Verfügbarkeit: Are there Spillover Effects From Munis?

Are there Spillover Effects From Munis?:

This paper studies the spillover effects both within the bond markets for individual U.S. states and between the latter and the market for U.S. Treasury securities. We perform the Forbes and Rigobon (2002) spillover test using daily bond yield data over the period 2005 to 2011. Results are twofold....

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1. Verfasser:	Candelon, Bertrand (VerfasserIn)
Format:	Elektronisch E-Book
Sprache:	English
Veröffentlicht:	Washington, D.C International Monetary Fund 2011
Schriftenreihe:	IMF Working Papers Working Paper No. 11/290
Online-Zugang:	UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 Volltext
Zusammenfassung:	This paper studies the spillover effects both within the bond markets for individual U.S. states and between the latter and the market for U.S. Treasury securities. We perform the Forbes and Rigobon (2002) spillover test using daily bond yield data over the period 2005 to 2011. Results are twofold. First, we find that between most markets for individual U.S. state bonds there are negative spillovers. In other words, an increase in borrowing costs in one U.S. state results in better borrowing conditions for other states. Second, we find no substantial spillover effect between shocks originating from state securities and from federal markets, except for a few large issuers. Using causality tests in the frequency domain, we find that the Treasury bond market directly causes changes in the markets for municipal bonds in both the short and long run. There is also some evidence of causality from the municipal to the Treasury bond market, but only of a long-run nature. Our results shed some light on the policy debate on the nature of spillover effects within fiscal unions
Beschreibung:	1 Online-Ressource (19 p)
ISBN:	146392724X 9781463927240

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spelling	Candelon, Bertrand Verfasser aut Are there Spillover Effects From Munis? Candelon, Bertrand Washington, D.C International Monetary Fund 2011 1 Online-Ressource (19 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers Working Paper No. 11/290 This paper studies the spillover effects both within the bond markets for individual U.S. states and between the latter and the market for U.S. Treasury securities. We perform the Forbes and Rigobon (2002) spillover test using daily bond yield data over the period 2005 to 2011. Results are twofold. First, we find that between most markets for individual U.S. state bonds there are negative spillovers. In other words, an increase in borrowing costs in one U.S. state results in better borrowing conditions for other states. Second, we find no substantial spillover effect between shocks originating from state securities and from federal markets, except for a few large issuers. Using causality tests in the frequency domain, we find that the Treasury bond market directly causes changes in the markets for municipal bonds in both the short and long run. There is also some evidence of causality from the municipal to the Treasury bond market, but only of a long-run nature. Our results shed some light on the policy debate on the nature of spillover effects within fiscal unions Online-Ausg Arezki, Rabah Sonstige oth Sy, Amadou N. R. Sonstige oth http://elibrary.imf.org/view/IMF001/12355-9781463927240/12355-9781463927240/12355-9781463927240.xml Verlag URL des Erstveröffentlichers Volltext
spellingShingle	Candelon, Bertrand Are there Spillover Effects From Munis?
title	Are there Spillover Effects From Munis?
title_auth	Are there Spillover Effects From Munis?
title_exact_search	Are there Spillover Effects From Munis?
title_exact_search_txtP	Are there Spillover Effects From Munis?
title_full	Are there Spillover Effects From Munis? Candelon, Bertrand
title_fullStr	Are there Spillover Effects From Munis? Candelon, Bertrand
title_full_unstemmed	Are there Spillover Effects From Munis? Candelon, Bertrand
title_short	Are there Spillover Effects From Munis?
title_sort	are there spillover effects from munis
url	http://elibrary.imf.org/view/IMF001/12355-9781463927240/12355-9781463927240/12355-9781463927240.xml
work_keys_str_mv	AT candelonbertrand aretherespillovereffectsfrommunis AT arezkirabah aretherespillovereffectsfrommunis AT syamadounr aretherespillovereffectsfrommunis

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