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Bank of Canada RSS Feedsen2024-03-29T10:59:32+00:00The impact of the Bank of Canada’s Government Bond Purchase Program
https://www.bankofcanada.ca/2021/10/staff-analytical-note-2021-23/
We assess the response of Government of Canada bond yields to the Bank of Canada’s initial announcement of the Government Bond Purchase Program (GBPP) as well as to the Bank’s later GBPP purchase operations.2021-10-15T10:00:10+00:00enThe impact of the Bank of Canada’s Government Bond Purchase Program2021-10-15Announcing the Bankers’ Acceptance Purchase Facility: a COVID‑19 event study
https://www.bankofcanada.ca/2020/10/staff-analytical-note-2020-23/
The Bank of Canada launched the Bankers’ Acceptance Purchase Facility (BAPF) to ensure that the bankers’ acceptance (BA) market could continue to function well during the financial crisis induced by the COVID‑19 pandemic. We review the impact that the announcement of this facility had on BA yields in the secondary market. We find that BA yield spreads declined by 15 basis points on the day of the announcement and by up to 70 basis points over a longer period. Using an econometric framework, we quantify the effect of the announcement and confirm early assertions presented in the Bank’s 2020 Financial System Review.2020-10-19T16:00:23+00:00enAnnouncing the Bankers’ Acceptance Purchase Facility: a COVID‑19 event study2020-10-19Have Liquidity and Trading Activity in the Canadian Corporate Bond Market Deteriorated?
https://www.bankofcanada.ca/2018/09/staff-analytical-note-2018-31/
Since 2010, the liquidity of corporate bonds has improved on average, while their trading activity has remained stable. We find that the liquidity and trading activity of riskier bonds or bonds issued by firms in different sectors have been stable. However, the liquidity and trading activity of bonds issued by banks have improved. We observe short-lived episodes of deterioration in liquidity and trading activity.2018-09-21T12:00:07+00:00enHave Liquidity and Trading Activity in the Canadian Corporate Bond Market Deteriorated?2018-09-21Have Liquidity and Trading Activity in the Canadian Provincial Bond Market Deteriorated?
https://www.bankofcanada.ca/2018/09/staff-analytical-note-2018-30/
In recent years, the liquidity in the secondary market for Canadian provincial bonds was a concern for many market participants. We find that a proxy for the bid-ask spread has deteriorated modestly since 2010. However, a proxy for price impact as well as measures of trade size, the number of trades and turnover have been stable or improved since 2010. This holds for bonds issued by different provinces and for bonds of different ages and sizes. Alberta bonds provide an interesting case study: After the fall in oil prices in 2014–15, the province increased its borrowing in the bond market and its credit rating was downgraded. Yet trading activity for Alberta bonds increased significantly. Overall, we interpret the evidence as a sign of resilience in the provincial bond market.2018-09-18T11:40:35+00:00enHave Liquidity and Trading Activity in the Canadian Provincial Bond Market Deteriorated?2018-09-18Has 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?2017-08-08