The Behavior of the Interest Rate Differential Between Tax-Exempt Revenue and General Obligation Bonds: A Test of Risk Preferences and Market Segmentation
发现收入债券与一般义务债券的利差随经济周期反向变动，且商业银行需求变化和债券供给相对变化会扩大利差，揭示了市政债券市场的风险偏好与市场分割现象。
This paper presents evidence that the yield differential between revenue bonds and similar general obligation bonds varies contracyclically with the level of economic activity. The evidence also indicates that significant investor-borrower induced market segmentation exists in the municipal bond market. An increase in the relative demand by commercial banks for tax-exempt securities and/or an increase in the supply of revenue bonds relative to the supply of general obligation bonds increase the yield spread between the two classes of debt. These findings were the result of a series of empirical tests with both macroeconomic and microeconomic data.