The U.S.-Dollar Supranational Zero-Coupon Curve
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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References listed on IDEAS
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- Diebold, Francis X. & Li, Canlin, 2003.
"Forecasting the term structure of government bond yields,"
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- 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.
- Francis X. Diebold & Canlin Li, 2002. "Forecasting the Term Structure of Government Bond Yields," Center for Financial Institutions Working Papers 02-34, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Francis X. Diebold & Canlin Li, 2003. "Forecasting the Term Structure of Government Bond Yields," NBER Working Papers 10048, National Bureau of Economic Research, Inc.
- Christensen, Jens H.E. & Diebold, Francis X. & Rudebusch, Glenn D., 2011.
"The affine arbitrage-free class of Nelson-Siegel term structure models,"
Journal of Econometrics,
Elsevier, vol. 164(1), pages 4-20, September.
- 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.
- Jens H. E. Christensen & Francis X. Diebold & Glenn D. Rudebusch, 2007. "The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models," PIER Working Paper Archive 07-029, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Jens H. E. Christensen & Francis X. Diebold & Glenn D. Rudebusch, 2007. "The Affine Arbitrage-Free Class of: Nelson-Siegel Term Structure Models," NBER Working Papers 13611, National Bureau of Economic Research, Inc.
- Daniel F. Waggoner, 1997. "Spline methods for extracting interest rate curves from coupon bond prices," Working Paper 97-10, Federal Reserve Bank of Atlanta.
- Kamhon Kan, 1998. "Credit spreads on government bonds," Applied Financial Economics, Taylor & Francis Journals, vol. 8(3), pages 301-313.
- Robert Ferstl & Josef Hayden, . "Zero-Coupon Yield Curve Estimation with the Package termstrc," Journal of Statistical Software, American Statistical Association, vol. 36(i01).
- Manfred Gilli & Stefan Große & Enrico Schumann, 2010. "Calibrating the Nelson–Siegel–Svensson model," Working Papers 031, COMISEF.
- repec:dgr:uvatin:20070043 is not listed on IDEAS
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