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Determinants of municipal loan spreads: empirical evidence from Switzerland

Author

Listed:
  • Fabio Sigrist

    (Lucerne University of Applied Sciences)

  • Patrick Köchli

    (Lucerne University of Applied Sciences)

  • Christoph Lengwiler

    (Lucerne University of Applied Sciences)

Abstract

This is the first study to investigate the determinants of risk premia paid by Swiss municipalities in the German-speaking part of Switzerland. This paper draws on a unique data set for Swiss municipalities collected during four surveys. Our results show that fiscal soundness has almost no impact on risk premia and that the introduction of a no-bailout policy did not result in higher spreads. On the other hand, investors’ general risk aversion, as well as interest rate levels, are strongly related to spread levels.

Suggested Citation

  • Fabio Sigrist & Patrick Köchli & Christoph Lengwiler, 2018. "Determinants of municipal loan spreads: empirical evidence from Switzerland," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 32(2), pages 143-166, May.
    • Handle: RePEc:kap:fmktpm:v:32:y:2018:i:2:d:10.1007_s11408-018-0307-6
    DOI: 10.1007/s11408-018-0307-6
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    References listed on IDEAS

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    More about this item

    Keywords

    Regional public finances; Credit risk; Interest rates; Government debt; Bail out; Fiscal policy;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E62 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Fiscal Policy; Modern Monetary Theory
    • H63 - Public Economics - - National Budget, Deficit, and Debt - - - Debt; Debt Management; Sovereign Debt
    • H74 - Public Economics - - State and Local Government; Intergovernmental Relations - - - State and Local Borrowing

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