Jeffrey Gao

Senior Analyst

Jeffrey Gao is a Senior Analyst in the Funds Management and Banking Department at the Bank of Canada.

Contact

Jeffrey Gao

Senior Analyst
Funds Management and Banking

Bank of Canada
234 Wellington Street
Ottawa, ON, K1A 0G9

Latest

The Impact of Government Debt Supply on Bond Market Liquidity: An Empirical Analysis of the Canadian Market

Staff Working Paper 2018-35 Jeffrey Gao, Jianjian Jin, Jacob Thompson
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.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Asset Pricing, Debt Management, Financial markets JEL Code(s): D, D5, D53, G, G1, G12, G18, G2, G3, G32

The Government of Canada Debt Securities Data Set

We present the daily time series of the outstanding amounts of all Government of Canada marketable debt securities from July 2001 to June 2017.

Do Liquidity Proxies Measure Liquidity in Canadian Bond Markets?

Staff Analytical Note 2017-23 Jean-Sébastien Fontaine, Jeffrey Gao, Jabir Sandhu, Kobe Wu
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.
Content Type(s): Staff Research, Staff Analytical Notes Topic(s): Debt Management, Financial markets JEL Code(s): G, G1, G12, G14, G2, G23, G3, G32

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Other

Open source projects

  • Canadian Debt Strategy Model code on GitHub

Education

M.A., Duke University (2014)
B.Math, University of Waterloo (2012)

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