Management Science · 2026 · Matthew Gustafson、Peter Haslag、Daniel Weagley、Zihan Ye
中文摘要
我们表明，COVID-19 疫情引发的迁移能够显著预测市政债券收益率的变化。负向迁移冲击使债务变得更加昂贵，在受居家办公（WFH）转型影响最大的地区和债券上尤为如此。在全样本中，在控制了一系列地方经济因素（包括州或核心基础统计区（CBSA）-年份固定效应）之后，疫情期间迁出人口增加一个标准差，预测市政债券收益率上升约 4.5 个基点。对于 WFH 暴露度处于最高十分位的地区，这一效应大 40%；对于交通收入支撑的债券，这一效应约为两倍。此外，包含暴露度最高债券（即同时具有人口迁出和高 WFH 暴露度）的地区，其市政收入在疫情后也经历了相对较大的下降。总体而言，我们的结果表明，投资者已经改变了对市政当局未来现金流水平或不确定性的估计，对于受远程办公转型影响最大的地区和债券尤为如此。本文由金融学领域编辑 Bo Becker 接收。补充材料：在线附录和数据文件可在 https://doi.org/10.1287/mnsc.2023.02674 获取。
Abstract
We show that migration induced by the COVID-19 pandemic significantly predicts changes in municipal bond yields. Negative migration shocks have made debt more expensive, especially in the areas and bonds most exposed to the work-from-home (WFH) transition. Over the full sample, a one-standard-deviation increase in COVID period out-migration predicts an approximate 4.5-basis-point rise in municipal bond yields, after controlling for a range of local economic factors including state- or core-based statistical area (CBSA)-year fixed effects. This effect is 40% larger for areas in the top decile of WFH exposure and approximately twice as large for transportation-backed bonds. Moreover, areas containing the most exposed bonds (i.e., those with out-migration and high WFH exposure) also experience relatively large post-COVID declines in municipal revenue. Overall, our results suggest that investors have changed their estimates of the level or uncertainty of municipalities’ future cash flows, especially for areas and bonds most exposed to the transition toward remote work. This paper was accepted by Bo Becker, finance. Supplemental Material: The online appendix and data files are available at https://doi.org/10.1287/mnsc.2023.02674 .