The Government of Canada Debt Securities Data Set

Technical Report No. 112 (English)
Jeffrey Gao, Francisco Rivadeneyra, Gabriel Rodriguez Rondon
February 2018
Share this page on Facebook
Share this page on X
Share this page on X
Share this page on LinkedIn
Share this page on LinkedIn Share this page by email
Available as: PDF

Outstanding Amounts Data available as: CSV
Events Data available as: CSV

We present the daily time series of the outstanding amounts of all Government of Canada marketable debt securities from July 2001 to June 2017. The data set is accompanied by a matching data set describing the most relevant events for each bond on each day: auction, repurchase, benchmark status and maturity. This previously unavailable data set is designed with academic researchers and market participants in mind and could be regularly updated in the future. We discuss the construction of the data set and potential uses for empirical asset pricing and related studies.

 
Content Type(s): Staff research, Technical reports
Topic(s): Debt management, Econometric and statistical methods, Financial markets
JEL Code(s): C, C8, C80, G, G1, G10, H, H6, H63

DOI: https://doi.org/10.34989/tr-112