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dc.contributor.authorYoo, Woongsun
dc.date.accessioned2017-08-23T20:23:39Z
dc.date.available2017-08-23T20:23:39Z
dc.date.issued2016
dc.identifier.isbn9781369185188
dc.identifier.other1844996032
dc.identifier.urihttp://hdl.handle.net/10477/76245
dc.description.abstractThis paper proposes a dynamic pricing model for municipal bonds with the liquidity factor and time-varying risk premiums. I estimate the parameters of the model using the Kalman filter. I find that the estimate of the marginal investor’s income tax rate from the generalized model is very close to the statutory corporate tax rate over the periods with different tax regimes. Ignoring the liquidity risk premium which is an important component of municipal yields, and failing to use the estimation method that efficiently captures time-varying features of risk premiums result in biased estimation of marginal investor’s implicit tax rates.
dc.languageEnglish
dc.sourceDissertations & Theses @ SUNY Buffalo,ProQuest Dissertations & Theses Global
dc.subjectSocial sciences
dc.subjectKalman filter
dc.subjectLiquidity
dc.subjectMarginal tax rate
dc.subjectMunicipal bond yields
dc.titleLiquidity, taxes and yield spreads between tax-exempt and taxable bonds
dc.typeDissertation/Thesis


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