Skip to main content

Main menu

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JFI
    • Editorial Board
    • Published Ahead of Print (PAP)
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

User menu

  • Sample our Content
  • Request a Demo
  • Log in

Search

  • ADVANCED SEARCH: Discover more content by journal, author or time frame
The Journal of Fixed Income
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Request a Demo
  • Log in
The Journal of Fixed Income

The Journal of Fixed Income

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JFI
    • Editorial Board
    • Published Ahead of Print (PAP)
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter
Article

Counterparty Credit Risk in the Municipal Bond Market

San-Lin Chung, Chen-Wei Kao, Chunchi Wu and Chung-Ying Yeh
The Journal of Fixed Income Summer 2015, 25 (1) 7-33; DOI: https://doi.org/10.3905/jfi.2015.25.1.007
San-Lin Chung
is a professor of finance in the College of Management at National Taiwan University in Taipei, Taiwan.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: chungsl@ntu.edu.tw
Chen-Wei Kao
is a research associate in the College of Management at National Chung Hsing University in Taichung, Taiwan.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: d9721003@mail.nchu.edu.tw
Chunchi Wu
is M&T Chair in Banking and Finance in the School of Management at the State University of New York at Buffalo in Buffalo, NY.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: chunchiw@buffalo.edu
Chung-Ying Yeh
is an associate professor of finance in the College of Management at National Chung Hsing University in Taichung, Taiwan.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: cyyeh1@dragon.nchu.edu.tw
  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
Loading

Click to login and read the full article.

Don’t have access? Click here to request a demo 
Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600

Abstract

A large number of municipal bonds are guaranteed by monoline insurers who are at the center of the subprime crisis. This article investigates the effect of insurer-related counterparty risk on municipal bond pricing using a comprehensive dataset. The authors estimate both insurer-specific and systemic components of a counterparty risk effect. Results show that the magnitude of the counterparty risk effect is of economic significance even in normal times and is magnified during the crisis. The findings also indicate that this effect is much larger than that documented for the credit default swap and repo markets. The counterparty risk premium is higher for speculative-grade and illiquid bonds and for bonds issued by troubled states.

  • © 2015 Pageant Media Ltd
View Full Text

Don’t have access? Click here to request a demo

Alternatively, Call a member of the team to discuss membership options

US and Overseas: +1 646-931-9045

UK: 0207 139 1600

Log in using your username and password

Forgot your user name or password?
PreviousNext
Back to top

Explore our content to discover more relevant research

  • By topic
  • Across journals
  • From the experts
  • Monthly highlights
  • Special collections

In this issue

The Journal of Fixed Income: 25 (1)
The Journal of Fixed Income
Vol. 25, Issue 1
Summer 2015
  • Table of Contents
  • Index by author
Print
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on The Journal of Fixed Income.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
Counterparty Credit Risk in the Municipal Bond Market
(Your Name) has sent you a message from The Journal of Fixed Income
(Your Name) thought you would like to see the The Journal of Fixed Income web site.
CAPTCHA
This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.
Citation Tools
Counterparty Credit Risk in the Municipal Bond Market
San-Lin Chung, Chen-Wei Kao, Chunchi Wu, Chung-Ying Yeh
The Journal of Fixed Income Jun 2015, 25 (1) 7-33; DOI: 10.3905/jfi.2015.25.1.007

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
Counterparty Credit Risk in the Municipal Bond Market
San-Lin Chung, Chen-Wei Kao, Chunchi Wu, Chung-Ying Yeh
The Journal of Fixed Income Jun 2015, 25 (1) 7-33; DOI: 10.3905/jfi.2015.25.1.007
del.icio.us logo Digg logo Reddit logo Twitter logo CiteULike logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
    • Abstract
    • THE MUNICIPAL BOND INSURANCE MARKET
    • THE DATA
    • EMPIRICAL ANALYSES
    • ROBUSTNESS CHECKS
    • THE EFFECT OF COUNTERPARTY RISK AND THE RATIO OF MUNICIPAL TO TREASURY YIELDS
    • CONCLUSIONS
    • APPENDIX
    • ENDNOTES
    • REFERENCES
  • Info & Metrics
  • PDF (Subscribers Only)
  • PDF (Subscribers Only)

Similar Articles

Cited By...

  • How a Credit Enhancement Affects Bond Liquidity and Default Risk of the Firm
  • Google Scholar

More in this TOC Section

  • Editor’s Letter
  • Editor’s Letter
  • Editor’s Letter
Show more Article
LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 139 1600
 
NEW YORK
41 Madison Avenue, New York, NY 10010
USA
+1 646 931 9045
pm-research@pageantmedia.com
 

Stay Connected

  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

MORE FROM PMR

  • Home
  • Awards
  • Investment Guides
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Log in
  • Update your Profile
  • Give us your feedback

© 2021 Pageant Media Ltd | All Rights Reserved | ISSN: 1059-8596 | E-ISSN: 2168-8648

  • Site Map
  • Terms & Conditions
  • Privacy Policy
  • Cookies