Sodhi, Adhiraj ORCID: https://orcid.org/0000-0002-5689-933X and Stojanovic, Aleksandar (2025) Systemic risk in corporate bond markets: thematic vs. exogenous recessions. The North American Journal of Economics and Finance:102624. ISSN 1062-9408 (Print), 1879-0860 (Online) (doi:10.1016/j.najef.2026.102624)

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Abstract

Financial crises differ not only in severity but also in the channels through which risk propagates. This paper employs a risk classification framework distinguishing between thematic recessions – slow-building crises arising from structural imbalances – and exogenous recessions, triggered by sudden external shocks. Using corporate bond market data from the UK and US, we apply distribution-sensitive econometric techniques to trace how risk drivers evolve across the spectrum of bond risk. Each recession is segmented into three phases – pre-, during, and post-recession – and tested independently. The findings show that recession type, timing, and national context critically shape systemic vulnerabilities. Risk drivers operate in strongly non-linear ways, yet UK and US markets remain tightly interconnected, highlighting persistent cross-border co-movement. These insights demonstrate how recession characteristics shape systemic fragility, advance systemic risk analysis and risk governance, and offer actionable guidance for regulators, policymakers, and risk managers.

Item Type:	Article
Uncontrolled Keywords:	bond risk, recession type, co-movement, systemic risk
Subjects:	H Social Sciences > H Social Sciences (General) H Social Sciences > HB Economic Theory H Social Sciences > HD Industries. Land use. Labor > HD61 Risk Management
Faculty / School / Research Centre / Research Group:	Greenwich Business School Greenwich Business School > School of Accounting, Finance and Economics
Last Modified:	24 Mar 2026 10:09
URI:	https://gala.gre.ac.uk/id/eprint/52727

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