread from January 2010 to December 2019. For this purpose, a Credit Spread Index was created, aiming to be an indicator of economic activity. The second step was to decompose the Index into a component that captures companies default expectations, observing their financial statement data, and a residual component – the Excess Bond Premium. In line with references, the paper suggests that an increase in Excess Bond Premium, generates a reduction in the supply of credit, as well as an increase in the rates of corporate bonds, which, according to the theory studied, leads to a slowdown in economic activity. The study suggests that an increase of 100 basis points in the Excess Bond Premium leads to a drop of 4.2 percent in GDP growth rate.