Creating a Live Yield Curve in the Illiquid Muni Market
Tax-exempt municipal bonds (commonly known as "munis") are unique to the United States. In spite of its substantial size, the muni market is illiquid and lacks a robust live benchmark yield curve. Commonly available yield curves, provided by several vendors, are specified by the yields of...
Ausführliche Beschreibung
Gespeichert in:
| Autor*in: |
Andrew Kalotay [verfasserIn] |
|---|
| Format: |
Artikel |
|---|---|
| Sprache: |
Englisch |
| Erschienen: |
2017 |
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| Schlagwörter: |
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| Übergeordnetes Werk: |
Enthalten in: The journal of fixed income - London : IPR Journals, 1991, 27(2017), 1, Seite 84 |
|---|---|
| Übergeordnetes Werk: |
volume:27 ; year:2017 ; number:1 ; pages:84 |
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| DOI / URN: |
10.3905/jfi.2017.27.1.084 |
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| 520 | |a Tax-exempt municipal bonds (commonly known as "munis") are unique to the United States. In spite of its substantial size, the muni market is illiquid and lacks a robust live benchmark yield curve. Commonly available yield curves, provided by several vendors, are specified by the yields of 5% callable bonds. The yields are typically obtained by surveying major market participants. Callable yield curves are fundamentally different from yield curves in other markets. Moreover, they are often defective: they fail to be arbitrage-free, and their implied optionless curves are unrealistic. Analysts tend to use these callable curves as if they were optionless, a practice with unfortunate consequences. There is a current initiative, sponsored by the Associated Press, to create a live muni yield curve using market quotes for selected actively traded bonds. An appealing aspect of the AP curve is the transparency of the methodology. Preliminary indications are that this new yield curve could become a superior alternative to those currently available. | ||
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10.3905/jfi.2017.27.1.084 doi PQ20171228 (DE-627)OLC1998207390 (DE-599)GBVOLC1998207390 (PRQ)proquest_journals_19313058500 (KEY)0209232820170000027000100084creatingaliveyieldcurveintheilliquidmunimarket DE-627 ger DE-627 rakwb eng 330 650 DNB 83.00 bkl Andrew Kalotay verfasserin aut Creating a Live Yield Curve in the Illiquid Muni Market 2017 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier Tax-exempt municipal bonds (commonly known as "munis") are unique to the United States. In spite of its substantial size, the muni market is illiquid and lacks a robust live benchmark yield curve. Commonly available yield curves, provided by several vendors, are specified by the yields of 5% callable bonds. The yields are typically obtained by surveying major market participants. Callable yield curves are fundamentally different from yield curves in other markets. Moreover, they are often defective: they fail to be arbitrage-free, and their implied optionless curves are unrealistic. Analysts tend to use these callable curves as if they were optionless, a practice with unfortunate consequences. There is a current initiative, sponsored by the Associated Press, to create a live muni yield curve using market quotes for selected actively traded bonds. An appealing aspect of the AP curve is the transparency of the methodology. Preliminary indications are that this new yield curve could become a superior alternative to those currently available. Investment advisors Yield to maturity Bond issues International finance Market prices Bond ratings Municipal bonds Institutional investments Enthalten in The journal of fixed income London : IPR Journals, 1991 27(2017), 1, Seite 84 (DE-627)170850188 (DE-600)1116103-6 (DE-576)032733518 1059-8596 nnns volume:27 year:2017 number:1 pages:84 http://dx.doi.org/10.3905/jfi.2017.27.1.084 Volltext https://search.proquest.com/docview/1931305850 GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-WIW GBV_ILN_26 GBV_ILN_130 GBV_ILN_2002 GBV_ILN_2014 83.00 AVZ AR 27 2017 1 84 |
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10.3905/jfi.2017.27.1.084 doi PQ20171228 (DE-627)OLC1998207390 (DE-599)GBVOLC1998207390 (PRQ)proquest_journals_19313058500 (KEY)0209232820170000027000100084creatingaliveyieldcurveintheilliquidmunimarket DE-627 ger DE-627 rakwb eng 330 650 DNB 83.00 bkl Andrew Kalotay verfasserin aut Creating a Live Yield Curve in the Illiquid Muni Market 2017 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier Tax-exempt municipal bonds (commonly known as "munis") are unique to the United States. In spite of its substantial size, the muni market is illiquid and lacks a robust live benchmark yield curve. Commonly available yield curves, provided by several vendors, are specified by the yields of 5% callable bonds. The yields are typically obtained by surveying major market participants. Callable yield curves are fundamentally different from yield curves in other markets. Moreover, they are often defective: they fail to be arbitrage-free, and their implied optionless curves are unrealistic. Analysts tend to use these callable curves as if they were optionless, a practice with unfortunate consequences. There is a current initiative, sponsored by the Associated Press, to create a live muni yield curve using market quotes for selected actively traded bonds. An appealing aspect of the AP curve is the transparency of the methodology. Preliminary indications are that this new yield curve could become a superior alternative to those currently available. Investment advisors Yield to maturity Bond issues International finance Market prices Bond ratings Municipal bonds Institutional investments Enthalten in The journal of fixed income London : IPR Journals, 1991 27(2017), 1, Seite 84 (DE-627)170850188 (DE-600)1116103-6 (DE-576)032733518 1059-8596 nnns volume:27 year:2017 number:1 pages:84 http://dx.doi.org/10.3905/jfi.2017.27.1.084 Volltext https://search.proquest.com/docview/1931305850 GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-WIW GBV_ILN_26 GBV_ILN_130 GBV_ILN_2002 GBV_ILN_2014 83.00 AVZ AR 27 2017 1 84 |
