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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Department/Agency | Bank of Canada. |
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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 |
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Subject terms | Bonds Stock markets Statistical analysis Econometrics |