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66 result(s)

August 18, 2011

Developing a Medium-Term Debt-Management Strategy for the Government of Canada

As the Government of Canada’s fiscal agent, the Bank of Canada provides strategic policy advice on the management of the government’s debt, in addition to being responsible for conducting debt-management operations. In this article, the authors review the evolution of the debt strategy over the past 20 years and outline the complex process of developing a sound strategy that balances various cost and risk considerations. This includes an examination of the tools and practices used to develop the new medium-term debt-management strategy, such as the modelling approach involved, market consultations and various debt-management metrics.

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.
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.

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.

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.
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