Using Treasury STRIPS to measure the yield curve
Brian P. Sack
No 2000-42, Finance and Economics Discussion Series from Board of Governors of the Federal Reserve System (U.S.)
Abstract:
Treasury STRIPS derived from coupon payments of notes and bonds provide an effective reading of the zero-coupon yield curve. Among their advantages, coupon STRIPS are zero-coupon securities, have a complete range of maturities, and are fungible, which appears to make the coupon STRIPS yield curve relatively smooth. Yields on coupon STRIPS are compared to the zero-coupon yield curves derived from notes and bonds under the Nelson-Siegel and the Fisher-Nychka-Zervos methods. The results point to some shortcomings of these approaches and indicate that the zero-coupon yield curve could be estimated more precisely from coupon STRIPS.
Keywords: Interest rates; Government securities (search for similar items in EconPapers)
Date: 2000
New Economics Papers: this item is included in nep-fmk
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Citations: View citations in EconPapers (12)
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgfe:2000-42
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