Essays on the municipal bond market.
详细信息
文摘
This dissertation focuses on the municipal bond market. Chapter 1 first introduces the classification of municipal bonds,then summarizes the literature that talk about the determinants of municipal bond yields,and finally classifies the determinants into three classes: the economic status of the state where the bond is issued,the demographic characteristics of the state,and the financial status of the state or the local government where the bond is issued. Chapter 2 introduces two nonparametric econometric techniques,including nonparametric regressions and gradient boosting. Compared with traditional ordinary least square methods,these two techniques can help us capture both nonlinearity and potential random interactions among key determinants in the analysis of municipal bond yields. Chapter 3 performs a comprehensive analysis on the determinants of general obligation municipal bond yields and examines the impact of the recent financial crisis on the underlying relations. A systematic comparison of the relations before and after the 2008 financial crisis shows that the economic and financial health of local governments has become markedly more diverse since the crisis began. The relation between the municipal bond yields and the economic and financial health of the local governments has also become stronger because of the larger differentiation among the local governments and hence larger signal to noise ratio,as well as closer scrutiny by market participants on the economic fundamentals of municipal governments. Chapter 3 also provides a new prediction framework and shows that accommodating nonlinearities and random interaction effects can significantly enhance the predictive performance on the municipal bond yields.