@article{Supranational:1169,
      recid = {1169},
      author = {Rivadeneyra, Francisco},
      title = {The U.S.-Dollar Supranational Zero-Coupon Curve},
      publisher = {Bank of Canada},
      address = {2012},
      pages = {1 online resource (iii, 24 pages)},
      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 cross-section 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  zero-coupon 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.},
      url = {http://www.oar-rao.bank-banque-canada.ca/record/1169},
      doi = {https://doi.org/10.34989/sdp-2012-5},
}