53
result(s)
BoC–BoE Sovereign Default Database: Methodology, Assumptions and Sources
Technical Report No. 117
David Beers,
Elliot Jones,
John Walsh
Until recently, few efforts have been made to systematically measure and aggregate the nominal value of the different types of sovereign government debt in default. To help fill this gap, the Bank of Canada (BoC) developed a comprehensive database of sovereign defaults that is posted on its website and updated in partnership with the Bank of England (BoE).
Content Type(s):
Staff Research,
Technical Reports
Topic(s):
Debt management,
Development economics,
Financial institutions,
International financial markets
JEL Code(s):
F,
F3,
F34,
G,
G1,
G10,
G14,
G15
A Portfolio-Balance Model of Inflation and Yield Curve Determination
Staff Working Paper 2020-6
Antonio Diez de los Rios
How does the supply of nominal government debt affect the macroeconomy? To answer this question, we propose a portfolio-balance model of the yield curve in which inflation is determined through an interest rate rule.
Content Type(s):
Staff Research,
Staff Working Papers
Topic(s):
Asset pricing,
Debt management,
Inflation and prices,
Interest rates,
Monetary policy
JEL Code(s):
E,
E4,
E43,
E5,
E52,
G,
G1,
G12,
H,
H6,
H63
A Macroprudential Theory of Foreign Reserve Accumulation
Staff Working Paper 2019-43
Fernando Arce,
Julien Bengui,
Javier Bianchi
This paper proposes a theory of foreign reserves as macroprudential policy. We study an open-economy model of financial crises in which pecuniary externalities lead to overborrowing, and show that by accumulating international reserves, the government can achieve the constrained-efficient allocation.
Content Type(s):
Staff Research,
Staff Working Papers
Topic(s):
Balance of payments and components,
Financial stability,
Financial system regulation and policies,
Foreign reserves management,
International financial markets
JEL Code(s):
D,
D5,
D52,
D6,
D62,
F,
F3,
F34
The BoC-BoE Sovereign Default Database: What’s New in 2019?
Staff Working Paper 2019-39
David Beers,
Patrisha de Leon-Manlagnit
Until recently, few efforts have been made to systematically measure and aggregate the nominal value of the different types of sovereign government debt in default. To help fill this gap, the Bank of Canada (BoC) developed a comprehensive database of sovereign defaults that is posted on its website and updated in partnership with the Bank of England (BoE).
Content Type(s):
Staff Research,
Staff Working Papers
Topic(s):
Debt management,
Development economics,
Financial stability,
International financial markets
JEL Code(s):
F,
F3,
F34,
G,
G1,
G10,
G14,
G15
The Cost of the Government Bond Buyback and Switch Programs in Canada
Staff Analytical Note 2018-41
Bo Young Chang,
Jun Yang,
Parker Liu
This note examines the costs of the Government of Canada bond buyback and switch programs between 1998 and 2016. Our analysis indicates that the auction design of the buyback program was effective in retiring government debt with minimal costs resulting from bid shading in auctions and price impact.
Content Type(s):
Staff Research,
Staff Analytical Notes
Topic(s):
Debt management
JEL Code(s):
D,
D4,
D44
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 Impact of Government Debt Supply on Bond Market Liquidity: An Empirical Analysis of the Canadian Market
Staff Working Paper 2018-35
Jeffrey Gao,
Jianjian Jin,
Jacob Thompson
This paper finds that Government of Canada benchmark bonds tend to be more illiquid over the subsequent month when there is a large increase in government debt supply. The result is both statistically and economically significant, stronger for the long-term than the short-term sector, and is robust when other macro factors are controlled for.
Content Type(s):
Staff Research,
Staff Working Papers
Topic(s):
Asset pricing,
Debt management,
Financial markets
JEL Code(s):
D,
D5,
D53,
G,
G1,
G12,
G18,
G2,
G3,
G32
Sources of Borrowing and Fiscal Multipliers
Staff Working Paper 2018-32
Romanos Priftis,
Srecko Zimic
This paper finds that debt-financed government spending multipliers vary considerably depending on the location of the debt buyer. In a sample of 33 countries, we find that government spending multipliers are larger when government purchases are financed by issuing debt to foreign investors (non-residents), compared with when government purchases are financed by issuing debt to home investors (residents).
Content Type(s):
Staff Research,
Staff Working Papers
Topic(s):
Debt management,
Economic models,
Fiscal policy,
International financial markets
JEL Code(s):
E,
E2,
E6,
E62,
F,
F4,
F41,
H,
H3