Measuring The Forest Through The Trees: The Corporate Bond Market Distress Index
-- this post authored by Nina Boyarchenko, Richard Crump, Anna Kovner, and Or Shachar With more than $10.4 trillion outstanding as of Q3:2020, the U.S. corporate bond market is a significant source of funding for most large U.S. corporations. While prior literature offers a variety of measures to capture different aspects of corporate bond market functioning, there is little consensus on how to use those measures to identify periods of distress in the market as a whole. In this post, we describe the U.S. Corporate Bond Market Distress Index (CMDI), which offers a single measure to quantify jo...
Source: econintersect.com