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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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  • Crowder, William J. & Wohar, Mark E., 1999. "The changing long-run linkage between yields on Treasury and municipal bonds and the 1986 Tax Act," Review of Financial Economics, Elsevier, vol. 8(2), pages 101-119.
  • Handle: RePEc:eee:revfin:v:8:y:1999:i:2:p:101-119
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    References listed on IDEAS

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    1. Barro, Robert J & Sahasakul, Chaipat, 1986. "Average Marginal Tax Rates from Social Security and the Individual Income Tax," The Journal of Business, University of Chicago Press, vol. 59(4), pages 555-566, October.
    2. 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.
    3. Fortune, Peter, 1988. "Municipal Bond Yields: Whose Tax Rates Matter?," National Tax Journal, National Tax Association, vol. 41(2), pages 219-33, June.
    4. 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 102-118, February.
    5. Fortune, Peter, 1988. "Municipal Bond Yields: Whose Tax Rates Matter?," National Tax Journal, National Tax Association;National Tax Journal, vol. 41(2), pages 219-233, June.
    6. 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 461-472, August.
    7. 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 1127-1140, September.
    8. 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.
    9. 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 1239-1246, December.
    10. 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.
    11. 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.
    12. Crowder, William J, 1998. "The Long-Run Link between Money Growth and Inflation," Economic Inquiry, Western Economic Association International, vol. 36(2), pages 229-243, April.
    13. Peter Fortune, 1996. "Do municipal bond yields forecast tax policy?," New England Economic Review, Federal Reserve Bank of Boston, issue Sep, pages 29-48.
    14. 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 266-276, June.
    15. Miller, Merton H, 1977. "Debt and Taxes," Journal of Finance, American Finance Association, vol. 32(2), pages 261-275, May.
    16. Tanzi, Vito, 1980. "Inflationary Expectations, Economic Activity, Taxes, and Interest Rates," American Economic Review, American Economic Association, vol. 70(1), pages 12-21, March.
    17. 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, February.
    18. 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.
    19. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-1580, November.
    20. 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.
    21. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    22. 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.
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