A Comparative Analysis of the Returns on Provincial and Federal Canadian Bonds
Our empirical analysis unveils a striking uniformity between the returns of Canadian federal and provincial bonds. Furthermore, the return spreads between these debt instruments are shown to be white noise. Relying on tests for mean-variance spanning, we also show that market participants are unlikely to benefit from expanding portfolios of federal bonds with debt securities issued by the Canadian provinces.
|Date of creation:||30 Jan 2009|
|Date of revision:|
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