Grahame Johnson - Latest - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T16:12:16+00:00Government of Canada Yield-Curve Dynamics, 1986-2003
https://www.bankofcanada.ca/wp-content/uploads/2010/06/johnson.pdf
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.2004-12-24T07:11:02+00:00enGovernment of Canada Yield-Curve Dynamics, 1986-20032004-12-24An Empirical Analysis of the Canadian Term Structure of Zero-Coupon Interest Rates
https://www.bankofcanada.ca/2004/12/working-paper-2004-48/
Zero-coupon interest rates are the fundamental building block of fixed-income mathematics, and as such have an extensive number of applications in both finance and economics.2004-12-01T10:21:37+00:00enAn Empirical Analysis of the Canadian Term Structure of Zero-Coupon Interest Rates2004-12-01Econometric and statistical methodsFinancial marketsInterest ratesWorking Paper 2004-48 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp04-48.pdfAn Empirical Analysis of the Canadian Term Structure of Zero-Coupon Interest RatesDavid BolderAdam MetzlerGrahame JohnsonDecember 2004CC0C6EE4GG1