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.
Permanent link to this Catalogue record:
publications.gc.ca/pub?id=9.851426&sl=0
| Department/Agency |
|
|---|---|
| Title | The Government of Canada debt securities data set / Jeffrey Gao, Francisco Rivadeneyra and Gabriel Rodriguez Rondon. |
| Series title |
|
| Publication type | Monograph - View Master Record |
| Language | [English] |
| Format | Digital text |
| Electronic document | |
| Note(s) |
|
| Publishing information |
|
| Author / Contributor |
|
| Description | ii, 14 p. |
| Catalogue number |
|
| Subject terms |
Request alternate formats
To request an alternate format of a publication, complete the Government of Canada Publications email form. Use the form’s “question or comment” field to specify the requested publication.Page details
- Date modified: