BoC–BoE Sovereign Default Database: Appendix and References Technical report No. 125 David Beers, Obiageri Ndukwe, Joe Berry Since 2014, the Bank of Canada (BoC) has maintained a comprehensive database of sovereign defaults to systematically measure and aggregate the nominal value of the different types of sovereign government debt in default. The database is posted on the BoC’s website and is updated annually in partnership with the Bank of England (BoE). Content Type(s): Staff research, Technical reports JEL Code(s): F, F3, F34, G, G1, G10, G14, G15 Research Theme(s): Financial markets and funds management, Funds management, Financial system, Financial stability and systemic risk
BoC–BoE Sovereign Default Database: Methodology and Assumptions Technical report No. 124 David Beers, Obiageri Ndukwe, Joe Berry The Bank of Canada (BoC), in partnership with the Bank of England (BoE), developed a comprehensive database of sovereign defaults in 2014. The database is posted on the Bank of Canada’s website and updated annually. The BoC–BoE database draws on datasets published by various public and private sector sources. It combines elements of these, together with new information, to develop comprehensive estimates of stocks of government obligations in default. Content Type(s): Staff research, Technical reports JEL Code(s): F, F3, F34, G, G1, G10, G14, G15 Research Theme(s): Financial markets and funds management, Funds management, International markets and currencies, Financial system, Financial stability and systemic risk
Estimating the Slope of the Demand Function at Auctions for Government of Canada Bonds Staff discussion paper 2023-12 Bo Young Chang We use bid data from Government of Canada bond auctions between 1999 and 2021 to gauge the yield sensitivity of these bonds to the issuance amount. Our new metric estimates the demand function of the bidders at each auction and offers insights into the relationship between supply and yield of government bonds. Content Type(s): Staff research, Staff discussion papers JEL Code(s): D, D4, D44, G, G1, G12 Research Theme(s): Financial markets and funds management, Funds management, Market functioning
BoC–BoE Sovereign Default Database: What’s new in 2022? Staff analytical note 2022-11 David Beers, Elliot Jones, Karim McDaniels, Zacharie Quiviger 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. Content Type(s): Staff research, Staff analytical notes JEL Code(s): F, F3, F34, G, G1, G10, G14, G15 Research Theme(s): Financial markets and funds management, Funds management, International markets and currencies, Financial system, Financial stability and systemic risk
Foreign Exchange Interventions: The Long and the Short of It Staff working paper 2022-25 Patrick Alexander, Sami Alpanda, Serdar Kabaca This paper studies the effects of foreign exchange (FX) interventions in a two-region model where governments issue both short- and long-term bonds. We find that the term premium channel dominates the trade balance channel in our calibrated model. As a result, the conventional beggar-thy-neighbor effects of interventions are overturned. Content Type(s): Staff research, Staff working papers JEL Code(s): F, F3, F31, F33, F4, F41 Research Theme(s): Financial markets and funds management, Funds management, International markets and currencies, Models and tools, Economic models
Discount Rates, Debt Maturity, and the Fiscal Theory Staff working paper 2021-58 Alexandre Corhay, Thilo Kind, Howard Kung, Gonzalo Morales Do bond risk premiums influence the effects of debt maturity operations? Using a model with realistic bond risk premiums, we show that maturity operations have sizable effects on expected inflation and output when the central bank passively responds to inflation and the fiscal authority weakly responds to the debt level. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E4, E43, E44, E6, E63, G, G1, G12 Research Theme(s): Financial markets and funds management, Funds management, Market functioning, Financial system, Financial stability and systemic risk, Monetary policy, Monetary policy tools and implementation
Updated Methodology for Assigning Credit Ratings to Sovereigns Staff discussion paper 2021-16 Karim McDaniels, Nico Palesch, Sanjam Suri, Zacharie Quiviger, John Walsh We update the Bank of Canada’s credit rating methodology for sovereigns, including our approach to assessing their fiscal position and monetary policy flexibility. We also explicitly consider climate-related factors. Content Type(s): Staff research, Staff discussion papers JEL Code(s): F, F3, F31, G, G2, G24, G28, G3, G32 Research Theme(s): Financial markets and funds management, Funds management, Financial system, Financial stability and systemic risk, Monetary policy, Monetary policy framework and transmission, Structural challenges, Climate change
BoC–BoE Sovereign Default Database: What’s new in 2021? Staff analytical note 2021-15 David Beers, Elliot Jones, Zacharie Quiviger, 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. Content Type(s): Staff research, Staff analytical notes JEL Code(s): F, F3, F34, G, G1, G10, G14, G15 Research Theme(s): Financial markets and funds management, Funds management, International markets and currencies, Financial system, Financial stability and systemic risk
Liquidity Usage and Payment Delay Estimates of the New Canadian High Value Payments System Staff discussion paper 2020-9 Francisco Rivadeneyra, Nellie Zhang As part of modernizing its core payments infrastructure, Canada will replace the Large Value Transfer System (LVTS) with a new Real-Time Gross Settlement (RTGS) system called Lynx. An important question for policy-makers is how Lynx should be designed. Content Type(s): Staff research, Staff discussion papers JEL Code(s): C, C5, E, E4, E42, E5, E58 Research Theme(s): Financial markets and funds management, Funds management, Money and payments, Payment and financial market infrastructures
Maturity Composition and the Demand for Government Debt Staff working paper 2020-29 Jason Allen, Jakub Kastl, Milena Wittwer The main objectives of debt management are to raise stable and low-cost funding to meet the government’s financial needs and to maintain a well-functioning market for government securities. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C1, C14, D, D4, D44, E, E5, E58, G, G1, G12 Research Theme(s): Financial markets and funds management, Funds management, Market functioning, Financial system, Financial institutions and intermediation, Models and tools, Economic models