Using a system of equations approach, this paper empirically tests the impact of credit quality, asset maturity, and other issuer and issue characteristics on the maturity of municipal bonds. We find that under conditions of lower information asymmetry that prevails in the municipal sector,...

This article represents an extension of the expansive credit risk and credit migration literature, prominent in pricing risk of corporate bond and securities investment, to an analysis of the drift of consumer credit scores. A rich data set of residential mortgages is used in the development of...

The paper investigates the determinants of municipal bond ratings in Virginia using an ordered‐probit analysis. We find that economic factors are the key determinants of municipal bond ratings in the State. Our ordered‐probit model correctly predicts approximately 70% of the actual sample...

This paper examines whether U.S. commercial lenders are appropriately compensated on commitment loans under a constant spread, variable rate formula, during recessions. Using the Loan Pricing Corporation (LPC) DealScan database, for periods preceding, during, and following the 1990/91 and 2001...