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Essays on Municipal Bonds.

Zhang, Xuan.

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Essays on Municipal Bonds.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Essays on Municipal Bonds./
作者:	Zhang, Xuan.
出版者:	Ann Arbor : ProQuest Dissertations & Theses, : 2018,
面頁冊數:	131 p.
附註:	Source: Dissertation Abstracts International, Volume: 79-08(E), Section: A.
Contained By:	Dissertation Abstracts International79-08A(E).
標題:	Economics. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10690270
ISBN:	9780355679328

Essays on Municipal Bonds.
Zhang, Xuan.

Essays on Municipal Bonds. - Ann Arbor : ProQuest Dissertations & Theses, 2018 - 131 p.

Source: Dissertation Abstracts International, Volume: 79-08(E), Section: A.

Thesis (Ph.D.)--State University of New York at Buffalo, 2018.

Municipal bonds are debt obligations issued by states, cities, counties, and other local governmental institutions. Since the first issuance in 1812, municipal bonds have contributed to the development of U.S. economy in supporting projects such as hospitals, airports, and universities. According to the Municipal Securities Rulemaking Board (MSRB), two-thirds of the infrastructure constructions in the U.S. are funded by municipal bonds. By 2016, the total amount of outstanding municipal bonds has reached to $3.83 trillion. Because of the large size of municipal bonds and their great influence on the economy, understanding the factors affecting municipal bonds is essential to issuers, investors, and other participants of the municipal bond market.

ISBN: 9780355679328Subjects--Topical Terms:

517137
Economics.

Essays on Municipal Bonds.
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300 $a 131 p.
500 $a Source: Dissertation Abstracts International, Volume: 79-08(E), Section: A.
500 $a Advisers: Chunchi Wu; Nagesh Revankar.
502 $a Thesis (Ph.D.)--State University of New York at Buffalo, 2018.
520 $a Municipal bonds are debt obligations issued by states, cities, counties, and other local governmental institutions. Since the first issuance in 1812, municipal bonds have contributed to the development of U.S. economy in supporting projects such as hospitals, airports, and universities. According to the Municipal Securities Rulemaking Board (MSRB), two-thirds of the infrastructure constructions in the U.S. are funded by municipal bonds. By 2016, the total amount of outstanding municipal bonds has reached to $3.83 trillion. Because of the large size of municipal bonds and their great influence on the economy, understanding the factors affecting municipal bonds is essential to issuers, investors, and other participants of the municipal bond market.
520 $a The central question in the research of municipal bonds is that issuers want to save financing costs for tax payers and investors want to maximize their return while avoiding default risk. Revolving around this question, there are several key issues of the municipal bond research, including the pricing of municipal bond, the role of municipal bond insurance, and the liquidity of municipal bond market. This thesis addresses the issues above with the following three chapters.
520 $a In Chapter one, we examine the effect of insurers' default risk on uninsured and insured municipal bonds. Using the municipal bond panel data over the period of 2004 to 2011, we find that heightened default risk of bond insurers leads to higher yields not only for the insured bond but also for the uninsured bond. For an uninsured municipal bond, the spillover effect can come from both its affiliated and unaffiliated insurers. Moreover, insurers' default risk has an adverse effect on the liquidity of both insured and uninsured bonds. Our results show that the rising default risk of monoline insurers contributes to the deterioration in municipal bond market liquidity during the recent crisis period.
520 $a In Chapter two, I study the liquidity enhancement effect of municipal bond insurance. Previously, evaluation of the liquidity enhancement effect is difficult because part of the improved liquidity of an insured bond comes from improved credit quality that results from the bond being insured. To overcome this problem, I use the rating recalibration implemented by Moody's to estimate the liquidity enhancement effect since this rating recalibration is unrelated with underlying credit quality. Throughout the analysis, I focus on whether the rating recalibration brings any additional benefits to insured municipal bonds. The main finding of this paper is that compared to uninsured municipal bonds, insured municipal bonds enjoy a greater yield reduction after rating recalibration, both in the secondary market and in the primary market. In addition, by analyzing bond liquidity measures, I show that rating recalibration improves the liquidity of recalibrated municipal bonds, and the improvement in liquidity is larger for insured municipal bonds than for uninsured municipal bonds. Since the credit quality of municipal bonds remains the same, I attribute the additional benefits to the liquidity enhancement effect of insurance. This paper suggests that insurance is still an option for municipal bond issuers who seek ways to improve the liquidity of bonds and to lower financing costs.
520 $a In Chapter three, we use a two-step estimation method to study the determinants of municipal bond yields. Using quarterly data over the period of 2001 to 2010, we find that three types of risk factors, the default risk, the liquidity risk, and the funding liquidity risk, jointly determine municipal bond yields. Furthermore, we show that municipal bond yields are more sensitive to risk factors during the 2007-2009 subprime crisis. In addition, our results suggest that the administration ability of government is useful in the prediction of bond ratings. Previous literature on municipal bond yields uses rating as the default risk proxy, creating an identification problem. Studies using the two-step method to solve the identification problem haven't considered risk factors such as liquidity risk and funding liquidity risk. This study contributes by combining the two-step method with three risk factors in the analysis of municipal bond yields.
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