Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 2000 erstellt
Description:
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 and have a complete range of maturities. Moreover, the fungibility of coupon STRIPS appears to remove some of the idiosyncratic variation in the yields of individual Treasury notes and bonds, so that the coupon STRIPS yield curve is relatively smooth. Yields on coupon STRIPS are compared to the zero-coupon yield curves derived from notes and bonds under the Nelson-Siegel method and the Fisher-Nychka-Zervos method. 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