Price distortions and municipal bonds premiums:evidence from Switzerland
作者机构：Department for FinanceSt.Petersburg School of Economics and ManagementNational Research University Higher School of EconomicsKantemirovskaya 3AOffice 331Sankt Petersburg 194100Russia
出 版 物：《Financial Innovation》 (金融创新（英文）)
年 卷 期：2021年第7卷第1期
页 面：1359-1379页
核心收录：
学科分类：0202[经济学-应用经济学] 07[理学] 0701[理学-数学] 070101[理学-基础数学]
主 题：Municipal bonds Risk premiums Bond spreads Price distortions
摘 要：This study examines the pricing of municipal bonds before and after a currency shock in *** approaches are used to decompose the municipal to treasuries bond spreads into liquidity,maturity,and default risk *** first approach is the model of the cross-sectional instrumental variables,and the second approach is the model of the instrumental variables with panel *** study examines the composition of spreads for both approaches,in three scenarios:before,throughout,and after the currency *** study performed Durbin-Wu-Hausman tests for each decisive model to verify endogeneity issues,including the Lagrangian Multiplier test,the Cragg-Donald Wald F statistic to confirm the relationship of instrumental and endogenous variables,and the structural break test(Bai-Perron test)to determine the existence of structural breaks in bond *** study finds that the currency price distortions of the Swiss franc in January 2015 made long-run changes in the composition of the municipal bond *** research contributes to the understanding of municipal bond pricing by showing that default risk accounts for a large portion of the municipal bond spread,while maturity risk plays a lesser *** to our empirical findings,unexpected large currency price shocks may have long-term implications on the municipal bond spreads.
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