Jabir Sandhu - Latest - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T13:55:48+00:00Do hedge funds support liquidity in the Government of Canada bond market?
https://www.bankofcanada.ca/2023/08/staff-analytical-note-2023-11/
While Government of Canada bond transactions of hedge funds are typically in the opposite direction to those of other market participants, during the peak period of market turmoil in March 2020, hedge funds sold these bonds, just as other market participants did. This shows that hedge funds can at times contribute to one-sided markets and amplify declines in market liquidity.2023-08-01T11:00:33+00:00enDo hedge funds support liquidity in the Government of Canada bond market?2023-08-01Borrowing Costs for Government of Canada Treasury Bills
https://www.bankofcanada.ca/2019/10/staff-analytical-note-2019-28/
The cost of borrowing Government of Canada treasury bills (t-bills) in the repurchase (repo) market is mainly explained by the relationship between the parties involved. Some pairs of parties conduct most of their repos for t-bills rather than bonds, and at relatively high borrowing costs. We speculate that these pairs have formed a mutually beneficial service relationship in which one party consistently receives t-bills, while the other receives cash at a relatively cheap rate.2019-10-07T13:42:14+00:00enBorrowing Costs for Government of Canada Treasury Bills2019-10-07Using 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 Market2019-08-09Relative Value of Government of Canada Bonds
https://www.bankofcanada.ca/2019/08/staff-analytical-note-2019-23/
Government of Canada bonds in circulation that promise very similar payoffs can have different prices. We study the reason for these differences. Bonds that trade more often and earn high rental income in the repurchase agreement (repo) market tend to have higher prices. Bonds with longer tenors and times to maturity tend to have lower prices. This contrast between cheap and expensive bonds is important because trading volume and rental income can change rapidly, unlike tenor and time to maturity, which are stable.2019-08-02T06:00:27+00:00enRelative Value of Government of Canada Bonds2019-08-02The Impact of Surprising Monetary Policy Announcements on Exchange Rate Volatility
https://www.bankofcanada.ca/2018/12/staff-analytical-note-2018-39/
We identify a few Bank of Canada press releases that had the largest immediate impact on the exchange rate market. We find that volatility increases after these releases, but the effect is short-lived and mostly dissipates after the first hour, on average. Beyond the first hour, the size of the effect is similar to what we observe for other economic releases, such as those for inflation or economic growth data.2018-12-05T12:15:36+00:00enThe Impact of Surprising Monetary Policy Announcements on Exchange Rate Volatility2018-12-05Do Liquidity Proxies Measure Liquidity in Canadian Bond Markets?
https://www.bankofcanada.ca/2017/12/staff-analytical-note-2017-23/
This analytical note evaluates the reliability of proxies for measuring liquidity in Canadian bond markets. We find that price-impact and bid-ask proxies paint a similar picture of evolving liquidity conditions to that obtained from richer measures of liquidity for benchmark Government of Canada bonds.2017-12-08T10:52:32+00:00enDo Liquidity Proxies Measure Liquidity in Canadian Bond Markets?2017-12-08