Fiscal Imbalances and Borrowing Costs: Evidence from State Investment Losses
研究了2008年第四季度美国各州养老金基金损失对市政债券利差的影响，发现信用质量较低的州每损失相当于州收入10%的资金，债券利差上升7-15个基点。
During the last quarter of 2008, financial losses in state pension funds varied from 12 percent to 68 percent of the revenue generated by the state government. We quantify a sovereign default channel in the state municipal market by examining how changes in bond spreads vary with state pension fund losses, controlling for credit ratings and various measures of the state's fiscal strength. Municipal bond spreads rose by 7–15 basis points for each 10 percent of state-generated revenue lost by states in the lower half of the credit quality spectrum.