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The Government of Canada Debt Securities Data Set

Jeffrey Gao, Francisco Rivadeneyra and Gabriel Rondon

Technical Reports from Bank of Canada

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.

Keywords: Debt Management; Econometric and statistical methods; Financial markets (search for similar items in EconPapers)
JEL-codes: C80 G10 H63 (search for similar items in EconPapers)
Pages: 17 pages
Date: 2018
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