Corporate bond market distress

Nina Boyarchenko, Richard Crump, Anna Kovner and Or Shachar

Journal of Monetary Economics, 2025, vol. 152, issue C

Abstract: We link bond market functioning to future economic activity through a new measure, the Corporate Bond Market Distress Index (CMDI). The CMDI coalesces metrics from primary and secondary markets in real time, offering a unified measure to capture access to debt capital markets. The index correctly identifies periods of distress and predicts future realizations of commonly-used measures of market functioning, while the converse is not the case. We show that disruptions in access to corporate bond markets have an economically material, statistically significant impact on the real economy, even after controlling for standard predictors including credit spreads.

Keywords: Credit conditions; Primary and secondary corporate bond market; Dimension reduction; Financial conditions and real activity (search for similar items in EconPapers)
JEL-codes: C38 E32 E44 G12 G32 (search for similar items in EconPapers)
Date: 2025
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Working Paper: Corporate Bond Market Distress (2024)
Working Paper: Corporate Bond Market Distress (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:moneco:v:152:y:2025:i:c:s0304393225000364

DOI: 10.1016/j.jmoneco.2025.103765

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