MUNICIPAL BOND RATING ANALYSIS - SAMPLE SELECTIVITY AND SIMULTANEOUS-EQUATIONS BIAS

被引：13

作者：

MOON, CG ^{[1
]}

STOTSKY, JG ^{[1
]}

机构：

[1] US DEPT TREASURY,WASHINGTON,DC 20220

来源：

REGIONAL SCIENCE AND URBAN ECONOMICS | 1993年 / 23卷 / 01期

关键词：

D O I：

10.1016/0166-0462(93)90027-C

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper investigates the determinants of municipal general obligation bond ratings. It offers an expanded econometric framework for analyzing this problem and contrasts various econometric specifications. We develop a method to correct for sample selection bias when the dependent variable is an ordered categorical variable and to correct for simultaneity when the ordered categorical variable enters as an explanatory variable into the decision equation. The results suggest that correcting for sample selection bias and simultaneity in bond rating analysis can affect the results. We find that the volume of debt, location, and city size are significant determinants of the decision to obtain a rating and a mix of economic, socioeconomic, debt, location, and city size variables are the most significant determinants of the rating.

引用

页码：29 / 50

页数：22

共 22 条

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[2] A PROBLEM OF DISCRETE CHOICE - MOODY MUNICIPAL BOND RATINGS [J].