Finance & Development, p. 34, September 2011
3 Pages Posted: 3 Nov 2011
Date Written: September 1, 2011
We examine the spillover effects both within the munis markets and between the bond markets for individual U.S. states and the market for U.S. Treasury securities. Results are twofold. First, we find that between most markets for individual U.S. state bonds there are negative spillovers that result in a “flight to quality.” Second, we find no substantial spillover effect between shocks originating from state securities and from federal markets, except for a few large issuers.
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