Jun Yang

Senior Economist

Jun Yang is a Senior Economist in the Financial Market Department at the Bank of Canada. His primary research interests center on the link between non-financial firms’ capital structure decisions and asset prices. Specific topic include credit risk and debt maturity choice. Jun Yang receive his PhD in economics from University of Toronto.


Jun Yang

Senior Economist
Financial Markets
Market Risks and Vulnerabilities

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


Has Liquidity in Canadian Government Bond Markets Deteriorated?

Staff Analytical Note 2017-10 Sermin Gungor, Jun Yang

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.

Content Type(s): Staff Research, Staff Analytical Notes Topic(s): Financial markets JEL Code(s): G, G1, G12, G14

Corporate Governance, Product Market Competition and Debt Financing

Staff Working Paper 2014-5 Teodora Paligorova, Jun Yang
This paper examines the impact of product market competition and corporate governance on the cost of debt financing and the use of bond covenants. We find that more anti-takeover provisions are associated with a lower cost of debt only in competitive industries.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Financial markets JEL Code(s): G, G1, G12, G3, G34

Systematic Risk, Debt Maturity and the Term Structure of Credit Spreads

Staff Working Paper 2012-27 Hui Chen, Yu Xu, Jun Yang
We build a dynamic capital structure model to study the link between systematic risk exposure and debt maturity, as well as their joint impact on the term structure of credit spreads. Our model allows for time variation and lumpiness in the maturity structure. Relative to short-term debt, long-term debt is less prone to rollover risks, but its illiquidity raises the costs of financing.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Asset Pricing, Debt Management JEL Code(s): G, G3, G32, G33

Idiosyncratic Coskewness and Equity Return Anomalies

Staff Working Paper 2010-11 Fousseni Chabi-Yo, Jun Yang
In this paper, we show that in a model where investors have heterogeneous preferences, the expected return of risky assets depends on the idiosyncratic coskewness beta, which measures the co-movement of the individual stock variance and the market return.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Economic models, Financial markets JEL Code(s): G, G1, G11, G12, G14, G3, G33

September 11, 2009 Understanding Corporate Bond Spreads Using Credit Default Swaps

Corporate bond spreads worldwide have widened markedly since the beginning of the credit crisis in 2007. This article examines default and liquidity risk–the main components of the corporate bond spread–for Canadian firms that issue bonds in the U.S. market, focusing in particular on their evolution during the credit crisis. They find that, during this period, the liquidity component increased more for speculative-grade bonds than it did for investment-grade bonds, consistent with a "flight-to-quality" phenomenon. An important implication of their results for policy-makers seeking to address problems in credit markets is that the liquidity risk in corporate spreads for investment and speculative bonds behaves differently than the default risk, especially during crisis episodes.

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  • Ph.D., University of Toronto (2003)
  • M.A., Beijing University (1994)
  • B.A., Beijing University (1991)

Research Interests

  • Credit risk
  • Corporate finance


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