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 Research Topic(s): Debt management, Financial institutions, Financial markets, Financial services JEL Code(s): G, G1, G10, G2, G20, H, H6, H63
The Government of Canada Debt Securities Data Set Technical Report No. 112 Jeffrey Gao, Francisco Rivadeneyra, Gabriel Rodriguez Rondon We present the daily time series of the outstanding amounts of all Government of Canada marketable debt securities from July 2001 to June 2017. Content Type(s): Staff research, Technical reports Research Topic(s): Debt management, Econometric and statistical methods, Financial markets JEL Code(s): C, C8, C80, G, G1, G10, H, H6, H63
A Barometer of Canadian Financial System Vulnerabilities Staff Analytical Note 2017-24 Thibaut Duprey, Tom Roberts This note presents a composite indicator of Canadian financial system vulnerabilities—the Vulnerabilities Barometer. It aims to complement the Bank of Canada’s vulnerabilities assessment by adding a quantitative and synthesized perspective to the more granular (distributional) analysis presented in the Financial System Review. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Econometric and statistical methods, Financial stability, Monetary and financial indicators JEL Code(s): C, C1, C14, C4, C40, D, D1, D14, E, E3, E32, E6, E66, F, F0, F01, G, G0, G01, G1, G15, G2, G21, H, H6, H63
Analyzing Fiscal Sustainability Staff Working Paper 2013-27 Huixin Bi, Eric M. Leeper The authors study the implications of fiscal policy behaviour for sovereign risk in a framework that determines a country’s fiscal limit, the point at which, for economic or political reasons, taxes and spending can no longer adjust to stabilize debt. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Fiscal policy JEL Code(s): E, E6, E62, E65, H, H6, H63
Uncertain Fiscal Consolidations Staff Working Paper 2013-26 Huixin Bi, Eric M. Leeper, Campbell Leith The paper explores the macroeconomic consequences of fiscal consolidations whose timing and composition - either tax- or spending-based - are uncertain. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Fiscal policy, Monetary policy and uncertainty JEL Code(s): E, E6, E62, E63, H, H3, H30, H6, H60
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 Research Topic(s): Debt management, Econometric and statistical methods, Financial markets, Fiscal policy JEL Code(s): C, C0, G, G1, G11, G17, H, H6, H63
Sovereign Default Risk Premia, Fiscal Limits and Fiscal Policy Staff Working Paper 2011-10 Huixin Bi We develop a closed economy model to study the interactions among sovereign risk premia, fiscal limits, and fiscal policy. The stochastic fiscal limits, which measure the ability and willingness of the government to service its debt, arise endogenously from a dynamic Laffer curve. Content Type(s): Staff research, Staff working papers Research Topic(s): Fiscal policy, International topics JEL Code(s): E, E6, E62, H, H3, H30, H6, H60
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 Research Topic(s): Debt management, International topics JEL Code(s): F, F3, F30, H, H2, H21, H6, H63
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 Research 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
A Stochastic Simulation Framework for the Government of Canada's Debt Strategy Staff Working Paper 2003-10 David Bolder Debt strategy is defined as the manner in which a government finances an excess of government expenditures over revenues and any maturing debt issued in previous periods. The author gives a thorough qualitative description of the complexities of debt strategy analysis and then demonstrates that it is, in fact, a problem in stochastic optimal control. Content Type(s): Staff research, Staff working papers Research Topic(s): Debt management, Econometric and statistical methods, Economic models JEL Code(s): C, C0, C1, C15, C5, C52, H, H6, H63