This paper uses daily trade data from the EMMA database (Electronic Municipal Market Access) for the period 2004-2012 to examine the behavior of interest rates on state-issued bonds, particularly the influence of local employment shocks on state bond yields and premiums relative to US Treasury rates. This is a topic of important public policy relevance due to the budget woes of many of the US states since prices of fixed-income securities are influenced by changing beliefs about the riskiness of the future cash flows.
A.Espinosa, K. Foster and J. Schmitz. "The Term Structure of State Bond Interest Rates." Proceedings of the New York State Economics Association. vol. 6, October 2013, p. 19-28
BibTeX entry download