The U.S.-Dollar Supranational Zero-Coupon Curve
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.Download Info
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Paper provided by Bank of Canada in its series Discussion Papers with number 12-5.Length: 28 pages
Date of creation: 2012
Date of revision:
Handle: RePEc:bca:bocadp:12-5
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Related research
Keywords: Financial markets; Asset pricing;Find related papers by JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-06-13 (All new papers)
- NEP-FMK-2012-06-13 (Financial Markets)
References
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