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Bank of Canada RSS Feedsen2024-03-29T12:14:41+00:00Has Liquidity in Canadian Government Bond Markets Deteriorated?
https://www.bankofcanada.ca/2017/08/staff-analytical-note-2017-10/
This note presents measures of liquidity used by the Bank of Canada to monitor market conditions and discusses recent trends in Government of Canada (GoC) fixed-income market liquidity. Our results indicate that the Bank’s measures have improved since the financial crisis. Furthermore, GoC market liquidity deteriorated following several stressful events: the euro crisis in 2011, the taper tantrum in 2013 and the oil price shock in 2015. In all three cases, the deterioration remained within historical norms and liquidity returned to normal levels afterwards.2017-08-08T07:52:01+00:00enHas Liquidity in Canadian Government Bond Markets Deteriorated?2017-08-08The Life Cycle of Government of Canada Bonds in Core Funding Markets
https://www.bankofcanada.ca/wp-content/uploads/2017/05/boc-review-spring17-bulusu.pdf
Data on the use of government securities in the repo, securities lending and cash markets suggest there are bond market clienteles in Canada. Shorter-term bonds are more prevalent in the repo market, while longer-maturity securities are more active in the securities lending market—consistent with the preferred habitat hypothesis. These results could help design better debt-management strategies and more-effective policies to maintain well-functioning financial markets.2017-05-11T10:28:08+00:00enThe Life Cycle of Government of Canada Bonds in Core Funding Markets2017-05-11Small‐Sample Tests for Stock Return Predictability with Possibly Non‐Stationary Regressors and GARCH‐Type Effects
https://www.bankofcanada.ca/2017/03/staff-working-paper-2017-10/
We develop a simulation-based procedure to test for stock return predictability with multiple regressors. The process governing the regressors is left completely free and the test procedure remains valid in small samples even in the presence of non-normalities and GARCH-type effects in the stock returns.2017-03-10T08:29:32+00:00enSmall‐Sample Tests for Stock Return Predictability with Possibly Non‐Stationary Regressors and GARCH‐Type Effects2017-03-10Asset pricingEconometric and statistical methodsFinancial marketsStaff Working Paper 2017-10https://www.bankofcanada.ca/wp-content/uploads/2017/03/swp2017-10.pdfSmall‐Sample Tests for Stock Return Predictability with Possibly Non‐Stationary Regressors and GARCH‐Type EffectsSermin GungorRichard LugerMarch 2017CC1C12C3C32GG1G14