Report
Corporate Bond Market Distress
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.
JEL Classification: C38; E32; E44; G12; G32;
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Bibliographic Information
Provider: Federal Reserve Bank of New York
Part of Series: Staff Reports
Publication Date: 2021-01-01
Number: 957
Note: Revised December 2022 and September 2024. Previous title: “Measuring Corporate Bond Market Dislocations.”