Government of Canada Yield-Curve Dynamics, 1986-2003

Grahame Johnson
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Grahame Johnson: Bank of Canada, https://www.bankofcanada.ca/

Bank of Canada Review, 2005, vol. 2004-2005, issue Winter, 17-28

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.

Date: 2005
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