What drives provincial-Canada yield spreads?

Laurence Booth, George Georgopoulos and Walid Hejazi

Canadian Journal of Economics, 2007, vol. 40, issue 3, 1008-1032

Abstract: Although recent research has led to a deeper understanding of the factors determining yields on long-term Canada bonds, there has been little corresponding work on provincial bonds. By using a carefully constructed new data set, we establish two important results. First, provincial fiscal positions (debt and deficits) are an important factor in determining yield spreads between provincial and Canada bonds. Second, we show that provincial bonds are a substitute for corporate debt, in that during recessionary `flights to quality' their yields react like those on corporate bonds.

JEL-codes: E43 E44 (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (28)

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