Asset pricing

• The U.S.-Dollar Supranational Zero-Coupon Curve

  Staff Discussion Paper 2012-5 Francisco Rivadeneyra

  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.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Asset pricing, Financial markets JEL Code(s): G, G1, G12, G15