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.

Contact

Senior Economist
Financial Markets
Market Risks and Vulnerabilities

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

Latest

The Cost of the Government Bond Buyback and Switch Programs in Canada

Staff Analytical Note 2018-41 Bo Young Chang, Jun Yang, Parker Liu
This note examines the costs of the Government of Canada bond buyback and switch programs between 1998 and 2016. Our analysis indicates that the auction design of the buyback program was effective in retiring government debt with minimal costs resulting from bid shading in auctions and price impact.
Content Type(s): Staff Research, Staff Analytical Notes Topic(s): Debt Management JEL Code(s): D, D4, D44

Have Liquidity and Trading Activity in the Canadian Corporate Bond Market Deteriorated?

Staff Analytical Note 2018-31 Chen Fan, Sermin Gungor, Guillaume Nolin, Jun Yang
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.
Content Type(s): Staff Research, Staff Analytical Notes Topic(s): Financial markets JEL Code(s): G, G1, G12, G14

Have Liquidity and Trading Activity in the Canadian Provincial Bond Market Deteriorated?

Staff Analytical Note 2018-30 Chen Fan, Sermin Gungor, Guillaume Nolin, Jun Yang
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.
Content Type(s): Staff Research, Staff Analytical Notes Topic(s): Financial markets JEL Code(s): G, G1, G12, G14

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

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Education

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

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