The Government of Canada debt securities data set / Jeffrey Gao, Francisco Rivadeneyra and Gabriel Rodriguez Rondon.: FB3-1/112-2018E-PDF

"We present the daily time series of the outstanding amounts of all Government of Canada marketable debt securities from July 2001 to June 2017. The data set is accompanied by a matching data set describing the most relevant events for each bond on each day: auction, repurchase, benchmark status and maturity. This previously unavailable data set is designed with academic researchers and market participants in mind and could be regularly updated in the future. We discuss the construction of the data set and potential uses for empirical asset pricing and related studies"--Abstract, p. ii.

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Publication information
Department/Agency Bank of Canada.
Title The Government of Canada debt securities data set / Jeffrey Gao, Francisco Rivadeneyra and Gabriel Rodriguez Rondon.
Series title Technical report = Rapport technique, 1919-689X ; no. 112
Publication type Series - View Master Record
Language [English]
Format Electronic
Electronic document
Note(s) "February 2018."
Includes bibliographical references (p. 10-11).
Includes abstract in French.
Publishing information [Ottawa] : Bank of Canada, 2018.
Author / Contributor Gao, Jeffrey.
Rivadeneyra, Francisco.
Rodriguez Rondon, Gabriel.
Description ii, 14 p.
Catalogue number
  • FB3-1/112-2018E-PDF
Subject terms Bonds
Stock markets
Statistical analysis
Econometrics
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