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The U.S.-Dollar Supranational Zero-Coupon Curve

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Author Info

  • Francisco Rivadeneyra

Abstract

The author describes the construction of the U.S.-dollar-denominated zero-coupon curve for the supranational asset class from 1995 to 2010. He uses yield data from a cross-section of bonds issued by AAA-rated supranational entities to fit the Svensson (1995) term-structure model. Results show the expected pattern of interest rates over the U.S. business cycle. The author computes the spreads relative to the U.S. Treasury zero-coupon yields data of Gürkaynak, Sack and Wright (2007). The average spread for this period is equal to 44 basis points; it increases during recessions and narrows during expansions. Also, the slope of the term structure of spreads shows a countercyclical pattern.

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File URL: http://www.bankofcanada.ca/wp-content/uploads/2012/06/dp2012-05.pdf
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Bibliographic Info

Paper provided by Bank of Canada in its series Discussion Papers with number 12-5.

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Length: 28 pages
Date of creation: 2012
Date of revision:
Handle: RePEc:bca:bocadp:12-5

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Keywords: Financial markets; Asset pricing;

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  1. Jens H.E. Christensen & Francis X. Diebold & Glenn D. Rudebusch, 2007. "The affine arbitrage-free class of Nelson-Siegel term structure models," Working Paper Series 2007-20, Federal Reserve Bank of San Francisco.
  2. Kamhon Kan, 1998. "Credit spreads on government bonds," Applied Financial Economics, Taylor & Francis Journals, vol. 8(3), pages 301-313.
  3. Michiel De Pooter, 2007. "Examining the Nelson-Siegel Class of Term Structure Models," Tinbergen Institute Discussion Papers 07-043/4, Tinbergen Institute.
  4. Daniel F. Waggoner, 1997. "Spline methods for extracting interest rate curves from coupon bond prices," Working Paper 97-10, Federal Reserve Bank of Atlanta.
  5. Manfred Gilli & Stefan Große & Enrico Schumann, 2010. "Calibrating the Nelson–Siegel–Svensson model," Working Papers 031, COMISEF.
  6. Diebold, Francis X. & Li, Canlin, 2006. "Forecasting the term structure of government bond yields," Journal of Econometrics, Elsevier, vol. 130(2), pages 337-364, February.
  7. Robert Ferstl & Josef Hayden, . "Zero-Coupon Yield Curve Estimation with the Package termstrc," Journal of Statistical Software, American Statistical Association, vol. 36(i01).
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