The US-dollar supranational zero-coupon curve

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Bank of Canada Discussion Paper ; No. 2012-5

Classification and Topics

• Classification: Wirtschaft ; Asset Pricing; Trading Volume; Bond Interest Rates ; International Financial Markets
• Subject: Financial markets ; Asset pricing

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Rivadeneyra, Francisco
• Event: Veröffentlichung
• (who): Bank of Canada
• (where): Ottawa
• (when): 2012

Further information

• DOI: doi:10.34989/sdp-2012-5
• Handle: http://hdl.handle.net/10419/66949
• Last update: 10.03.2025, 11:42 AM CET