Rohan Arora

Economist

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

Contact

Economist
Financial Markets
Market Risks and Vulnerabilities

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

Latest

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
How do Canadian corporate bond mutual funds meet investor redemptions? We revisit this question using decision tree and random forest algorithms. We uncover new patterns in the decisions made by fund managers: the interaction between a larger, market-wide term spread and relatively less-liquid holdings increases the probability that a fund manager will sell less-liquid assets (corporate bonds) to meet redemptions. The evidence also shows that machine learning algorithms can extract new knowledge that is not apparent using a classical linear modelling approach.
Content Type(s): Staff Research, Staff Analytical Notes Topic(s): Financial markets, Financial stability JEL Code(s): G, G1, G2, G20, G23

Redemption Runs in Canadian Corporate Bond Funds?

Staff Analytical Note 2018-21 Rohan Arora
Mutual funds employ a host of tools to manage redemption run risk. However, our results suggest that Canadian corporate bond funds may be vulnerable to redemption runs, especially when they are less liquid and when market volatility is high.

How do Canadian Corporate Bond Mutual Funds Meet Investor Redemptions?

Staff Analytical Note 2018-14 Guillaume Ouellet Leblanc, Rohan Arora
When investors redeem their fund shares for cash, fixed-income fund managers can choose whether to draw on their liquid holdings or sell bonds in the secondary market. We analyze the liquidity-management decisions of Canadian corporate bond mutual funds, focusing on the strategies they use to meet investor 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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