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The Government of Canada Debt Securities Data Set

Author

Listed:
  • Jeffrey Gao
  • Francisco Rivadeneyra
  • Gabriel Rodriguez Rondon

Abstract

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.

Suggested Citation

  • Jeffrey Gao & Francisco Rivadeneyra & Gabriel Rodriguez Rondon, 2018. "The Government of Canada Debt Securities Data Set," Technical Reports 112, Bank of Canada.
    • Handle: RePEc:bca:bocatr:112
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    File URL: https://www.bankofcanada.ca/wp-content/uploads/2018/02/tr112.pdf
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    References listed on IDEAS

    as
    1. Arvind Krishnamurthy & Annette Vissing-Jorgensen, 2012. "The Aggregate Demand for Treasury Debt," Journal of Political Economy, University of Chicago Press, vol. 120(2), pages 233-267.
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    4. Lou, Dong & Yan, Hongjun & Zhang, Jinfan, 2011. "Anticipated and repeated shocks in liquid markets," LSE Research Online Documents on Economics 43120, London School of Economics and Political Science, LSE Library.
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    6. Toni Gravelle, 1999. "Liquidity of the Government of Canada Securities Market: Stylised Facts and Some Market Microstructure Comparisons to the United States Treasury Market," CGFS Papers chapters, in: Bank for International Settlements (ed.), Market Liquidity: Research Findings and Selected Policy Implications, volume 11, pages 1-37, Bank for International Settlements.
    7. Dong Lou & Hongjun Yan & Jinfan Zhang, 2013. "Anticipated and Repeated Shocks in Liquid Markets," Review of Financial Studies, Society for Financial Studies, vol. 26(8), pages 1891-1912.
    8. Pasquariello, Paolo & Vega, Clara, 2009. "The on-the-run liquidity phenomenon," Journal of Financial Economics, Elsevier, vol. 92(1), pages 1-24, April.
    9. Narayan Bulusu & Sermin Gungor, 2017. "The Life Cycle of Government of Canada Bonds in Core Funding Markets," Bank of Canada Review, Bank of Canada, vol. 2017(Spring), pages 31-41.
    10. James D. Hamilton & Jing Cynthia Wu, 2012. "The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(s1), pages 3-46, February.
    11. Arvind Krishnamurthy & Annette Vissing-Jorgensen, 2011. "The Effects of Quantitative Easing on Interest Rates: Channels and Implications for Policy," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 43(2 (Fall)), pages 215-287.
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    Cited by:

    1. Narayan Bulusu, 2020. "Why Do Central Banks Make Public Announcements of Open Market Operations?," Staff Working Papers 20-35, Bank of Canada.

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    More about this item

    Keywords

    Debt Management; Econometric and statistical methods; Financial markets;
    All these keywords.

    JEL classification:

    • C80 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • H63 - Public Economics - - National Budget, Deficit, and Debt - - - Debt; Debt Management; Sovereign Debt

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