Rohan Arora - Latest - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T12:42:15+00:00The impact of the Bank of Canada’s Government Bond Purchase Program
https://www.bankofcanada.ca/2021/10/staff-analytical-note-2021-23/
We assess the response of Government of Canada bond yields to the Bank of Canada’s initial announcement of the Government Bond Purchase Program (GBPP) as well as to the Bank’s later GBPP purchase operations.2021-10-15T10:00:10+00:00enThe impact of the Bank of Canada’s Government Bond Purchase Program2021-10-15Non-bank financial intermediation in Canada: a pulse check
https://www.bankofcanada.ca/2021/03/staff-analytical-note-2021-2/
The Canadian non-bank financial intermediation (NBFI) sector saw strong growth in 2018 and 2019. In 2020, COVID‑19 caused a financial shock. We provide a preliminary analysis on the impact of COVID‑19 on the sector as well as an update on its growth.2021-03-23T10:00:41+00:00enNon-bank financial intermediation in Canada: a pulse check2021-03-23Concentration in the market of authorized participants of US fixed-income exchange-traded funds
https://www.bankofcanada.ca/2020/11/staff-analytical-note-2020-27/
We show that a small number of authorized participants (APs) actively create and redeem shares of US-listed fixed-income exchange-traded funds (FI-ETFs). In 2019, three APs performed 82 percent of gross creations and redemptions of FI-ETF shares. In contrast, the group of active APs for equity ETFs was much more diverse.2020-11-19T14:00:17+00:00enConcentration in the market of authorized participants of US fixed-income exchange-traded funds2020-11-19Announcing the Bankers’ Acceptance Purchase Facility: a COVID‑19 event study
https://www.bankofcanada.ca/2020/10/staff-analytical-note-2020-23/
The Bank of Canada launched the Bankers’ Acceptance Purchase Facility (BAPF) to ensure that the bankers’ acceptance (BA) market could continue to function well during the financial crisis induced by the COVID‑19 pandemic. We review the impact that the announcement of this facility had on BA yields in the secondary market. We find that BA yield spreads declined by 15 basis points on the day of the announcement and by up to 70 basis points over a longer period. Using an econometric framework, we quantify the effect of the announcement and confirm early assertions presented in the Bank’s 2020 Financial System Review.2020-10-19T16:00:23+00:00enAnnouncing the Bankers’ Acceptance Purchase Facility: a COVID‑19 event study2020-10-19Will exchange-traded funds shape the future of bond dealing?
https://www.bankofcanada.ca/2020/07/staff-analytical-note-2020-16/
Bond dealers have traditionally kept bonds in an inventory until clients buy them. But now, dealers have another way to access bonds for their clients: the exchange-traded fund. We discuss this new way to manage bond dealing and what it might mean for bond markets.2020-07-28T14:00:50+00:00enWill exchange-traded funds shape the future of bond dealing?2020-07-28Creations and Redemptions in Fixed-Income Exchange-Traded Funds: A Shift from Bonds to Cash
https://www.bankofcanada.ca/2019/12/staff-analytical-note-2019-34/
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.2019-12-20T11:08:56+00:00enCreations and Redemptions in Fixed-Income Exchange-Traded Funds: A Shift from Bonds to Cash2019-12-20Using Exchange-Traded Funds to Measure Liquidity in the Canadian Corporate Bond Market
https://www.bankofcanada.ca/2019/08/staff-analytical-note-2019-25/
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 2010.2019-08-09T13:38:12+00:00enUsing Exchange-Traded Funds to Measure Liquidity in the Canadian Corporate Bond Market2019-08-09Could Canadian Bond Funds Add Stress to the Financial System?
https://www.bankofcanada.ca/2019/04/staff-analytical-note-2019-9/
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.2019-04-15T07:21:11+00:00enCould Canadian Bond Funds Add Stress to the Financial System?2019-04-15Bond Funds and Fixed-Income Market Liquidity: A Stress-Testing Approach
https://www.bankofcanada.ca/2019/04/technical-report-115/
This report provides a detailed technical description of a stress test model for investment funds called Ceto.2019-04-11T16:25:19+00:00enBond Funds and Fixed-Income Market Liquidity: A Stress-Testing Approach2019-04-11Economic modelsFinancial institutionsFinancial marketsFinancial stabilityTechnical Report 115https://www.bankofcanada.ca/wp-content/uploads/2019/04/tr115.pdfBond Funds and Fixed-Income Market Liquidity: A Stress-Testing ApproachRohan AroraGuillaume Bédard-PagéGuillaume Ouellet LeblancRyan ShotlanderApril 2019GG1G12G14G2G20G23Liquidity Management of Canadian Corporate Bond Mutual Funds: A Machine Learning Approach
https://www.bankofcanada.ca/2019/02/staff-analytical-note-2019-7/
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.2019-02-22T06:00:39+00:00enLiquidity Management of Canadian Corporate Bond Mutual Funds: A Machine Learning Approach2019-02-22