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The changing long-run linkage between yields on Treasury and municipal bonds and the 1986 Tax Act

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  • Crowder, William J.
  • Wohar, Mark E.

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Bibliographic Info

Article provided by Elsevier in its journal Review of Financial Economics.

Volume (Year): 8 (1999)
Issue (Month): 2 ()
Pages: 101-119

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Handle: RePEc:eee:revfin:v:8:y:1999:i:2:p:101-119

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Web page: http://www.elsevier.com/locate/inca/620170

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References

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  1. Fortune, Peter, 1988. "Municipal Bond Yields: Whose Tax Rates Matter?," National Tax Journal, National Tax Association, vol. 41(2), pages 219-33, June.
  2. Robert J. Barro & Chaipat Sahasakul, 1983. "Average Marginal Tax Rates from Social Security and the Individual Income Tax," NBER Working Papers 1214, National Bureau of Economic Research, Inc.
  3. Yawitz, Jess B & Maloney, Kevin J & Ederington, Louis H, 1985. " Taxes, Default Risk, and Yield Spreads," Journal of Finance, American Finance Association, vol. 40(4), pages 1127-40, September.
  4. Kryzanowski, Lawrence & Xu, Kuan, 1997. "Long-term equilibria of yields on taxable and tax-exempt bonds," International Review of Economics & Finance, Elsevier, vol. 6(2), pages 119-143.
  5. Kidwell, David S & Koch, Timothy W, 1983. "Market Segmentation and the Term Structure of Municipal Yields," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 15(1), pages 40-55, February.
  6. Peter Fortune, 1996. "Do municipal bond yields forecast tax policy?," New England Economic Review, Federal Reserve Bank of Boston, issue Sep, pages 29-48.
  7. Campbell, Tim S, 1980. "On the Extent of Segmentation in the Municipal Securities Market," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 12(1), pages 71-83, February.
  8. Peter N. Ireland, 1996. "Long-term interest rates and inflation: a Fisherian approach," Economic Quarterly, Federal Reserve Bank of Richmond, issue Win, pages 21-36.
  9. William J. Crowder & Mark E. Wohar, 1999. "Are Tax Effects Important in the Long-Run Fisher Relationship? Evidence from the Municipal Bond Market," Journal of Finance, American Finance Association, vol. 54(1), pages 307-317, 02.
  10. Tanzi, Vito, 1980. "Inflationary Expectations, Economic Activity, Taxes, and Interest Rates," American Economic Review, American Economic Association, vol. 70(1), pages 12-21, March.
  11. Miller, Merton H, 1977. "Debt and Taxes," Journal of Finance, American Finance Association, vol. 32(2), pages 261-75, May.
  12. Darby, Michael R, 1975. "The Financial and Tax Effects of Monetary Policy on Interest Rates," Economic Inquiry, Western Economic Association International, vol. 13(2), pages 266-76, June.
  13. Crowder, William J, 1998. "The Long-Run Link between Money Growth and Inflation," Economic Inquiry, Western Economic Association International, vol. 36(2), pages 229-43, April.
  14. Bierman, Harold & Hass, Jerome E., 1975. "An Analytical Model of Bond Risk Differentials," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 10(05), pages 757-773, December.
  15. Crowder, William J & Hoffman, Dennis L, 1996. "The Long-Run Relationship between Nominal Interest Rates and Inflation: The Fisher Equation Revisited," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 28(1), pages 102-18, February.
  16. Schwert, G. William, 1987. "Effects of model specification on tests for unit roots in macroeconomic data," Journal of Monetary Economics, Elsevier, vol. 20(1), pages 73-103, July.
  17. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
  18. Hein, Scott E & Koch, Timothy W & MacDonald, S Scott, 1995. "The Changing Role of Commercial Banks in the Municipal Securities Market," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 27(3), pages 894-906, August.
  19. Osterwald-Lenum, Michael, 1992. "A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 461-72, August.
  20. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November.
  21. Kidwell, David S & Trzcinka, Charles A, 1982. " Municipal Bond Pricing and the New York City Fiscal Crisis," Journal of Finance, American Finance Association, vol. 37(5), pages 1239-46, December.
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