Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/241150
Authors: 
Boyarchenko, Nina
Crump, Richard K.
Kovner, Anna
Shachar, Or
Year of Publication: 
2021
Series/Report no.: 
Staff Report No. 957
Abstract: 
We measure dislocations in the market for corporate bonds in real time with the Corporate Bond Market Distress Index (CMDI), allowing for the aggregation of a broad set of measures of market functioning from primary and secondary bond markets into a single measure. The index quantifies dislocations from a preponderance-of-metrics perspective, ensuring that the measure of market distress is not driven by any one statistic. We document that the index correctly identifies periods of dislocations, is robust to alternative choices of the aggregation procedure, and provides differential predictive information for future real outcomes relative to common spread measures.
Subjects: 
corporate bond market conditions
corporate bond spreads
corporate bond issuance
corporate bond liquidity
JEL: 
G12
G19
C43
E37
Document Type: 
Working Paper

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