Corporate bond market distress

• 成果类型: Article
• 署名作者: Boyarchenko, Nina; Crump, Richard K.; Kovner, Anna; Shachar, Or
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - New York; Centre for Economic Policy Research - UK; Leibniz Association; Ifo Institut; Federal Reserve System - USA; Federal Reserve Bank - Richmond
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2025.103765
• 发表日期: 2025
• 关键词: Credit conditions; Primary and secondary corporate bond market; Dimension Reduction; Financial conditions and real activity

摘要

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.