The term structure of zero-coupon and coupon bonds: a comparative analysis

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dc.contributor.authorLeies, Caroline Marieen
dc.contributor.departmentEconomicsen
dc.date.accessioned2014-03-14T21:37:11Zen
dc.date.adate2009-06-08en
dc.date.available2014-03-14T21:37:11Zen
dc.date.issued1995-05-05en
dc.date.rdate2009-06-08en
dc.date.sdate2009-06-08en
dc.description.abstractThe behavior of the term structure of zero-coupon bonds parallels the behavior of coupon bonds. Previous studies have demonstrated that there are synchronous changes among different maturities of coupon bonds. Results of statistical and sign tests are used to measure the degree of synchronicity, the relative amplitude of change and the amount of sensitivity among different paired maturities for zero-coupon bonds. A comparison is then made to the results of coupon bonds to verify that the behavior of the term structure of zero-coupon bonds are consistent with observations in previous studies, including a study of high-grade corporate bonds from 1901-1954 by Dr. David I. Meiselman. Generally, all maturities move in the same direction with short term rates more synchronous than longer term rates. Also, there is a general tendency for relative volatility to vary inversely with maturity, therefore, short term maturities have a greater degree of volatility than do long term maturities. The results are generally consistent with Meiselman's earlier findings.en
dc.description.degreeMaster of Artsen
dc.format.extentvii, 51 leavesen
dc.format.mediumBTDen
dc.format.mimetypeapplication/pdfen
dc.identifier.otheretd-06082009-171134en
dc.identifier.sourceurlhttp://scholar.lib.vt.edu/theses/available/etd-06082009-171134/en
dc.identifier.urihttp://hdl.handle.net/10919/42916en
dc.language.isoenen
dc.publisherVirginia Techen
dc.relation.haspartLD5655.V855_1995.L464.pdfen
dc.relation.isformatofOCLC# 34272141en
dc.rightsIn Copyrighten
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/en
dc.subjectbond interesten
dc.subject.lccLD5655.V855 1995.L464en
dc.titleThe term structure of zero-coupon and coupon bonds: a comparative analysisen
dc.typeThesisen
dc.type.dcmitypeTexten
thesis.degree.disciplineEconomicsen
thesis.degree.grantorVirginia Polytechnic Institute and State Universityen
thesis.degree.levelmastersen
thesis.degree.nameMaster of Artsen
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