August 18, 2011
Find Bank of Canada research by keyword, author, content type, JEL code, topic or date of publication.
Receive notification by email whenever new research is added to the website.
54
result(s)
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
Comparison of Auction Formats in Canadian Government Auctions
Staff Working Paper 2009-5
Olivier Armantier,
Nourredine Lafhel
Using a rich sample of Canadian government securities auctions, we estimate the structural parameters of a share-auction model accounting for asymmetries across bidders. We find little evidence of asymmetries between participants at Canadian government nominal bond auctions.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Debt management,
Financial markets,
Market structure and pricing
JEL Code(s):
D,
D4,
D44,
D6,
D63,
G,
G2,
G28
Macroeconomic Determinants of the Term Structure of Corporate Spreads
Staff Working Paper 2008-29
Jun Yang
We investigate the macroeconomic determinants of corporate spreads using a no-arbitrage technique. Structural shocks are identified by a New-Keynesian model. Treasury bonds are priced in an affine model with time-varying risk premia.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Debt management,
Financial markets,
Interest rates
JEL Code(s):
E,
E4,
E43,
E44,
G,
G1,
G12
June 20, 2008
The Canadian Debt-Strategy Model
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.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Debt management,
Economic models,
Fiscal policy
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
A No-Arbitrage Analysis of Macroeconomic Determinants of Term Structures and the Exchange Rate
Staff Working Paper 2007-21
Fousseni Chabi-Yo,
Jun Yang
We study the joint dynamics of macroeconomic variables, bond yields, and the exchange rate in an empirical two-country New-Keynesian model complemented with a no-arbitrage term structure model. With Canadian and US data, we are able to study the impact of macroeconomic shocks from both countries on their yield curves and the exchange rate.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Debt management,
Econometric and statistical methods,
Exchange rates,
Financial markets,
Interest rates
JEL Code(s):
E,
E1,
E12,
E4,
E43,
F,
F4,
F41,
G,
G1,
G12,
G15
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
December 18, 2006
A Summary of the Bank of Canada Conference on Fixed-Income Markets, 3–4 May 2006
The Bank of Canada's interest in fixed-income markets spans several of its functional areas of responsibility, including monetary policy, funds management, and financial system stability and efficiency. For that reason, the 2006 conference brought together top academics and central bankers from around the world to discuss leading-edge work in the field of fixed-income research. The papers and discussions cover such topics as the efficiency of fixed-income markets, price formation, the determinants of the yield curve, and volatility modelling. This article provides a short summary of each conference paper and the ensuing discussion.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Debt management,
Financial markets,
Interest rates
Estimation of the Default Risk of Publicly Traded Canadian Companies
Staff Working Paper 2006-28
Georges Dionne,
Sadok Laajimi,
Sofiane Mejri,
Madalina Petrescu
Two models of default risk are prominent in the financial literature: Merton's structural model and Altman's non-structural model.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Credit and credit aggregates,
Debt management,
Econometric and statistical methods,
Financial markets,
Recent economic and financial developments
JEL Code(s):
G,
G2,
G21,
G24,
G28,
G3,
G33