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.
Lien permanent pour cette publication :
publications.gc.ca/pub?id=9.851426&sl=1
| Ministère/Organisme | Bank of Canada. |
|---|---|
| Titre | The Government of Canada debt securities data set / Jeffrey Gao, Francisco Rivadeneyra and Gabriel Rodriguez Rondon. |
| Titre de la série | Technical report = Rapport technique, 1919-689X ; no. 112 |
| Type de publication | Série - Voir l'enregistrement principal |
| Langue | [Anglais] |
| Format | Électronique |
| Document électronique | |
| Note(s) | "February 2018." Includes bibliographical references (p. 10-11). Includes abstract in French. |
| Information sur la publication | [Ottawa] : Bank of Canada, 2018. |
| Auteur / Contributeur | Gao, Jeffrey. Rivadeneyra, Francisco. Rodriguez Rondon, Gabriel. |
| Description | ii, 14 p. |
| Numéro de catalogue |
|
| Descripteurs | Bonds Stock markets Statistical analysis Econometrics |