The Government of Canada Debt Securities Data Set
We present the daily time series of the outstanding amounts of all Government of Canada marketable debt securities from July 2001 to June 2017.
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72
result(s)
Do Liquidity Proxies Measure Liquidity in Canadian Bond Markets?
Staff Analytical Note 2017-23
Jean-Sébastien Fontaine,
Jeffrey Gao,
Jabir Sandhu,
Kobe Wu
This analytical note evaluates the reliability of proxies for measuring liquidity in Canadian bond markets. We find that price-impact and bid-ask proxies paint a similar picture of evolving liquidity conditions to that obtained from richer measures of liquidity for benchmark Government of Canada bonds.
Content Type(s):
Staff research,
Staff analytical notes
Research Topic(s):
Debt management,
Financial markets
JEL Code(s):
G,
G1,
G12,
G14,
G2,
G23,
G3,
G32
Methodology for Assigning Credit Ratings to Sovereigns
Staff Discussion Paper 2017-7
Philippe Muller,
Jérôme Bourque
The investment of foreign exchange reserves or other asset portfolios requires an assessment of the credit quality of investment counterparties. Traditionally, foreign exchange reserve and asset managers have relied on credit rating agencies (CRAs) as the main source for credit assessments.
Content Type(s):
Staff research,
Staff discussion papers
Research Topic(s):
Credit risk management,
Foreign reserves management
JEL Code(s):
F,
F3,
F31,
G,
G2,
G24,
G28,
G3,
G32
Multilateral Development Bank Credit Rating Methodology: Overcoming the Challenges in Assessing Relative Credit Risk in Highly Rated Institutions Based on Public Data
Staff Discussion Paper 2017-6
David Xiao Chen,
Philippe Muller,
Hawa Wagué
The investment of foreign exchange reserves or other asset portfolios requires an assessment of the credit quality of counterparties. Traditionally, foreign exchange reserve managers and other investors have relied on credit rating agencies (CRAs) as the main source for credit assessments.
Content Type(s):
Staff research,
Staff discussion papers
Research Topic(s):
Credit risk management,
Foreign reserves management
JEL Code(s):
F,
F3,
F31,
G,
G2,
G24,
G28,
G3,
G32
May 11, 2017
The Life Cycle of Government of Canada Bonds in Core Funding Markets
Data on the use of government securities in the repo, securities lending and cash markets suggest there are bond market clienteles in Canada. Shorter-term bonds are more prevalent in the repo market, while longer-maturity securities are more active in the securities lending market—consistent with the preferred habitat hypothesis. These results could help design better debt-management strategies and more-effective policies to maintain well-functioning financial markets.
Content Type(s):
Publications,
Bank of Canada Review articles
Research Topic(s):
Debt management,
Financial markets
JEL Code(s):
G,
G1,
G12,
G2,
G23
Capital Flows to Developing Countries: Is There an Allocation Puzzle?
Staff Working Paper 2016-53
Josef Schroth
Foreign direct investment inflows are positively related to growth across developing countries—but so are savings in excess of investment. I develop an explanation for this well-established puzzle by focusing on the limited availability of consumer credit in developing countries together with general equilibrium effects.
Content Type(s):
Staff research,
Staff working papers
Research Topic(s):
Foreign reserves management,
Interest rates,
International financial markets
JEL Code(s):
E,
E1,
E13,
E2,
E21,
F,
F4,
F43
A Framework in Search of an Optimal Margining Policy for Official Institutions: The Canadian Experience
Staff Discussion Paper 2016-9
Tomo Nakashima,
Mihai Cosma,
Boran Plong
One of the main outcomes of the global financial crisis has been a series of new regulations imposed on the financial system and specifically on banks.
Content Type(s):
Staff research,
Staff discussion papers
Research Topic(s):
Financial markets,
Foreign reserves management
JEL Code(s):
G,
G3,
G32
November 19, 2015
Recent Enhancements to the Management of Canada’s Foreign Exchange Reserves
As the size and complexity of the foreign exchange reserves have grown over the years, enhancements to the management framework needed to keep pace. This is a common theme for most reserve managers around the world. In Canada, the enhancements focused on governance, portfolio management, risk measurement and risk management. This article briefly describes these enhancements, why they were implemented and some of the lessons learned along the way.
Content Type(s):
Publications,
Bank of Canada Review articles
Research Topic(s):
Central bank research,
Foreign reserves management,
Recent economic and financial developments
JEL Code(s):
E,
E5,
E58,
F,
F3,
F31,
G,
G1
May 14, 2015
The “Bank” at the Bank of Canada
In this article, we describe the various types of banking services (payments, settlement and safekeeping) that the Bank of Canada provides to different types of clients (the Government of Canada, financial market infrastructures, financial institutions, foreign central banks and the Canada Deposit Insurance Corporation). We also explain the reasons the Bank provides these services and how this role supports its core mandates, in particular financial stability. Finally, we explore the factors driving the growth and evolution in the provision of these banking services.
Content Type(s):
Publications,
Bank of Canada Review articles
Research Topic(s):
Financial services,
Foreign reserves management,
Payment clearing and settlement systems
JEL Code(s):
E,
E5,
E50,
G,
G2,
G20
Immigrants and Mortgage Delinquency in the United States
Staff Working Paper 2015-1
Zhenguo Lin,
Yingchun Liu,
Jia Xie
We investigate the relationship between immigrant status and mortgage delinquency in the United States.
Content Type(s):
Staff research,
Staff working papers
Research Topic(s):
Debt management,
Financial stability
JEL Code(s):
G,
G2,
G21,
J,
J1,
J15