Corrections: The Interest Cost Effect of Private Municipal Bond Insurance

1981 ◽  
Vol 48 (4) ◽  
pp. 724
Keyword(s):  
Municipal Bond ◽  
Bond Insurance ◽  
Cost Effect

THE INTEREST COST EFFECT OF PRIVATE MUNICIPAL BOND INSURANCE

1980 ◽  
Vol 15 (4) ◽  
pp. 19-20 ◽  
Author(s):  
Charles W. Cole ◽  
Dennis T. Officer
Keyword(s):  
Municipal Bond ◽  
Bond Insurance ◽  
Cost Effect

The Interest Cost Effect of Private Municipal Bond Insurance

1981 ◽  
Vol 48 (3) ◽  
pp. 435 ◽  
Author(s):  
Charles W. Cole ◽  
Dennis T. Officer
Keyword(s):  
Municipal Bond ◽  
Bond Insurance ◽  
Cost Effect

Municipal Bond Insurance: Trends and Prospects

2002 ◽  
Vol 22 (4) ◽  
pp. 114-137 ◽  
Author(s):  
Jonathan B. Justice ◽  
Stewart Simon
Keyword(s):  
Municipal Bond ◽  
Bond Insurance

scholarly journals Modeling Municipal Yields With (and Without) Bond Insurance

2019 ◽  
Vol 65 (8) ◽  
pp. 3694-3713 ◽  
Author(s):  
Albert Lee Chun ◽  
Ethan Namvar ◽  
Xiaoxia Ye ◽  
Fan Yu
Keyword(s):  
Dominant Role ◽  
Corporate Bonds ◽  
Credit Default Swap ◽  
Municipal Bond ◽  
Estimated Parameters ◽  
Dramatic Decline ◽  
Credit Default ◽  
Bond Insurance ◽  
Default Risks ◽  
The Business Cycle

We develop an intensity-based model of municipal yields, making simultaneous use of the credit default swap premiums of the insurers and both insured and uninsured municipal bond transactions. We estimate the model individually for 61 municipal issuers by exploiting the dramatic decline in credit quality of the bond insurers from July 2007 to June 2008, and decompose the municipal yield spread based on the estimated parameters. The decomposition reveals a dominant role of the liquidity component as well as interactions between liquidity and default similar to those modeled by Chen et al. [Chen H, Cui R, He Z, Milbradt K (2018) Quantifying liquidity and default risks of corporate bonds over the business cycle. Rev. Financial Stud. 31(3):852–897.] for corporate bonds. Toward the end of the sample period, our model also reproduces the “yield inversion” phenomenon documented in the literature. This paper was accepted by Neng Wang, finance.

Sign in / Sign up

Export Citation Format

Share Document