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. First, we find that between most markets for... READ MORE...

Publication date: December 2011
ISBN 9781463927240
$18.00

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