The Dynamic Canadian Debt Strategy Model

Nicolas Audet, Joe Ning, Adam Epp and Jeffrey Gao

No 127, Technical Reports from Bank of Canada

Abstract: We present a dynamic debt strategy model framework designed to assist sovereign debt portfolio managers in choosing an optimal debt issuance strategy. The model consists of two parts: a simulation engine and a debt issuance optimization engine. The main innovation of this framework is the introduction of dynamic issuance strategies, which allow issuance decisions to vary over time based on the model’s simulated state variables. We apply this framework to Canada’s specific debt management setting and show that these dynamic strategies, when compared with the deterministic issuance strategies of the original Canadian debt strategy model, bring considerable improvements to the costs and risks of available debt portfolios.

Keywords: Debt management; Econometric and statistical methods; Financial markets; Fiscal policy (search for similar items in EconPapers)
JEL-codes: C61 G11 G17 H63 H68 (search for similar items in EconPapers)
Pages: 33 pages
Date: 2025
New Economics Papers: this item is included in nep-pbe
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Persistent link: https://EconPapers.repec.org/RePEc:bca:bocatr:127

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