Abstract
This paper examines the time series behaviour of the term structure of interest rates in the Government of Canada bond market to determine whether changes in the maturity composition of Canada debt have had a significant effect on bond yields. Methodologically, a reduced form model is estimated which incorporates exogenous information about both the level of domestic interest rates and the shape of the US term structure. The empirical results indicate that the null hypothesis of no debt management effects in the Government of Canada bond market is rejected for monthly data.
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