Working Paper
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.
Keywords: credit conditions; primary and secondary corporate bond market; dimension reduction; financial conditions; real activity;
JEL Classification: C38; E32; E44; G12; G32;
https://doi.org/10.21144/wp24-09
Access Documents
File(s):
File format is application/pdf
https://www.richmondfed.org/-/media/RichmondFedOrg/publications/research/working_papers/2024/wp24-09.pdf
Description: Working Paper
Bibliographic Information
Provider: Federal Reserve Bank of Richmond
Part of Series: Working Paper
Publication Date: 2024-09
Number: 24-09