A Comparative Analysis of the Returns on Provincial and Federal Canadian Bonds

Valentina Galvani and Aslan Behnamian
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Aslan Behnamian: University of Alberta, Department of Economics, Postal: 8-14 HM Tory Bldg, Edmonton, AB T6G 2H4, Canada

No 2009-7, Working Papers from University of Alberta, Department of Economics

Abstract: Our empirical analysis unveils a striking uniformity between the returns of Canadian federal and provincial bonds. Furthermore, the return spreads between these debt instruments are shown to be white noise. Relying on tests for mean-variance spanning, we also show that market participants are unlikely to benefit from expanding portfolios of federal bonds with debt securities issued by the Canadian provinces.

Keywords: diversification benefits; bonds; spanning; Canada (search for similar items in EconPapers)
JEL-codes: G11 G18 (search for similar items in EconPapers)
Pages: 38 pages
Date: 2009-01-30
New Economics Papers: this item is included in nep-bec
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:ris:albaec:2009_007

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