Bank of Canada
Publications and Research
Periodicals
Bank of Canada Review
Winter 2004-2005
Index of Working Papers | Index of Technical Reports| Title | Government of Canada Yield-Curve Dynamics, 1986-2003 |
| Author(s) | Grahame Johnson |
| Type | Bank of Canada Review article |
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Date of publication |
Winter 2004-2005 |
| Language | English |
| Abstract | A database of historical Government of Canada zero-coupon yield curves developed at the Bank of Canada is introduced in this article, which also includes an initial statistical analysis of the behaviour and evolution of the zero-coupon interest (spot) rates over the full period and two distinct subperiods. Specific areas of interest include the evolution of the levels of key interest rates and yield-curve measures over the sample as well as daily changes in the key interest rates and the yield-curve measures; the identification of a relatively small number of factors that drove the evolution of the yield curve; and the total returns that would have been realized by holding bonds of different maturities for a given holding period. |
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Bank topic index |
Financial Markets, Econometric and Statistical Methods, Debt Management |
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JEL classification |
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