Kobe Wu

Author

Staff research

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 JEL Code(s): G, G1, G12, G14, G2, G23, G3, G32 Research Theme(s): Financial markets and funds management, Funds management, Market functioning

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