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首页> 外文期刊>Journal of banking & finance >Liquidity, default, taxes, and yields on municipal bonds
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Liquidity, default, taxes, and yields on municipal bonds

机译：市政债券的流动性，违约，税收和收益

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摘要

We examine the effects of liquidity, default and personal taxes on the relative yields of Treasuries and municipals using a generalized model with liquidity risk. The municipal yield model includes liquidity as a state factor. Using a unique transaction dataset, we estimate the liquidity risk of municipals and its effect on bond yields. Empirical evidence shows that municipal bond yields are strongly affected by all three factors. The effects of default and liquidity risk on municipal yields increase with maturity and credit risk. Liquidity premium accounts for about 9-13% of municipal yields for AAA bonds, 9-15% for AA/A bonds and 8-19% for BBB bonds. A substantial portion of the maturity spread between long- and short-maturity municipal bonds is attributed to the liquidity premium. Ignoring the liquidity risk effect thus results in a severe underestimation of municipal bond yields. Conditional on the effects of default and liquidity risk, we obtain implicit tax rates very close to the statutory tax rates of high-income individuals and institutional investors. Furthermore, these implicit income tax rates are quite stable across bonds of different maturities. Results show that including liquidity risk in the municipal bond pricing model helps explain the muni puzzle.
机译：我们使用具有流动性风险的广义模型研究了流动性，违约和个人税对国库券和市政的相对收益的影响。市政收益模型包括流动性作为状态因子。使用独特的交易数据集，我们估计了市政当局的流动性风险及其对债券收益率的影响。经验证据表明，市政债券收益率受到这三个因素的强烈影响。违约和流动性风险对市政收益的影响随着期限和信用风险的增加而增加。 AAA级债券的流动性溢价约占市政收益率的9-13％，AA / A债券约为9-15％，BBB债券约为8-19％。长期和短期到期的市政债券之间的到期利差的很大一部分归因于流动性溢价。因此，忽略流动性风险影响会严重低估市政债券的收益率。以违约和流动性风险的影响为条件，我们获得的隐含税率非常接近高收入个人和机构投资者的法定税率。此外，这些隐含所得税率在不同期限的债券之间相当稳定。结果表明，将流动性风险纳入市政债券定价模型有助于解释市政债务难题。

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