H63 - Debt; Debt Management; Sovereign Debt

• 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 Topic(s): Debt management, Econometric and statistical methods, Financial markets, Fiscal policy JEL Code(s): C, C0, G, G1, G11, G17, H, H6, H63

• 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 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 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 Topic(s): Debt management, Econometric and statistical methods, Economic models JEL Code(s): C, C0, C1, C15, C5, C52, H, H6, H63

• Provincial Credit Ratings in Canada: An Ordered Probit Analysis

  Staff Working Paper 1996-6 Stella Cheung

  The author estimates the relationship between the provincial credit ratings, as assessed by Standard & Poor's, and a number of economic variables, using the ordered probit methodology. All the variables in her estimation prove to be significant. In particular, she finds that downgrades take place at almost the same speed at different levels of the debt-to-GDP ratio, based on a pooled sample of nine provinces.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets JEL Code(s): H, H6, H63