Measures of market liquidity https://www.bankofcanada.ca/?p=229200 Bid-ask spread proxy (Roll, left scale) Government of Canada bond market—Bid-ask spread proxy (Roll), weekly median Price impact proxy (Amihud, right scale) Government of Canada bond market—Price impact proxy (Amihud), weekly median Bid-ask spread proxy (Roll, left scale) Provincial bond market—Bid-ask spread proxy (Roll), weekly median Price impact proxy (Amihud, right scale) Provincial bond market—Price impact proxy (Amihud), weekly median ECML Canadian corporate bond market—Sum of ECML 4.440.825.025.20 1.950.725.523.15 2.060.593.362.73 2.420.694.743.17 2.540.743.732.84 2.060.615.373.45 2.060.483.491.98 1.820.525.704.69 2.510.744.574.42 6.111.5713.728.25 8.012.5617.5712.04 9.451.9918.969.56 6.162.6517.6714.33 3.411.019.335.05 2.750.8011.324.74 2.070.7710.675.11 2.090.586.064.14 2.230.556.234.97 1.930.586.832.93 2.320.585.924.21 2.210.512.774.37 2.340.676.155.27 3.110.727.764.5317.36 17.52 17.43 16.92 15.35 2.290.497.423.2512.42 11.99 12.19 12.17 12.57 1.920.694.994.0812.95 12.71 13.03 13.18 13.32 1.970.556.763.6313.35 13.17 13.01 12.83 12.92 2.080.735.707.3212.95 13.71 13.71 14.00 1.320.455.103.8014.00 13.75 13.94 14.02 14.42 1.710.553.194.3313.76 13.85 13.45 13.33 13.76 1.500.434.362.2814.18 14.71 14.59 14.73 14.38 1.810.513.314.1115.06 15.17 15.48 15.49 15.96 2.130.635.283.95 16.88 17.67 18.63 19.91 1.550.405.903.4620.37 21.58 21.67 22.54 23.45 1.860.473.561.9623.49 22.69 23.01 22.35 22.38 1.970.684.223.1721.88 21.50 20.91 20.59 19.90 2.100.564.824.5419.03 17.60 17.16 15.64 15.22 1.530.425.092.42 15.25 15.40 14.90 15.10 1.730.446.422.7614.77 14.57 14.67 14.38 14.04 1.760.454.754.4013.70 13.37 13.23 13.20 13.01 1.550.424.312.9011.99 11.46 10.82 10.47 9.93 1.650.352.913.079.52 8.85 8.49 8.19 8.45 1.080.283.053.26 8.20 8.27 8.02 7.80 1.080.303.373.337.89 8.10 8.01 7.90 8.14 1.610.335.073.868.59 8.71 8.67 8.27 8.68 1.710.433.702.078.20 8.01 7.96 8.06 8.22 2.410.644.034.118.09 8.35 8.92 9.14 9.06 1.720.576.024.409.02 9.08 9.63 10.00 9.76 1.670.353.224.039.65 9.85 9.80 9.90 9.98 1.590.634.103.3610.27 10.71 10.48 10.64 11.15 2.020.475.523.4311.05 11.06 11.19 11.03 10.82 2.180.803.434.7711.14 11.25 11.65 11.60 11.42 1.750.695.123.2411.44 10.95 11.03 11.08 1.540.423.115.62 10.51 10.41 10.79 1.480.523.711.4510.49 10.69 11.23 11.56 11.68 1.550.384.943.1911.84 12.09 12.01 12.45 12.37 1.880.484.572.9311.99 12.00 12.46 12.48 12.12 1.670.543.961.9512.01 11.74 11.22 10.76 10.25 1.230.284.373.799.87 9.71 9.84 9.15 8.78 1.810.405.693.309.15 8.65 8.22 8.24 8.89 1.690.464.253.80 9.18 9.57 9.58 9.35 3.011.1310.625.879.61 9.38 9.40 9.96 10.03 2.310.676.224.769.88 9.51 9.39 9.93 10.05 1.880.593.704.609.33 9.22 8.88 8.74 8.88 1.600.705.536.598.75 8.99 9.08 8.43 9.07 1.760.484.045.309.37 9.36 9.42 8.86 8.75 2.150.855.881.638.57 8.31 8.09 8.45 2.780.626.114.458.72 8.81 9.02 8.66 8.71 2.300.513.262.278.24 8.14 8.43 8.51 8.61 3.130.528.723.648.48 8.55 8.76 9.03 8.71 1.730.416.793.158.56 8.52 8.20 8.03 7.87 2.190.487.693.998.00 8.06 7.89 7.80 7.88 1.640.423.722.368.00 7.96 7.93 7.75 7.65 2.110.362.722.667.56 7.48 7.46 7.42 7.85 1.710.644.003.77 7.61 7.58 7.37 7.74 1.580.644.483.677.62 7.67 7.99 7.79 7.83 1.850.413.512.278.01 