IDEAS home Printed from https://ideas.repec.org/a/ucp/munifj/doi10.1086-mfj36020001.html

A Time Series Model of Seasonality in the Municipal Bond Market

Author

Listed:
  • Robert A. Greer

Abstract

This study examines seasonal trends in the municipal bond market using ARIMA and ARIMAX models. The findings show higher average yields in the spring months and lower average yields in the winter months when compared to summer months. To model the municipal bond market, an index limited to general obligation bonds is used to test for both year-over-year trends and seasonal patterns. The model is developed using the Box-Jenkins method of identifying a seasonally adjusted ARIMA, and then a multivariate seasonally adjusted ARIMA model is used to test for specific month effects. Several possible explanations for seasonality are explored using a vector autoregressive model. Results show that the amount of municipal bonds approved in elections and the S&P 500 monthly earning yield predict the Bond Buyer 20-Bond General Obligation Index. These findings have implications for municipal bond investors as well as municipal bond issuers and show that future research should account for overall trends as well as the seasonal patterns in general obligation bond yields.

Suggested Citation

  • Robert A. Greer, 2015. "A Time Series Model of Seasonality in the Municipal Bond Market," Municipal Finance Journal, University of Chicago Press, vol. 36(2), pages 1-23.
    • Handle: RePEc:ucp:munifj:doi:10.1086/mfj36020001
    DOI: 10.1086/MFJ36020001
    as

    Download full text from publisher

    File URL: http://dx.doi.org/10.1086/MFJ36020001
    Download Restriction: Access to the online full text or PDF requires a subscription.
    File URL: http://dx.doi.org/10.1086/MFJ36020001
    Download Restriction: Access to the online full text or PDF requires a subscription.
    File URL: https://libkey.io/10.1086/MFJ36020001?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to

    for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ucp:munifj:doi:10.1086/mfj36020001. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Journals Division (email available below). General contact details of provider: https://www.journals.uchicago.edu/MFJ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.