The Information Content and Redistribution Effects of State and Municipal Rating Changes in Mexico
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Cited by:
- Alfonso Mendoza-Velázquez & Pilar Gómez-Gil, 2011. "Neural Networks, Ordered Probit Models and Multiple Discriminants. Evaluating Risk Rating Forecasts of Local Governments in Mexico," Working Papers 1, Centro de Investigación e Inteligencia Económica (CIIE), Departamento de Ciencias Sociales - UPAEP.
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More about this item
Keywords
Credit rating changes; municipal bond returns; CAPM; EGARCH-in-Mean;All these keywords.
JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- H74 - Public Economics - - State and Local Government; Intergovernmental Relations - - - State and Local Borrowing
- H77 - Public Economics - - State and Local Government; Intergovernmental Relations - - - Intergovernmental Relations; Federalism
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G20 - Financial Economics - - Financial Institutions and Services - - - General
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