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Government of Canada Yield-Curve Dynamics, 1986-2003

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A database of historical Government of Canada zero-coupon yield curves developed at the Bank of Canada is introduced in this article, which also includes an initial statistical analysis of the behaviour and evolution of the zero-coupon interest (spot) rates over the full period and two distinct subperiods. Specific areas of interest include the evolution of the levels of key interest rates and yield-curve measures over the sample as well as daily changes in the key interest rates and the yield-curve measures; the identification of a relatively small number of factors that drove the evolution of the yield curve; and the total returns that would have been realized by holding bonds of different maturities for a given holding period.

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  • Grahame Johnson, 2005. "Government of Canada Yield-Curve Dynamics, 1986-2003," Bank of Canada Review, Bank of Canada, vol. 2004(Winter), pages 17-28.
    • Handle: RePEc:bca:bcarev:v:2005:y:2005:i:winter04-05:p:17-28
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