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Bank of Canada RSS Feedsen2024-03-29T06:14:37+00:00The Impact of Government Debt Supply on Bond Market Liquidity: An Empirical Analysis of the Canadian Market
https://www.bankofcanada.ca/2018/07/staff-working-paper-2018-35/
This paper finds that Government of Canada benchmark bonds tend to be more illiquid over the subsequent month when there is a large increase in government debt supply. The result is both statistically and economically significant, stronger for the long-term than the short-term sector, and is robust when other macro factors are controlled for.2018-07-24T16:16:15+00:00enThe Impact of Government Debt Supply on Bond Market Liquidity: An Empirical Analysis of the Canadian Market2018-07-24Asset pricingDebt managementFinancial marketsStaff Working Paper 2018-35https://www.bankofcanada.ca/wp-content/uploads/2018/07/swp2018-35.pdfThe Impact of Government Debt Supply on Bond Market Liquidity: An Empirical Analysis of the Canadian MarketJeffrey GaoJianjian JinJacob ThompsonJuly 2018DD5D53GG1G12G18G2G3G32