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Par Yield Curve

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.


Further Reading


The US Treasury yield curve: 1961 to the present
www.sciencedirect.com [PDF]
… This is a drawback of parameterized yield curves, and forward rates can be particularly affected … The estimated yield curve can be expressed in a variety of ways, including zero-coupon yields, par yields, and forward rates. Our yield curve fills a void in the academic literature …

The TIPS yield curve and inflation compensationThe TIPS yield curve and inflation compensation
www.aeaweb.org [PDF]
… This is a drawback of parameterized yield curves, and forward rates can be particularly affected … The estimated yield curve can be expressed in a variety of ways, including zero-coupon yields, par yields, and forward rates. Our yield curve fills a void in the academic literature …

The Japan Municipal Bond Yield Curve: 2002 to the PresentThe Japan Municipal Bond Yield Curve: 2002 to the Present
mpra.ub.uni-muenchen.de [PDF]
… This is a drawback of parameterized yield curves, and forward rates can be particularly affected … The estimated yield curve can be expressed in a variety of ways, including zero-coupon yields, par yields, and forward rates. Our yield curve fills a void in the academic literature …

Modelling the yield curveModelling the yield curve
academic.oup.com [PDF]
… This is a drawback of parameterized yield curves, and forward rates can be particularly affected … The estimated yield curve can be expressed in a variety of ways, including zero-coupon yields, par yields, and forward rates. Our yield curve fills a void in the academic literature …

A simple model of the taxable and tax-exempt yield curvesA simple model of the taxable and tax-exempt yield curves
academic.oup.com [PDF]
… This is a drawback of parameterized yield curves, and forward rates can be particularly affected … The estimated yield curve can be expressed in a variety of ways, including zero-coupon yields, par yields, and forward rates. Our yield curve fills a void in the academic literature …

The tax‐adjusted yield curveThe tax‐adjusted yield curve
onlinelibrary.wiley.com [PDF]
… This is a drawback of parameterized yield curves, and forward rates can be particularly affected … The estimated yield curve can be expressed in a variety of ways, including zero-coupon yields, par yields, and forward rates. Our yield curve fills a void in the academic literature …

How to read the future: the yield curve, affect, and financial predictionHow to read the future: the yield curve, affect, and financial prediction
read.dukeupress.edu [PDF]
… This is a drawback of parameterized yield curves, and forward rates can be particularly affected … The estimated yield curve can be expressed in a variety of ways, including zero-coupon yields, par yields, and forward rates. Our yield curve fills a void in the academic literature …

The yield curve as a leading indicator: Some practical issuesThe yield curve as a leading indicator: Some practical issues
papers.ssrn.com [PDF]
… This is a drawback of parameterized yield curves, and forward rates can be particularly affected … The estimated yield curve can be expressed in a variety of ways, including zero-coupon yields, par yields, and forward rates. Our yield curve fills a void in the academic literature …

The yield curve and predicting recessionsThe yield curve and predicting recessions
papers.ssrn.com [PDF]
… This is a drawback of parameterized yield curves, and forward rates can be particularly affected … The estimated yield curve can be expressed in a variety of ways, including zero-coupon yields, par yields, and forward rates. Our yield curve fills a void in the academic literature …


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