## Are there Spillover Effects From Munis?

_IMF Working Papers, December 1, 2011_

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## Bibliographic details
- Authors: Bertrand Candelon, Rabah Arezki, Amadou N Sy
- Published: December 1, 2011
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781463927240.001

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### Research question and data
- 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:
  - Forbes and Rigobon (2002) spillover test.
  - Causality tests in the frequency domain.

### Key findings
- Within-state-market spillovers:
  - Between most markets for individual U.S. state bonds there are negative spillovers.
  - Interpretation: an increase in borrowing costs in one U.S. state results in better borrowing conditions for other states.
- Between state (municipal) and federal (Treasury) markets:
  - No substantial spillover effect between shocks originating from state securities and from federal markets, except for a few large issuers.
- Directional causality:
  - The Treasury bond market directly causes changes in the markets for municipal bonds in both the short and long run.
  - There is some evidence of causality from the municipal to the Treasury bond market, but only of a long-run nature.
- Policy implication summary:
  - Results shed light on the policy debate on the nature of spillover effects within fiscal unions.

### Publication and metadata
- 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

*Source: IMF Working Paper "Are there Spillover Effects From Munis?" (Working Paper No. 2011/290, December 1, 2011).*

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_Source: https://www.imf.org/en/publications/wp/issues/2016/12/31/are-there-spillover-effects-from-munis-25425_