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Essays on the Municipal Bond Market
Get PDFThe municipal bond market is a financial market that does not draw much attention from academics, researchers, the government or practitioners. However, that changed recently when the largest recession since the Great Depression impacted the U.S. economy. Now everyone is struggling to understand two major questions: 1) How do we mark to market bonds in illiquid markets? and 2) Why are 50% of new issues insured in a market that has the lowest default rate of any bond market other than the treasury market? This dissertation examines those questions in three parts.The first part, The Effect of Insurance on Municipal Bond Yields, studies the difference between insured and uninsured municipal bond yields. I find that although some of that difference is attributable to the effect of insurance, another channel comes from self selection to insure -- municipalities that choose to insure differ significantly from municipalities who choose not to insure. Without accounting for the latter self selection the insurance benefit appears undervalued. By focusing on municipalities with both outstanding insured and uninsured bonds (mixed municipalities), I identify that in the pre-crisis period insurance for such municipalities reduces municipal bond yields by 8 basis points. But analysis of homogeneous municipalities reveals the self selection effect raises yields by 6 basis points. However, during the recent financial crisis, insurance continued to lower yields by 8 bps, whereas the self selection effect increased yields by 18 basis points. Thus, my work explains the recent initially puzzling phenomenon when insured yields rose above uninsured yields. The second part, The Effect of Insurance on Liqudity, examines liquidity in the municipal bond market during the recent financial crisis. I analyze the effects of insurance on liquidity for municipal bonds and estimate how the effects of insurance change when the insurers face a loss of capital and rating downgrades. I measure liquidity in the three ways most suited for illiquid markets: the Amihud measure, Roll's bid-ask measure, and turnover. By all three measures, both before and after the financial crisis, bonds with insurance are less liquid than bonds without insurance. I also find that the liquidity of bonds with insurance decreases over the financial crisis. These findings indicate that insurance does not improve liquidity.The third part, A Municipal Bond Market Index Based on a Repeat Sales Methodology, introduces a repeat sales methodology to create an index for the municipal bond market based on transactional prices, because the current indices are based on estimated bond prices. The repeat sales methodology can calculate an index for any municipal bond characteristic. I create and analyze indices for the municipal bond market and separate indices by rating, maturity, and characteristics such as insurance and bond type (i.e. General Obligation or Revenue). Repeat sales methodology is based on the assumption that characteristics of the bond do not change over time which means the movements in bond prices are due to evolving market conditions. I compare the repeat sales indices with the existing municipal bond indices and find the repeat sales indices highly correlated with the current indices with a correlation of .8
Going Beyond Counting First Authors in Author Co-citation Analysis
Get PDFThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
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The Future Role of Fannie Mae and Freddie Mac in the U.S. Mortgage Market
Get PDFThis paper considers three sets of possible solutions for the future role of Fannie Mae and Freddie Mac within the U.S. mortgage markets: reestablishment as government sponsored enterprises (GSEs), transfer of key activities to the government, and privatization. The two firms have now operated as GSEs for decades without significantly mitigating any market failures, while their risk-taking ultimately led to a government bailout and conservatorship. I conclude that a GSE format, combining a public mission with private incentives to take risks, is basically untenable. My proposal, therefore, is a combination of a government agency and privatization. The government agency would, at least temporarily, take over the core GSE activity of securitizing prime, conforming, mortgages. The privatization would transfer any remaining net assets and any intellectual proper to the firms’ shareholders, with the firms then being reorganized as private sector entities with no further links to the U.S. government. The ultimate goal is for the private markets to take over all mortgage securitization
Variations on the Author
Get PDF“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
Credit rationing and the commercial loan market.
No full textMassachusetts Institute of Technology. Dept. of Economics. Thesis. 1968. Ph.D.Vita.Bibliography: leaves 226-230.Ph.D
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