Are there spillover effects from munis? by Rabah Arezki, Bertrand Candelon and Amadou N. R. Sy, published by IMF. “This paper studies the spillover effects both within the bond markets for individual U.S. states and between the latter and the market for U.S. Treasury securities. Results are twofold. First, we find that between most markets for individual U.S. state bonds there are negative spillovers. Second, we find no substantial spillover effect between shocks originating from state securities and from federal markets, except for a few large issuers.”