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10.3905/jfi.2017.27.1.084 doi PQ20171228 (DE-627)OLC1998207390 (DE-599)GBVOLC1998207390 (PRQ)proquest_journals_19313058500 (KEY)0209232820170000027000100084creatingaliveyieldcurveintheilliquidmunimarket DE-627 ger DE-627 rakwb eng 330 650 DNB 83.00 bkl Andrew Kalotay verfasserin aut Creating a Live Yield Curve in the Illiquid Muni Market 2017 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier Tax-exempt municipal bonds (commonly known as "munis") are unique to the United States. In spite of its substantial size, the muni market is illiquid and lacks a robust live benchmark yield curve. Commonly available yield curves, provided by several vendors, are specified by the yields of 5% callable bonds. The yields are typically obtained by surveying major market participants. Callable yield curves are fundamentally different from yield curves in other markets. Moreover, they are often defective: they fail to be arbitrage-free, and their implied optionless curves are unrealistic. Analysts tend to use these callable curves as if they were optionless, a practice with unfortunate consequences. There is a current initiative, sponsored by the Associated Press, to create a live muni yield curve using market quotes for selected actively traded bonds. An appealing aspect of the AP curve is the transparency of the methodology. Preliminary indications are that this new yield curve could become a superior alternative to those currently available. Investment advisors Yield to maturity Bond issues International finance Market prices Bond ratings Municipal bonds Institutional investments Enthalten in The journal of fixed income London : IPR Journals, 1991 27(2017), 1, Seite 84 (DE-627)170850188 (DE-600)1116103-6 (DE-576)032733518 1059-8596 nnns volume:27 year:2017 number:1 pages:84 http://dx.doi.org/10.3905/jfi.2017.27.1.084 Volltext https://search.proquest.com/docview/1931305850 GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-WIW GBV_ILN_26 GBV_ILN_130 GBV_ILN_2002 GBV_ILN_2014 83.00 AVZ AR 27 2017 1 84 |
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Tax-exempt municipal bonds (commonly known as "munis") are unique to the United States. In spite of its substantial size, the muni market is illiquid and lacks a robust live benchmark yield curve. Commonly available yield curves, provided by several vendors, are specified by the yields of 5% callable bonds. The yields are typically obtained by surveying major market participants. Callable yield curves are fundamentally different from yield curves in other markets. Moreover, they are often defective: they fail to be arbitrage-free, and their implied optionless curves are unrealistic. Analysts tend to use these callable curves as if they were optionless, a practice with unfortunate consequences. There is a current initiative, sponsored by the Associated Press, to create a live muni yield curve using market quotes for selected actively traded bonds. An appealing aspect of the AP curve is the transparency of the methodology. Preliminary indications are that this new yield curve could become a superior alternative to those currently available. |
| abstractGer |
Tax-exempt municipal bonds (commonly known as "munis") are unique to the United States. In spite of its substantial size, the muni market is illiquid and lacks a robust live benchmark yield curve. Commonly available yield curves, provided by several vendors, are specified by the yields of 5% callable bonds. The yields are typically obtained by surveying major market participants. Callable yield curves are fundamentally different from yield curves in other markets. Moreover, they are often defective: they fail to be arbitrage-free, and their implied optionless curves are unrealistic. Analysts tend to use these callable curves as if they were optionless, a practice with unfortunate consequences. There is a current initiative, sponsored by the Associated Press, to create a live muni yield curve using market quotes for selected actively traded bonds. An appealing aspect of the AP curve is the transparency of the methodology. Preliminary indications are that this new yield curve could become a superior alternative to those currently available. |
| abstract_unstemmed |
Tax-exempt municipal bonds (commonly known as "munis") are unique to the United States. In spite of its substantial size, the muni market is illiquid and lacks a robust live benchmark yield curve. Commonly available yield curves, provided by several vendors, are specified by the yields of 5% callable bonds. The yields are typically obtained by surveying major market participants. Callable yield curves are fundamentally different from yield curves in other markets. Moreover, they are often defective: they fail to be arbitrage-free, and their implied optionless curves are unrealistic. Analysts tend to use these callable curves as if they were optionless, a practice with unfortunate consequences. There is a current initiative, sponsored by the Associated Press, to create a live muni yield curve using market quotes for selected actively traded bonds. An appealing aspect of the AP curve is the transparency of the methodology. Preliminary indications are that this new yield curve could become a superior alternative to those currently available. |
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| title_short |
Creating a Live Yield Curve in the Illiquid Muni Market |
| url |
http://dx.doi.org/10.3905/jfi.2017.27.1.084 https://search.proquest.com/docview/1931305850 |
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| doi_str |
10.3905/jfi.2017.27.1.084 |
| up_date |
2024-07-04T04:31:50.945Z |
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