empirical analysis of the Canadian term structure of zero-coupon interest rates
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empirical analysis of the Canadian term structure of zero-coupon interest rates by David Bolder

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Published by Bank of Canada in Ottawa .
Written in English

Subjects:

  • Interest rates -- Canada -- Econometric models.,
  • Zero coupon securities -- Canada.

Book details:

Edition Notes

Statementby David J. Bolder, Grahame Johnson, and Adam Metzler.
SeriesBank of Canada working paper -- 2004-48, Working paper (Bank of Canada) -- 2004-48.
ContributionsJohnson, Grahame., Metzler, Adam., Bank of Canada.
The Physical Object
Paginationv, 41 p. :
Number of Pages41
ID Numbers
Open LibraryOL22156792M

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Downloadable! 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. The risk-free government zero-coupon term structure is, however, not directly observable and needs to be generated from the prices of marketable, coupon-bearing bonds. An Empirical Analysis of the Canadian Term Structure of Zero-Coupon Interest Rates Article in SSRN Electronic Journal · January with 64 Reads How we measure 'reads'. Add tags for "An empirical analysis of the Canadian term structure of zero-coupon interest rates". Be the first. Analysis of the term structure of interest rates almost always takes a two-step approach. First, actual bond prices are summarized by interpolated synthetic zero-coupon yields, and second, a small set of these yields are used as the source data for further empirical judybwolfman.com by: 3.

Duration, default risk, and the term structure of interest rates Article in Journal of Financial Research 28(4) · December with 62 Reads How we measure 'reads'. Bolder, D. J., Johnson, G., and Mezler, A. An empirical analysis of the candian term structure of zero coupon interest rates. Bank of Canada, Working paper –48, G., and Metzler, A. An empirical analysis of the Canadian term structure of zero-coupon interest rates. Bank of Canada, Working paper, 18, Buy this book on Author: Christos Ioannidis, Rong Hui Miao, Julian M. Williams. the relationship between spot rates of zero coupon securities and their term to maturity. As can be seen, there is a strong connection between interest rates and yield curve. The term structure of interest rates is a very important research area for economists. We can ask ourselves that what makes the term structure of interest rates so important. Foundations of Finance: Bonds and the Term Structure of Interest Rates 2 I. Readings and Suggested Practice Problems A. BKM, Chapter We covered the essentials of this chapter in Lecture Notes 3. Still, a review is useful before discussing the term structure of .

Zero-bound interest rate is a reference to the lower limit of 0% for short-term interest rates beyond which monetary policy is not believed to be effective in stimulating economic growth. D.J. Bolder, G. Johnson, A. Metzler, An empirical analysis of the canadian term structure of zero-coupon interest rates. Bank of Canada: Working Paper () Google Scholar Author: David Jamieson Bolder. The _____ of the term structure of interest rates states that the interest rate on a long -term bond will equal the average of short-term interest rates that individuals expect to occur over the life of the long-term bond, and investors have no preference for short-term bonds relative to long-term bonds. A zero-coupon bond is a debt security that does not pay interest but instead trades at a deep discount, rendering a profit at maturity, when the bond is redeemed for its full face value.