Fiscal Imbalances and Borrowing Costs: Evidence from State Investment Losses

• 成果类型: Article
• 署名作者: Novy-Marx, Robert; Rauh, Joshua D.
• 署名单位: University of Rochester; National Bureau of Economic Research; University of Rochester; Northwestern University; National Bureau of Economic Research; Northwestern University
• 刊物名称: AMERICAN ECONOMIC JOURNAL-ECONOMIC POLICY
• ISSN/ISSBN: 1945-7731
• DOI: 10.1257/pol.4.2.182
• 发表日期: 2012
• 页码: 182-213
• 关键词: debt; MODEL; retirement; premium; bonds; plans

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)