Measuring Corporate Bond Market Dislocations
Abstract/Contents
- Abstract
- We propose the Corporate Bond Market Distress Index (CMDI) to quantify corporate bond market dislocations in real time. The index takes a preponderance-of-metrics perspective to combine a broad set of measures of market functioning from primary and secondary markets but not driven by any one statistic. We document that the index correctly identifies periods of dislocations and predicts future realizations of commonly-used measures of market distress, while the converse is not the case. Moreover, theCMDI is an economically and statistically significant predictor of future economic activity, even after controlling for standard predictors, including credit spreads.
Description
Type of resource | text |
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Date created | July 29, 2021 |
Creators/Contributors
Author | Boyarchenko, Nina |
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Author | Crump, Richard K. |
Author | Kovner, Anna |
Author | Shachar, Or |
Organizer of meeting | Judd, Kenneth |
Organizer of meeting | Pohl, Walter |
Organizer of meeting | Schmedders, Karl |
Organizer of meeting | Wilms, Ole |
Subjects
Subject | economics |
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Genre | Text |
Genre | Working paper |
Genre | Grey literature |
Bibliographic information
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- User agrees that, where applicable, content will not be used to identify or to otherwise infringe the privacy or confidentiality rights of individuals. Content distributed via the Stanford Digital Repository may be subject to additional license and use restrictions applied by the depositor.
- License
- This work is licensed under a Creative Commons Attribution 4.0 International license (CC BY).
Preferred citation
- Preferred citation
- Boyarchenko, N., Crump, R., Kovner, A., and Shachar, O. (2022). Measuring Corporate Bond Market Dislocations. Stanford Digital Repository. Available at https://purl.stanford.edu/mq183tj9504
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SITE Conference 2021
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