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68
result(s)
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
December 18, 2006
A Summary of the Bank of Canada Conference on Fixed-Income Markets, 3–4 May 2006
The Bank of Canada's interest in fixed-income markets spans several of its functional areas of responsibility, including monetary policy, funds management, and financial system stability and efficiency. For that reason, the 2006 conference brought together top academics and central bankers from around the world to discuss leading-edge work in the field of fixed-income research. The papers and discussions cover such topics as the efficiency of fixed-income markets, price formation, the determinants of the yield curve, and volatility modelling. This article provides a short summary of each conference paper and the ensuing discussion.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Debt management,
Financial markets,
Interest rates
Estimation of the Default Risk of Publicly Traded Canadian Companies
Staff Working Paper 2006-28
Georges Dionne,
Sadok Laajimi,
Sofiane Mejri,
Madalina Petrescu
Two models of default risk are prominent in the financial literature: Merton's structural model and Altman's non-structural model.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Credit and credit aggregates,
Debt management,
Econometric and statistical methods,
Financial markets,
Recent economic and financial developments
JEL Code(s):
G,
G2,
G21,
G24,
G28,
G3,
G33
April 12, 2006
The Evolution of the Government of Canada's Debt Distribution Framework
This overview includes a brief history highlighting the government's use of the primary and secondary markets to develop a framework for distributing its debt securities to financial market intermediaries and end investors. The framework is also intended to meet the government's debt-strategy objectives of raising stable, low-cost funding and maintaining a well-functioning debt market. Pellerin reviews the government's adoption of a new framework in 1998 as well as the 2005 modifications aimed at attracting continued broad and competitive participation in government auctions.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Debt management,
Financial markets
December 24, 2004
Government of Canada Yield-Curve Dynamics, 1986-2003
A database of historical Government of Canada zero-coupon yield curves developed at the Bank of Canada is introduced in this article, which also includes an initial statistical analysis of the behaviour and evolution of the zero-coupon interest (spot) rates over the full period and two distinct subperiods. Specific areas of interest include the evolution of the levels of key interest rates and yield-curve measures over the sample as well as daily changes in the key interest rates and the yield-curve measures; the identification of a relatively small number of factors that drove the evolution of the yield curve; and the total returns that would have been realized by holding bonds of different maturities for a given holding period.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Debt management,
Econometric and statistical methods,
Financial markets
August 23, 2004
The Evolution of Liquidity in the Market for Government of Canada Bonds
Using turnover ratios, Anderson and Lavoie describe the recent evolution of liquidity in various secondary government bond markets, focusing specifically on the market for Government of Canada securities. They attribute much of the recent variation in liquidity to such cyclical factors as changes in the interest rate environment and investors' appetite for risk, as well as developments in equity markets in the late 1990s. They also examine longer-term structural and policy-related trends, including the rate of adoption of financial and technological innovations and the level of government borrowing and debt-management initiatives.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Debt management,
Financial markets,
Recent economic and financial developments
The Effects of Economic News on Bond Market Liquidity
Staff Working Paper 2004-16
Chris D'Souza,
Charles Gaa
The authors contrast the impact of two sources of information flow on the volatility of prices, trading activity, and liquidity in the brokered interdealer market for Government of Canada bonds.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Debt management,
Financial markets,
Market structure and pricing
JEL Code(s):
G,
G1,
G14
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
Towards a More Complete Debt Strategy Simulation Framework
Staff Working Paper 2002-13
David Bolder
An effective technique governments use to evaluate the desirability of different financing strategies involves stochastic simulation. This approach requires the postulation of the future dynamics of key macroeconomic variables and the use of those variables in the construction of a debt charge distribution for each individual financing strategy.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Debt management,
Econometric and statistical methods,
Interest rates
JEL Code(s):
C,
C0,
C5,
G,
G0