Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/66949 
Year of Publication: 
2012
Series/Report no.: 
Bank of Canada Discussion Paper No. 2012-5
Publisher: 
Bank of Canada, Ottawa
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
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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