Debt management

• December 24, 2004

  Government of Canada Yield-Curve Dynamics, 1986-2003

  Bank of Canada Review - Winter 2004-2005 Grahame Johnson

  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

  Bank of Canada Review - Summer 2004 Stacey Anderson, Stéphane Lavoie

  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