Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/66949
Authors: 
Rivadeneyra, Francisco
Year of Publication: 
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
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