G14 - Information and Market Efficiency; Event Studies - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T05:37:51+00:00The BoC-BoE Sovereign Default Database: What’s New in 2019?
https://www.bankofcanada.ca/2019/09/staff-working-paper-2019-39/
Until recently, few efforts have been made to systematically measure and aggregate the nominal value of the different types of sovereign government debt in default. To help fill this gap, the Bank of Canada (BoC) developed a comprehensive database of sovereign defaults that is posted on its website and updated in partnership with the Bank of England (BoE).2019-09-26T19:22:08+00:00enThe BoC-BoE Sovereign Default Database: What’s New in 2019?2019-09-26Debt managementDevelopment economicsFinancial stabilityInternational financial marketsStaff Working Paper 2019-39https://www.bankofcanada.ca/wp-content/uploads/2019/09/swp2019-39.pdfThe BoC-BoE Sovereign Default Database: What’s New in 2019?David BeersPatrisha de Leon-ManlagnitSeptember 2019FF3F34GG1G10G14G15Using Exchange-Traded Funds to Measure Liquidity in the Canadian Corporate Bond Market
https://www.bankofcanada.ca/2019/08/staff-analytical-note-2019-25/
We introduce a new proxy for measuring corporate bond liquidity, using the price of exchange-traded funds (ETFs) that hold corporate bonds. It measures the average liquidity across 900 corporate bonds every day, many more than other proxies used in previous Bank of Canada analysis. The new proxy nonetheless paints a very similar picture of liquidity conditions and confirms the previous findings: the liquidity of bonds has generally improved since 2010.2019-08-09T13:38:12+00:00enUsing Exchange-Traded Funds to Measure Liquidity in the Canadian Corporate Bond Market2019-08-09Bond Funds and Fixed-Income Market Liquidity: A Stress-Testing Approach
https://www.bankofcanada.ca/2019/04/technical-report-115/
This report provides a detailed technical description of a stress test model for investment funds called Ceto.2019-04-11T16:25:19+00:00enBond Funds and Fixed-Income Market Liquidity: A Stress-Testing Approach2019-04-11Economic modelsFinancial institutionsFinancial marketsFinancial stabilityTechnical Report 115https://www.bankofcanada.ca/wp-content/uploads/2019/04/tr115.pdfBond Funds and Fixed-Income Market Liquidity: A Stress-Testing ApproachRohan AroraGuillaume Bédard-PagéGuillaume Ouellet LeblancRyan ShotlanderApril 2019GG1G12G14G2G20G23