Publications and Research

2006
Estimation of the Default Risk of Publicly Traded Canadian Companies
Georges Dionne, Sadok Laajimi, Sofiane Mejri, and Madalina Petrescu
Working Paper 2006-28

2006
No-Arbitrage Macroeconomic Determinants of the Yield Curve (PDF)
Ruslan Bikbov and Mikhail Chernov
Conference paper

2006
Risk and Return in Fixed Income Arbitrage: Nickels in Front of a Steamroller? (PDF)
Jefferson Duarte, Francis Longstaff, and Fan Yu
Conference paper

2006
The Causal Effect of Mortgage Refinancing on Interest-Rate Volatility: Empirical Evidence and Theoretical Implications (PDF)
Jefferson Duarte
Conference paper

2006
Do Options Contain Information About Excess Bond Returns? (PDF)
Caio Almeida, Jeremy J. Graveline, and Scott Joslin
Conference paper

2006
Affine-Quadratic Term Structure Models – Toward the Understanding of Jumps in Interest Rates (PDF)
George J. Jiang and Shu Yan
Conference paper

2006
Can Bonds Hedge Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models (PDF)
Torben G. Andersen and Luca Benzoni
Conference paper

Spring 2006
The Evolution of the Government of Canada's Debt Distribution Framework
Marc Pellerin
Bank of Canada Review article

Winter 2004-2005
Government of Canada Yield-Curve Dynamics, 1986-2003
Grahame Johnson
Bank of Canada Review article

Summer 2004
The Evolution of Liquidity in the Market for Government of Canada Bonds
Stacey Anderson and Stéphane Lavoie
Bank of Canada Review article

2004
The Effects of Economic News on Bond Market Liquidity
Chris D'Souza and Charles Gaa
Working Paper 2004-16

2003
A Stochastic Simulation Framework for the Government of Canada's Debt Strategy
David Jamieson Bolder
Working Paper 2003-10

Winter 2001-2002
The Canadian Fixed-Income Market: Recent Developments and Outlook
Éric Chouinard and Zahir Lalani
Bank of Canada Review article

2002
Towards a More Complete Debt Strategy Simulation Framework
David Jamieson Bolder
Working Paper 2002-13

2002
The Microstructure of Multiple-Dealer Equity and Government Securities Markets: How They Differ
Toni Gravelle
Working Paper 2002-9

2001
Affine Term-Structure Models: Theory and Implementation
David Jamieson Bolder
Working Paper 2001-15

1998
Buying Back Government Bonds: Mechanics and Other Considerations
Toni Gravelle
Working Paper 98-9

1998
Easing Restrictions on the Stripping and Reconstitution of Government of Canada Bonds
David Bolder and Serge Boisvert
Working Paper 98-8

Summer 1998
The declining supply of treasury bills and the Canadian money market
Bank staff
Bank of Canada Review article

Summer 1996
Amendments to the administrative arrangements regarding the auction of Government of Canada Securities
Bank staff
Print copy available
Bank of Canada Review article

Spring 1996
Financing activities of provincial governments and their enterprises
Philip Wooldridge
Bank of Canada Review article

Spring 1995
Managing the federal government's cash balances: A technical note
Daryl Merrett, Serge Boisvert and Philippe Coté
Bank of Canada Review article

Autumn 1993
The role of interest rate swaps in managing Canada's debt
François Thibault
Print copy available
Bank of Canada Review article

1983
La non-neutralité du mode de financement du gouvernement
Paul Masson
Technical Report 36

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