Rohan Arora

Senior Economist

Rohan Arora is an Senior Economist in the Financial Markets Department at the Bank of Canada. Rohan holds a M.A. in Economics from the University of Toronto.

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Senior Economist
Financial Markets
Market Risks and Vulnerabilities

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

Latest

Creations and Redemptions in Fixed-Income Exchange-Traded Funds: A Shift from Bonds to Cash

The creation and redemption activity of fixed-income exchange-traded funds listed in the United States has shifted. Funds of established issuers have traditionally exchanged their shares for baskets of bonds. In contrast, young funds managed by new issuers tend to create and redeem their shares almost exclusively in cash. Cash transactions imply that new funds are taking on exposure to liquidity risk. This has implications for financial stability.
Content Type(s): Staff Research, Staff Analytical Notes Topic(s): Financial markets, Financial stability JEL Code(s): G, G1, G2, G20, G23

Using Exchange-Traded Funds to Measure Liquidity in the Canadian Corporate Bond Market

Staff Analytical Note 2019-25 Rohan Arora, Guillaume Ouellet Leblanc, Jabir Sandhu, Jun Yang
We introduce a new proxy for measuring corporate bond liquidity, using the price of exchange-traded funds (ETFs) that hold corporate bonds. It measures the average liquidity across 900 corporate bonds every day, many more than other proxies used in previous Bank of Canada analysis. The new proxy nonetheless paints a very similar picture of liquidity conditions and confirms the previous findings: the liquidity of bonds has generally improved since 2010.
Content Type(s): Staff Research, Staff Analytical Notes Topic(s): Financial markets JEL Code(s): G, G1, G12, G14

Could Canadian Bond Funds Add Stress to the Financial System?

We create a hypothetical scenario to study the role bond funds play in intensifying shocks to the financial system. Using data from 2018 and 2007, we find that bond funds play a larger role now than they did in the past.
Content Type(s): Staff Research, Staff Analytical Notes Topic(s): Financial markets, Financial stability JEL Code(s): G, G1, G2, G20, G23

Bond Funds and Fixed-Income Market Liquidity: A Stress-Testing Approach

This report provides a detailed technical description of a stress test model for investment funds called Ceto.

Liquidity Management of Canadian Corporate Bond Mutual Funds: A Machine Learning Approach

Staff Analytical Note 2019-7 Rohan Arora, Chen Fan, Guillaume Ouellet Leblanc
When redeeming shares for investors, bond fund managers must choose a mix of cash and bond sales to honour their commitments. This note uses machine learning algorithms to uncover new patterns in decisions fund managers make to meet redemptions.
Content Type(s): Staff Research, Staff Analytical Notes Topic(s): Financial markets, Financial stability JEL Code(s): G, G1, G2, G20, G23

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Education

  • M.A. Economics, University of Toronto (2016)
  • iBBA, Schulich School of Business, York University (2015)

Research Interests

  • Financial Econometrics
  • Macroeconomics

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