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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 G├╝rkaynak, 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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