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68
result(s)
A Model of the EFA Liabilities
Staff Discussion Paper 2011-11
Francisco Rivadeneyra,
Oumar Dissou
The authors describe the liabilities model of the Exchange Fund Account (EFA). The EFA is managed using an asset-liability matching framework that requires currency and duration matching of both sides of the balance sheet.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Debt management,
Foreign reserves management
JEL Code(s):
G,
G1,
G12,
G3,
G32
August 18, 2011
Developing a Medium-Term Debt-Management Strategy for the Government of Canada
As the Government of Canada’s fiscal agent, the Bank of Canada provides strategic policy advice on the management of the government’s debt, in addition to being responsible for conducting debt-management operations. In this article, the authors review the evolution of the debt strategy over the past 20 years and outline the complex process of developing a sound strategy that balances various cost and risk considerations. This includes an examination of the tools and practices used to develop the new medium-term debt-management strategy, such as the modelling approach involved, market consultations and various debt-management metrics.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Debt management,
Economic models
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
Liquidity, Risk, and Return: Specifying an Objective Function for the Management of Foreign Reserves
Staff Discussion Paper 2010-13
Yuliya Romanyuk
An objective function is a key component of a strategic portfolio management model used to determine the optimal allocations of assets and, possibly, their associated liabilities over some investment horizon.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Foreign reserves management
JEL Code(s):
G,
G1,
G11
Asset-Liability Management: An Overview
Staff Discussion Paper 2010-10
Yuliya Romanyuk
Relevant literature on asset-liability management (ALM) is reviewed and different ALM approaches are discussed that may be of interest to the Bank of Canada for the purpose of modelling the Exchange Fund Account (EFA).
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Foreign reserves management
JEL Code(s):
G,
G1,
G11
Comparison of Auction Formats in Canadian Government Auctions
Staff Working Paper 2009-5
Olivier Armantier,
Nourredine Lafhel
Using a rich sample of Canadian government securities auctions, we estimate the structural parameters of a share-auction model accounting for asymmetries across bidders. We find little evidence of asymmetries between participants at Canadian government nominal bond auctions.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Debt management,
Financial markets,
Market structure and pricing
JEL Code(s):
D,
D4,
D44,
D6,
D63,
G,
G2,
G28
Macroeconomic Determinants of the Term Structure of Corporate Spreads
Staff Working Paper 2008-29
Jun Yang
We investigate the macroeconomic determinants of corporate spreads using a no-arbitrage technique. Structural shocks are identified by a New-Keynesian model. Treasury bonds are priced in an affine model with time-varying risk premia.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Debt management,
Financial markets,
Interest rates
JEL Code(s):
E,
E4,
E43,
E44,
G,
G1,
G12
June 20, 2008
The Canadian Debt-Strategy Model
In its role as fiscal agent to the government, the Bank of Canada provides analysis and advice on decisions about the government's domestic debt portfolio. Debt-management decisions depend on assumptions about future interest rates, macroeconomic outcomes, and fiscal policy, yet when a debt-strategy decision is taken, none of these factors can be known with certainty. Moreover, the government has various financing options (i.e., treasury bills, nominal bonds, and inflation-linked bonds) to meet its objectives of minimizing debt-service charges while simultaneously ensuring a prudent risk profile and well-functioning government securities markets. Bank of Canada staff have therefore developed a mathematical model to assist in the decision-making process. This article describes the key aspects of the debt manager's challenge and the principal assumptions incorporated in the debt-strategy model, illustrated with specific results.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Debt management,
Economic models,
Fiscal policy
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