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54 result(s)

BoC-BoE Sovereign Default Database: What’s New in 2020?

Staff Analytical Note 2020-13 David Beers, Elliot Jones, John Walsh
The Boc–BoE database of sovereign debt defaults, published and updated annually by the Bank of Canada and the Bank of England, provides comprehensive estimates of stocks of government obligations in default. The 2020 edition includes a new section examining the scale of domestic arrears in 2018.

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).

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.

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.

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).

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

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.

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.

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