Fiscal Imbalances and Borrowing Costs: Evidence from State Investment Losses

被引：19

作者：

Novy-Marx, Robert ^{[1
,2
]}

Rauh, Joshua D. ^{[3
,4
]}

机构：

[1] Univ Rochester, Rochester, NY 14627 USA

[2] NBER, Simon Grad Sch Business, Dept Finance, Rochester, NY 14627 USA

[3] Northwestern Univ, Kellogg Sch Management, Dept Finance, Evanston, IL 60208 USA

[4] Northwestern Univ, NBER, Dept Finance, Evanston, IL 60208 USA

来源：

AMERICAN ECONOMIC JOURNAL-ECONOMIC POLICY | 2012年 / 4卷 / 02期

关键词：

DEBT; MODEL; RETIREMENT; PREMIUM; BONDS; PLANS;

D O I：

10.1257/pol.4.2.182

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

During the last quarter of 2008, financial losses in state pension funds varied from 12 percent to 68 percent of the revenue generated by the state government. We quantify a sovereign default channel in the state municipal market by examining how changes in bond spreads vary with state pension fund losses, controlling for credit ratings and various measures of the state's fiscal strength. Municipal bond spreads rose by 7-15 basis points for each 10 percent of state-generated revenue lost by states in the lower half of the credit quality spectrum. (JEL H71, H72, H74, H75)

引用

页码：182 / 213

页数：32

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