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Bank of Canada RSS Feedsen2024-03-28T11:39:24+00:00The Canadian Debt-Strategy Model: An Overview of the Principal Elements
https://www.bankofcanada.ca/2011/05/discussion-paper-2011-3/
The Canadian Debt Strategy Model helps debt managers determine their optimal financing strategy. The model’s code and documentation are available to the public.2011-05-13T13:51:30+00:00enThe Canadian Debt-Strategy Model: An Overview of the Principal Elements2011-05-13Debt managementEconometric and statistical methodsFinancial marketsFiscal policyDiscussion Paper 2011-3https://www.bankofcanada.ca/wp-content/uploads/2011/05/dp11-3.pdfThe Canadian Debt-Strategy Model: An Overview of the Principal ElementsDavid BolderSimon DeeleyMay 2011CC0GG1G11G17HH6H63Combining 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 Model2008-06-20Examining Simple Joint Macroeconomic and Term-Structure Models: A Practitioner's Perspective
https://www.bankofcanada.ca/2007/10/working-paper-2007-49/
The primary objective of this paper is to compare a variety of joint models of the term structure of interest rates and the macroeconomy.2007-10-01T12:46:08+00:00enExamining Simple Joint Macroeconomic and Term-Structure Models: A Practitioner's Perspective2007-10-01Econometric and statistical methodsFinancial marketsInterest ratesWorking Paper 2007-49 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp07-49.pdfExamining Simple Joint Macroeconomic and Term-Structure Models: A Practitioner’s PerspectiveDavid BolderShudan LiuOctober 2007CC0C6EE4GG1Optimization in a Simulation Setting: Use of Function Approximation in Debt Strategy Analysis
https://www.bankofcanada.ca/2007/02/working-paper-2007-13/
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.2007-02-13T12:52:37+00:00enOptimization in a Simulation Setting: Use of Function Approximation in Debt Strategy Analysis2007-02-13Debt managementEconometric and statistical methodsFinancial marketsFiscal policyWorking Paper 2007-13 https://www.bankofcanada.ca/wp-content/uploads/2010/03/wp07-13.pdfOptimization in a Simulation Setting: Use of Function Approximation in Debt Strategy AnalysisDavid BolderTiago RubinFebruary 2007CC0C1C14C15C5C51C52C6C61C65EE6GG1HH6H63Modelling Term-Structure Dynamics for Risk Management: A Practitioner's Perspective
https://www.bankofcanada.ca/2006/12/working-paper-2006-48/
Modelling term-structure dynamics is an important component in measuring and managing the exposure of portfolios to adverse movements in interest rates.2006-12-05T16:22:25+00:00enModelling Term-Structure Dynamics for Risk Management: A Practitioner's Perspective2006-12-05Econometric and statistical methodsFinancial marketsInterest ratesWorking Paper 2006-48 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp06-48.pdfModelling Term-Structure Dynamics for Risk Management: A Practitioner’s PerspectiveDavid BolderDecember 2006CC0C6EE4GG1An Empirical Analysis of the Canadian Term Structure of Zero-Coupon Interest Rates
https://www.bankofcanada.ca/2004/12/working-paper-2004-48/
Zero-coupon interest rates are the fundamental building block of fixed-income mathematics, and as such have an extensive number of applications in both finance and economics.2004-12-01T10:21:37+00:00enAn Empirical Analysis of the Canadian Term Structure of Zero-Coupon Interest Rates2004-12-01Econometric and statistical methodsFinancial marketsInterest ratesWorking Paper 2004-48 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp04-48.pdfAn Empirical Analysis of the Canadian Term Structure of Zero-Coupon Interest RatesDavid BolderAdam MetzlerGrahame JohnsonDecember 2004CC0C6EE4GG1A Stochastic Simulation Framework for the Government of Canada's Debt Strategy
https://www.bankofcanada.ca/2003/04/working-paper-2003-10/
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.2003-04-01T11:39:36+00:00enA Stochastic Simulation Framework for the Government of Canada's Debt Strategy2003-04-01Debt managementEconometric and statistical methodsEconomic modelsWorking Paper 2003-10 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp03-10.pdfA Stochastic Simulation Framework for the Government of Canada’s Debt StrategyDavid BolderApril 2003CC0C1C15C5C52HH6H63Exponentials, Polynomials, and Fourier Series: More Yield Curve Modelling at the Bank of Canada
https://www.bankofcanada.ca/2002/10/working-paper-2002-29/
This paper continues the work started by Bolder and Stréliski (1999) and considers two alternative classes of models for extracting zero-coupon and forward rates from a set of observed Government of Canada bond and treasury-bill prices.2002-10-01T12:03:37+00:00enExponentials, Polynomials, and Fourier Series: More Yield Curve Modelling at the Bank of Canada2002-10-01Econometric and statistical methodsFinancial marketsInterest ratesWorking Paper 2002-29 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp02-29.pdfExponentials, Polynomials, and Fourier Series: More Yield Curve Modelling at the Bank of CanadaDavid BolderScott GusbaOctober 2002CC0C6EE4GG1Towards a More Complete Debt Strategy Simulation Framework
https://www.bankofcanada.ca/2002/05/working-paper-2002-13/
An effective technique governments use to evaluate the desirability of different financing strategies involves stochastic simulation. This approach requires the postulation of the future dynamics of key macroeconomic variables and the use of those variables in the construction of a debt charge distribution for each individual financing strategy.2002-05-01T12:23:55+00:00enTowards a More Complete Debt Strategy Simulation Framework2002-05-01Debt managementEconometric and statistical methodsInterest ratesWorking Paper 2002-13 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp02-13.pdfTowards a More Complete Debt Strategy Simulation FrameworkDavid BolderMay 2002CC0C5GG0