Yield curves for gilt-edged stocks

Quarterly Bulletin 1972 Q4
Published on 01 December 1972

A research article prepared in the Bank's Economic Section. The article is largely the work of J. P. Burman and W. R. White (who is now with the Bank of Canada).

There are fifty-two British government and government guaranteed securities at present quoted on the stock exchange, ranging from very short-dated stocks with redemption in less than a year to those like Consols and War Loan which are undated. Excluding eleven stocks which are very small issues or have unusual features, such as redemption by drawings or sinking fund, these can be treated as homogeneous; the main feature distinguishing each is its date of maturity, though its coupon is also important. The yields may be plotted on a chart to examine how they vary with the remaining length of time to maturity. An example is provided in Chart A, where the crosses mark the individual stocks.

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