Debt Management

• Immigrants and Mortgage Delinquency in the United States

  Staff Working Paper 2015-1 Zhenguo Lin, Yingchun Liu, Jia Xie

  We investigate the relationship between immigrant status and mortgage delinquency in the United States.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Debt Management, Financial stability JEL Code(s): G, G2, G21, J, J1, J15

• Database of Sovereign Defaults, 2016

  Technical Report No. 101 David Beers, Jamshid Mavalwalla

  Until recently, there have been few efforts to systematically measure and aggregate the nominal value of the different types of sovereign government debt in default. To help fill this gap, the Bank of Canada’s Credit Rating Assessment Group (CRAG) has developed a comprehensive database of sovereign defaults posted on the Bank of Canada’s website.

  Content Type(s): Technical Reports Topic(s): Debt Management, Development economics, Financial stability, International financial markets JEL Code(s): F, F3, F34, G, G1, G10, G14, G15

• Why Do Emerging Markets Liberalize Capital Outflow Controls? Fiscal versus Net Capital Flow Concerns

  Staff Working Paper 2013-21 Joshua Aizenman, Gurnain Pasricha

  In this paper, we provide empirical evidence on the factors that motivated emerging economies to change their capital outflow controls in recent decades. Liberalization of capital outflow controls can allow emerging-market economies (EMEs) to reduce net capital inflow (NKI) pressures, but may cost their governments the fiscal revenues that external financial repression generates.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Debt Management, Financial system regulation and policies, International topics, Recent economic and financial developments JEL Code(s): F, F3, F32, G, G1, G15

• 16 May 2013 Modelling the Asset-Allocation and Liability Strategy for Canada’s Foreign Exchange Reserves

  Bank of Canada Review - Spring 2013 Francisco Rivadeneyra, Jianjian Jin, Narayan Bulusu, Lukasz Pomorski

  The Bank of Canada recently developed an asset-liability-matching model to aid in the management of Canada’s foreign exchange reserves. The model allows policy-makers at the Bank and the Department of Finance to analyze asset-allocation and funding-mix decisions by quantifying both the risk-return and liquidity trade-offs for the assets, as well as the risk-cost trade-offs of the funding liabilities.

  Content Type(s): Publications, Bank of Canada Review Article Topic(s): Debt Management, Foreign reserves management JEL Code(s): F, F3, F31, G, G1, G11, G18

• Systematic Risk, Debt Maturity and the Term Structure of Credit Spreads

  Staff Working Paper 2012-27 Hui Chen, Yu Xu, Jun Yang

  We build a dynamic capital structure model to study the link between systematic risk exposure and debt maturity, as well as their joint impact on the term structure of credit spreads. Our model allows for time variation and lumpiness in the maturity structure. Relative to short-term debt, long-term debt is less prone to rollover risks, but its illiquidity raises the costs of financing.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Asset Pricing, Debt Management JEL Code(s): G, G3, G32, G33

• 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

• 18 August 2011 Developing a Medium-Term Debt-Management Strategy for the Government of Canada

  Bank of Canada Review - Summer 2011 Marc Larson, Étienne Lessard

  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 Article 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

  As part of managing a debt portfolio, debt managers face the challenging task of choosing a strategy that minimizes the cost of debt, subject to limitations on risk. The Bank of Canada provides debt-management analysis and advice to the Government of Canada to assist in this task, with the Canadian debt-strategy model being developed to help in this regard.

  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

• 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