David Bolder - Latest - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T06:17:54+00:00Combining Canadian Interest-Rate Forecasts
https://www.bankofcanada.ca/2008/09/working-paper-2008-34/
Model risk is a constant danger for financial economists using interest-rate forecasts for the purposes of monetary policy analysis, portfolio allocations, or risk-management decisions. Use of multiple models does not necessarily solve the problem as it greatly increases the work required and still leaves the question "which model forecast should one use?"2008-09-28T13:07:30+00:00enCombining Canadian Interest-Rate Forecasts2008-09-28Econometric and statistical methodsInterest ratesWorking Paper 2008-34 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp08-34.pdfCombining Canadian Interest-Rate ForecastsDavid BolderYuliya RomanyukSeptember 2008CC1C11EE4E43E47The Canadian Debt-Strategy Model
https://www.bankofcanada.ca/wp-content/uploads/2010/06/bolder.pdf
In its role as fiscal agent to the government, the Bank of Canada provides analysis and advice on decisions about the government's domestic debt portfolio. Debt-management decisions depend on assumptions about future interest rates, macroeconomic outcomes, and fiscal policy, yet when a debt-strategy decision is taken, none of these factors can be known with certainty. Moreover, the government has various financing options (i.e., treasury bills, nominal bonds, and inflation-linked bonds) to meet its objectives of minimizing debt-service charges while simultaneously ensuring a prudent risk profile and well-functioning government securities markets. Bank of Canada staff have therefore developed a mathematical model to assist in the decision-making process. This article describes the key aspects of the debt manager's challenge and the principal assumptions incorporated in the debt-strategy model, illustrated with specific results.2008-06-20T16:08:35+00:00enThe Canadian Debt-Strategy Model2008-06-20