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January 2021 Revised September 2024
JEL classification: G12, C38, E32, E44, G32
Authors: Nina Boyarchenko, Richard K. Crump, Anna Kovner, and Or Shachar
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.
I declare that I have no relevant or material financial interests that relate to the research described in my paper entitled “Measuring Corporate Bond Market Dislocations,” joint with Richard Crump, Anna Kovner, and Or Shachar. Prior to circulation, this paper was reviewed in accordance with the Federal Reserve Bank of New York review policy, available at https://www.newyorkfed.org/research/staff_reports/index.html.
Richard K. Crump
I declare that I have no relevant or material financial interests that relate to the research described in my paper entitled “Measuring Corporate Bond Market Dislocations,” joint with Nina Boyarchenko, Anna Kovner, and Or Shachar. Prior to circulation, this paper was reviewed in accordance with the Federal Reserve Bank of New York review policy, available at https://www.newyorkfed.org/research/staff_reports/index.html.
Anna Kovner
I declare that I have no relevant or material financial interests that relate to the research described in my paper entitled “Measuring Corporate Bond Market Dislocations,” joint with Nina Boyarchenko, Richard Crump, and Or Shachar. Prior to circulation, this paper was reviewed in accordance with the Federal Reserve Bank of New York review policy, available at https://www.newyorkfed.org/research/staff_reports/index.html.
Or Shachar
I declare that I have no relevant or material financial interests that relate to the research described in my paper entitled “Measuring Corporate Bond Market Dislocations,” joint with Nina Boyarchenko, Richard Crump, and Anna Kovner. Prior to circulation, this paper was reviewed in accordance with the Federal Reserve Bank of New York review policy, available at https://www.newyorkfed.org/research/staff_reports/index.html.
