{
  "title": "Are there Spillover Effects From Munis?",
  "publication": "IMF Working Papers, December 1, 2011",
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  "summary": "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.",
  "sections": [
    {
      "heading": "Research question and data",
      "content": "- Objective: Study spillover effects within bond markets for individual U.S. states and between those markets and the U.S. Treasury securities market.\n- Data: daily bond yield data over the period 2005 to 2011.\n- Methodology:\n  - Forbes and Rigobon (2002) spillover test.\n  - Causality tests in the frequency domain."
    },
    {
      "heading": "Key findings",
      "content": "- Within-state-market spillovers:\n  - Between most markets for individual U.S. state bonds there are negative spillovers.\n  - Interpretation: an increase in borrowing costs in one U.S. state results in better borrowing conditions for other states.\n- Between state (municipal) and federal (Treasury) markets:\n  - No substantial spillover effect between shocks originating from state securities and from federal markets, except for a few large issuers.\n- Directional causality:\n  - The Treasury bond market directly causes changes in the markets for municipal bonds in both the short and long run.\n  - There is some evidence of causality from the municipal to the Treasury bond market, but only of a long-run nature.\n- Policy implication summary:\n  - Results shed light on the policy debate on the nature of spillover effects within fiscal unions."
    },
    {
      "heading": "Publication and metadata",
      "content": "- Authors: Bertrand Candelon, Rabah Arezki, Amadou N Sy\n- Date: December 1, 2011\n- Series: Working Paper No. 2011/290\n- Issue: 290\n- Pages: 19\n- DOI: https://doi.org/10.5089/9781463927240.001\n- Stock No: WPIEA2011290\n- ISBN: 9781463927240\n- ISSN: 1018-5941\n- Subjects/Keywords: Bond yields, Municipal bonds, Securities markets, Treasury bills and bonds, Yield curve; bond market, market, municipal bond, Treasury bond market, WP\n\nSource: IMF Working Paper \"Are there Spillover Effects From Munis?\" (Working Paper No. 2011/290, December 1, 2011).\n\n---\n\n Content in this bundle\n\n- wp11290 - References\n  - wp11290 - References (Markdown version){rel=\"alternate\" type=\"text/markdown\"}\n  - wp11290 - References (PDF){rel=\"external\" type=\"application/pdf\"}\n\n---\n\nSource: https://www.imf.org/en/publications/wp/issues/2016/12/31/are-there-spillover-effects-from-munis-25425"
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    "Authors: Bertrand Candelon, Rabah Arezki, Amadou N Sy",
    "Published: December 1, 2011",
    "Series: IMF Working Papers",
    "DOI: https://doi.org/10.5089/9781463927240.001",
    "Objective: Study spillover effects within bond markets for individual U.S. states and between those markets and the U.S. Treasury securities market.",
    "Data: daily bond yield data over the period 2005 to 2011.",
    "Methodology:",
    "Within-state-market spillovers:",
    "Between state (municipal) and federal (Treasury) markets:",
    "Directional causality:",
    "Policy implication summary:",
    "Authors: Bertrand Candelon, Rabah Arezki, Amadou N Sy",
    "Date: December 1, 2011",
    "Series: Working Paper No. 2011/290",
    "Issue: 290",
    "Pages: 19",
    "DOI: https://doi.org/10.5089/9781463927240.001",
    "Stock No: WPIEA2011290",
    "ISBN: 9781463927240",
    "ISSN: 1018-5941",
    "Subjects/Keywords: Bond yields, Municipal bonds, Securities markets, Treasury bills and bonds, Yield curve; bond market, market, municipal bond, Treasury bond market, WP",
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