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- W4387363468 abstract "This study adopts the funding liquidity-market liquidity model developed by Brunnermeier and Pedersen (2009) to investigate the relationship between funding liquidity risk and the volatility of U.S. municipal green bonds during the COVID-19 crisis, while also accounting for other potential risk factors. We observe that during high levels of municipal green bond volatility, the effect of funding liquidity risk on volatility is more pronounced than during periods of low municipal green bond volatility. Moreover, the response of municipal green bond volatility to a shock in the funding liquidity risk is stronger compared to a shock in other risk factors." @default.
- W4387363468 created "2023-10-06" @default.
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- W4387363468 date "2023-12-01" @default.
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- W4387363468 title "Funding liquidity risk and the volatility of U.S. municipal green bonds during the COVID-19 pandemic" @default.
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- W4387363468 doi "https://doi.org/10.1016/j.frl.2023.104560" @default.
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