David Bolder - Latest

• Exponentials, Polynomials, and Fourier Series: More Yield Curve Modelling at the Bank of Canada

  Staff Working Paper 2002-29 David Bolder, Scott Gusba

  This paper continues the work started by Bolder and Stréliski (1999) and considers two alternative classes of models for extracting zero-coupon and forward rates from a set of observed Government of Canada bond and treasury-bill prices.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial markets, Interest rates JEL Code(s): C, C0, C6, E, E4, G, G1

• 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