Corporate Bond Market Distress

Nina Boyarchenko, Richard Crump, Anna Kovner and Or Shachar

No 24-09, Working Paper from Federal Reserve Bank of Richmond

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; real activity (search for similar items in EconPapers)
JEL-codes: C38 E32 E44 G12 G32 (search for similar items in EconPapers)
Pages: 65
Date: 2024-09
New Economics Papers: this item is included in nep-fdg, nep-fmk and nep-mac
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Working Paper: Corporate Bond Market Distress (2021)
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DOI: 10.21144/wp24-09

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