Andreas Uthemann is a Principal Researcher in the Financial Markets Department of the Bank of Canada. His main research interests are in financial economics with a particular focus on market structure and design. Before joining the Bank of Canada, Andreas was a postdoctoral researcher at the London School of Economics. He received his PhD in Economics from University College London.
Trading flows affect Government of Canada bond prices. Our estimates suggest a sale of 1% of the available supply of bonds typically lowers bond prices by 0.2%. From 2000 to 2025, demand from institutional investors, such as Canadian pension funds and foreign investors, explains 69% of quarterly price variation, with the remainder explained by changes in the supply of bonds.
Cash-futures basis trading has grown alongside the Government of Canada bond futures market. We examine this growth over time in relation to Government of Canada bond and repurchase agreement markets and provide details on the type of market participants that engage in this type of trading activity.
One year later, we review the events that took place in Canadian fixed-income markets at the beginning of the COVID-19 crisis and propose potential policy research questions for future work.
We look at the informational content of consensus pricing in opaque over-the-counter markets. We show that the availability of price data informs participants mainly about other participants’ valuations, rather than about the value of a financial security.
