What is a ‘Par Yield Curve’
A par yield curve is a graph of the yields on hypothetical Treasury securities with prices at par. On the par yield curve, the coupon rate will equal the yield-to-maturity of the security, which is why the Treasury bond will trade at par.
Explaining ‘Par Yield Curve’
Deriving a par yield curve is a step toward creating a theoretical spot rate yield curve, which is then used to more accurately price a coupon-paying bond. A method known as bootstrapping is used to derive the arbitrage-free forward interest rates.
- The US Treasury yield curve: 1961 to the present – www.sciencedirect.com [PDF]
- The TIPS yield curve and inflation compensation – www.aeaweb.org [PDF]
- The Japan Municipal Bond Yield Curve: 2002 to the Present – mpra.ub.uni-muenchen.de [PDF]
- Modelling the yield curve – academic.oup.com [PDF]
- A simple model of the taxable and tax-exempt yield curves – academic.oup.com [PDF]
- The tax‐adjusted yield curve – onlinelibrary.wiley.com [PDF]
- How to read the future: the yield curve, affect, and financial prediction – read.dukeupress.edu [PDF]
- The yield curve as a leading indicator: Some practical issues – papers.ssrn.com [PDF]
- The yield curve and predicting recessions – papers.ssrn.com [PDF]