Candelon, Bertrand; Arezki, Rabah; Sy, Amadou N. R. - International Monetary Fund (IMF) - 2011
This paper studies the spillover effects both within the bond markets for individual U.S. states and between the latter … and the market for U.S. Treasury securities. We perform the Forbes and Rigobon (2002) spillover test using daily bond … find that the Treasury bond market directly causes changes in the markets for municipal bonds in both the short and long …