H63 - Debt; Debt Management; Sovereign Debt

• Alternative Futures for Government of Canada Debt Management

  Staff Discussion Paper 2018-15 Corey Garriott, Sophie Lefebvre, Guillaume Nolin, Francisco Rivadeneyra, Adrian Walton

  This paper presents four blue-sky ideas for lowering the cost of the Government of Canada’s debt without increasing the debt’s risk profile. We argue that each idea would improve the secondary-market liquidity of government debt, thereby increasing the demand for government bonds and thus lowering their cost at issuance.

  Content Type(s): Staff Research, Staff Discussion Papers Topic(s): Debt Management, Financial markets, Market structure and pricing JEL Code(s): G, G1, G12, G2, G24, H, H6, H63

• Government of Canada Fixed-Income Market Ecology

  Staff Discussion Paper 2018-10 Léanne Berger-Soucy, Corey Garriott, André Usche

  This discussion paper is the third in the Financial Markets Department’s series on the structure of Canadian financial markets. These papers are called “ecologies” because they study the interactions among market participants, infrastructures, regulations and the terms of the traded contract itself.

  Content Type(s): Staff Research, Staff Discussion Papers Topic(s): Debt Management, Financial Institutions, Financial markets, Financial services JEL Code(s): G, G1, G10, G2, G20, H, H6, H63

• The Government of Canada Debt Securities Data Set

  Technical Report No. 112 Jeffrey Gao, Francisco Rivadeneyra, Gabriel Rodriguez Rondon

  We present the daily time series of the outstanding amounts of all Government of Canada marketable debt securities from July 2001 to June 2017.

  Content Type(s): Technical Reports Topic(s): Debt Management, Econometric and statistical methods, Financial markets JEL Code(s): C, C8, C80, G, G1, G10, H, H6, H63

• A Barometer of Canadian Financial System Vulnerabilities

  Staff Analytical Note 2017-24 Thibaut Duprey, Tom Roberts

  This note presents a composite indicator of Canadian financial system vulnerabilities—the Vulnerabilities Barometer. It aims to complement the Bank of Canada’s vulnerabilities assessment by adding a quantitative and synthesized perspective to the more granular (distributional) analysis presented in the Financial System Review.

  Content Type(s): Staff Research, Staff Analytical Notes Topic(s): Econometric and statistical methods, Financial stability, Monetary and financial indicators JEL Code(s): C, C1, C14, C4, C40, D, D1, D14, E, E3, E32, E6, E66, F, F0, F01, G, G0, G01, G1, G15, G2, G21, H, H6, H63

• Analyzing Fiscal Sustainability

  Staff Working Paper 2013-27 Huixin Bi, Eric M. Leeper

  The authors study the implications of fiscal policy behaviour for sovereign risk in a framework that determines a country’s fiscal limit, the point at which, for economic or political reasons, taxes and spending can no longer adjust to stabilize debt.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Economic models, Fiscal Policy JEL Code(s): E, E6, E62, E65, H, H6, H63

• The Canadian Debt-Strategy Model: An Overview of the Principal Elements

  Staff Discussion Paper 2011-3 David Bolder, Simon Deeley

  The Canadian Debt Strategy Model helps debt managers determine their optimal financing strategy. The model’s code and documentation are available to the public.

  Content Type(s): Staff Research, Staff Discussion Papers Topic(s): Debt Management, Econometric and statistical methods, Financial markets, Fiscal Policy JEL Code(s): C, C0, G, G1, G11, G17, H, H6, H63

• Domestic versus External Borrowing and Fiscal Policy in Emerging Markets

  Staff Working Paper 2007-33 Garima Vasishtha

  Domestic public debt issued by emerging markets has risen significantly relative to international debt in recent years. Some recent empirical evidence also suggests that sovereigns have defaulted differentially on debt held by domestic and external creditors.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Debt Management, International topics JEL Code(s): F, F3, F30, H, H2, H21, H6, H63

• Optimization in a Simulation Setting: Use of Function Approximation in Debt Strategy Analysis

  Staff Working Paper 2007-13 David Bolder, Tiago Rubin

  The stochastic simulation model suggested by Bolder (2003) for the analysis of the federal government's debt-management strategy provides a wide variety of useful information. It does not, however, assist in determining an optimal debt-management strategy for the government in its current form.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Debt Management, Econometric and statistical methods, Financial markets, Fiscal Policy JEL Code(s): C, C0, C1, C14, C15, C5, C51, C52, C6, C61, C65, E, E6, G, G1, H, H6, H63

• A Stochastic Simulation Framework for the Government of Canada's Debt Strategy

  Staff Working Paper 2003-10 David Bolder

  Debt strategy is defined as the manner in which a government finances an excess of government expenditures over revenues and any maturing debt issued in previous periods. The author gives a thorough qualitative description of the complexities of debt strategy analysis and then demonstrates that it is, in fact, a problem in stochastic optimal control.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Debt Management, Econometric and statistical methods, Economic models JEL Code(s): C, C0, C1, C15, C5, C52, H, H6, H63

• Provincial Credit Ratings in Canada: An Ordered Probit Analysis

  Staff Working Paper 1996-6 Stella Cheung

  The author estimates the relationship between the provincial credit ratings, as assessed by Standard & Poor's, and a number of economic variables, using the ordered probit methodology. All the variables in her estimation prove to be significant. In particular, she finds that downgrades take place at almost the same speed at different levels of the debt-to-GDP ratio, based on a pooled sample of nine provinces.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Financial markets JEL Code(s): H, H6, H63