Municipal Fallout

Finance & Development, p. 34, September 2011

3 Pages Posted: 3 Nov 2011

See all articles by Rabah Arezki

Rabah Arezki

International Monetary Fund (IMF)

Bertrand Candelon

University of Maastricht - Department of Economics

Amadou Nicolas Racine Sy

International Monetary Fund (IMF) - International Capital Markets Department; Brookings Institution

Date Written: September 1, 2011

Abstract

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.

Suggested Citation

Arezki, Rabah and Candelon, Bertrand and Sy, Amadou Nicolas Racine, Municipal Fallout (September 1, 2011). Finance & Development, p. 34, September 2011, Available at SSRN: https://ssrn.com/abstract=1953469

Rabah Arezki (Contact Author)

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

Bertrand Candelon

University of Maastricht - Department of Economics ( email )

P.O. Box 616
Maastricht, 6200 MD
Netherlands

Amadou Nicolas Racine Sy

International Monetary Fund (IMF) - International Capital Markets Department ( email )

700 19th Street NW
Room 9-548
Washington, DC 20431
United States
202-623-8651 (Phone)
202-589-8561 (Fax)

Brookings Institution ( email )

1775 Massachusetts Ave, NW
Washington, DC 20036
United States

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