Price Dynamics and Information Flows in Strategically‐Linked Debt Instruments: The NOB and MOB Constituents
研究NOB（票据对债券）和MOB（市政债对债券）期货价差成分之间的信息流动，发现票据与债券双向因果，债券到市政债单向因果，债券市场冲击影响更大，且波动溢出从债券到票据和市政债。
We examine information flows between the constituents of the NOB (notes‐over‐bonds) and MOB (municipals‐over‐bonds) futures spreads. The results suggest a bicausal relationship between notes and bonds and a unicausal relationship from bonds to municipals. Shocks in the bond market have a large impact on the municipal and note markets, whereas shocks in the municipal or note markets have a smaller impact on the bond market. Volatility spillover from bonds to notes and municipals is detected. We also find significant volatility persistence in all three markets. Spread trades are found to have an asymmetric influence on notes and municipal futures variance.