C0 - General
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The Canadian Debt-Strategy Model: An Overview of the Principal Elements
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. -
Financial Stress, Monetary Policy, and Economic Activity
This paper examines empirically the impact of financial stress on the transmission of monetary policy shocks in Canada. The model used is a threshold vector autoregression in which a regime change occurs if financial stress conditions cross a critical threshold. -
Market Expectations and Option Prices: Evidence for the Can$/US$ Exchange Rate
Security prices contain valuable information that can be used to make a wide variety of economic decisions. To extract this information, a model is required that relates market prices to the desired information, and that ideally can be implemented using timely and low-cost methods. -
Examining Simple Joint Macroeconomic and Term-Structure Models: A Practitioner's Perspective
The primary objective of this paper is to compare a variety of joint models of the term structure of interest rates and the macroeconomy. -
Optimization in a Simulation Setting: Use of Function Approximation in Debt Strategy Analysis
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. -
Modelling Term-Structure Dynamics for Risk Management: A Practitioner's Perspective
Modelling term-structure dynamics is an important component in measuring and managing the exposure of portfolios to adverse movements in interest rates. -
An Empirical Analysis of the Canadian Term Structure of Zero-Coupon Interest Rates
Zero-coupon interest rates are the fundamental building block of fixed-income mathematics, and as such have an extensive number of applications in both finance and economics. -
A Stochastic Simulation Framework for the Government of Canada's Debt Strategy
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. -
Exponentials, Polynomials, and Fourier Series: More Yield Curve Modelling at the Bank of Canada
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. -
Towards a More Complete Debt Strategy Simulation Framework
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.