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Title:The US-dollar supranational zero-coupon curve PDF Logo
Authors:Rivadeneyra, Francisco
Issue Date:2012
Series/Report no.:Bank of Canada Discussion Paper 2012-5
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 crosssection 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 zerocoupon 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.
Subjects:Financial markets
Asset pricing
JEL:G12
G15
Document Type:Working Paper
Appears in Collections:Bank of Canada Discussion Papers

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