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1.
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Affine models describe the stylized time-series properties of the term structure of interest rates in a reasonable manner, they generalize relatively easily to higher dim[...]
2001 | Text | Staff Working Paper - Document de travail du personnel |
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2.
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We study the joint dynamics of macroeconomic variables, bond yields, and the exchange rate in an empirical two-country New-Keynesian model complemented with a no-arbitrag[...]
2007 | Text | Staff Working Paper - Document de travail du personnel |
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3.
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With the elimination of the federal deficit, the Bank of Canada, the Department of Finance, and financial market participants are examining ways to manage the reduction i[...]
1998 | Text | Staff Working Paper - Document de travail du personnel |
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4.
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The government’s objective in managing its domestic debt portfolio is to raise stable, low-cost funding for its operational needs. The Bank of Canada provides analysis an[...]
2011 | Text | Staff Discussion Paper - Document d’analyse du personnel |
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5.
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Using a rich sample of Canadian government securities auctions, we estimate the structural parameters of a share-auction model accounting for asymmetries across bidders. [...]
2009 | Text | Staff Working Paper - Document de travail du personnel |
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6.
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Domestic public debt issued by emerging markets has risen significantly relative to international debt in recent years. Some recent empirical evidence also suggests that [...]
2007 | Text | Staff Working Paper - Document de travail du personnel |
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7.
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The Department of Finance and the Bank of Canada, as its fiscal agent, work closely with financial market participants in the management of the federal government's debt [...]
1998 | Text | Staff Working Paper - Document de travail du personnel |
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8.
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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 Gov[...]
2004 | Text | Staff Working Paper - Document de travail du personnel |
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9.
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Two models of default risk are prominent in the financial literature: Merton's structural model and Altman's non-structural model. Merton's structural model has the benef[...]
2006 | Text | Staff Working Paper - Document de travail du personnel |
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10.
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Les économistes se sont longtemps demandé si le financement des déficits du gouvernement par l'émission d'obligations plutôt que par l'augmentation des impôts entraîne de[...]
1983 | Texte | Rapport technique - Technical Report |
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