7.89 7.78 7.75 7.75 2.620.785.863.837.21 7.21 7.27 7.34 7.35 2.130.355.154.687.31 7.31 6.96 7.05 7.35 1.700.614.645.557.59 7.66 7.86 7.99 1.640.464.333.018.52 8.79 8.86 8.68 8.51 2.020.436.203.388.47 8.35 8.12 8.29 8.19 1.980.514.303.007.78 7.41 7.60 7.62 7.56 2.080.633.583.117.36 7.15 6.95 6.92 7.49 1.910.445.472.71 7.37 7.35 7.19 7.58 2.420.583.673.167.68 7.86 8.05 7.83 7.66 1.820.253.142.177.67 7.66 7.77 7.72 7.62 1.480.372.502.207.09 7.04 7.14 7.44 7.18 1.880.433.573.906.99 7.12 7.29 7.26 7.68 1.990.414.493.52 7.74 7.50 7.53 7.78 1.780.443.671.778.29 8.66 8.74 8.88 8.91 1.630.413.942.448.83 8.85 8.58 8.38 8.43 3.060.675.155.638.13 7.83 7.99 7.83 7.58 1.830.573.084.357.34 6.97 6.68 6.55 6.55 2.330.534.511.74 6.26 6.29 6.17 6.15 2.810.552.612.805.91 5.59 5.95 5.81 5.80 3.000.936.893.885.77 5.50 5.50 5.62 5.63 3.290.617.605.835.42 5.59 5.57 5.59 5.42 3.250.867.463.805.61 5.92 6.07 6.11 6.02 2.730.656.164.286.12 6.11 6.03 5.97 5.78 3.610.815.293.435.74 5.61 5.80 6.03 6.31 3.581.387.256.566.50 6.76 6.64 6.96 7.17 2.870.716.204.747.27 7.53 7.75 8.20 8.34 2.651.235.064.428.66 8.74 8.89 8.94 8.95 3.121.547.524.758.76 8.53 8.23 7.79 7.57 2.891.093.463.70 7.57 7.26 7.33 4.320.7814.666.95 6.94 7.02 6.72 6.77 2.640.817.044.546.60 6.41 6.25 6.45 6.33 2.210.494.312.026.58 6.42 6.60 6.91 7.43 3.490.666.446.577.71 8.17 8.12 8.36 8.63 3.220.625.433.458.87 9.36 9.36 9.57 9.84 3.530.726.434.529.62 9.99 10.05 9.68 9.73 3.231.195.822.129.79 9.76 9.73 10.20 10.77 3.150.765.033.85 11.51 11.63 12.85 12.63 4.771.118.897.0712.66 12.94 13.02 13.19 13.26 3.430.745.395.7113.70 13.77 13.66 14.25 13.70 3.651.176.084.0013.34 12.51 12.13 11.42 11.63 4.191.127.385.7111.40 11.18 10.99 10.71 10.70 3.590.789.019.3710.36 9.74 9.51 8.94 8.78 4.320.927.054.288.35 8.00 8.49 8.10 7.91 3.761.308.315.708.29 8.65 9.12 10.53 3.570.986.344.3711.10 11.39 11.49 12.21 12.19 4.121.4310.066.8313.55 15.72 16.59 16.60 16.25 4.981.3013.847.4516.73 16.65 16.80 17.54 17.34 5.031.238.206.5117.83 17.77 18.00 18.22 18.77 3.901.236.695.1417.67 15.71 15.37 14.80 15.80 4.391.0810.874.38 15.89 16.01 15.79 14.80 3.901.418.875.1913.54 12.29 11.56 11.35 10.62 4.241.2310.255.819.98 9.73 9.40 9.04 9.20 9.262.2319.8011.179.45 9.24 10.01 10.58 11.25 4.461.749.296.7011.86 11.93 12.46 13.02 12.79 5.201.4613.538.8413.32 13.82 14.46 15.60 4.811.7211.446.2715.78 14.54 14.08 12.92 12.08 4.061.2510.577.9411.05 10.49 10.43 9.83 9.32 4.581.279.615.549.57 9.33 9.22 9.08 8.13 4.541.517.125.467.82 7.61 7.41 7.23 10.90 5.272.4011.095.08 11.32 11.80 12.20 12.58 4.860.986.974.1512.62 12.69 12.94 13.20 13.60 4.321.125.796.3013.40 13.39 13.14 13.18 13.32 4.231.558.856.009.71 9.45 9.02 8.84 8.43 3.891.807.885.908.59 8.77 8.39 7.80 7.63 5.581.497.766.23 7.71 7.81 7.93 7.91 3.861.625.645.297.85 8.53 8.83 9.27 9.60 4.971.739.024.2810.09 10.30 10.70 10.97 11.58 4.431.877.116.9111.85 11.95 12.16 12.85 13.81 4.251.917.667.0414.14 13.65 13.23 12.71 13.17 5.431.9613.653.71 13.05 12.96 12.81 12.79 5.952.306.967.6812.86 12.97 13.18 13.30 13.18 5.282.618.699.4212.71 12.90 12.88 13.22 13.38 4.702.187.827.4012.59 12.67 12.22 11.87 11.59 5.241.9210.706.1111.34 11.02 10.86 11.63 12.25 4.382.066.836.2812.06 11.63 11.40 11.10 10.91 3.561.814.863.5111.09 10.76 11.08 10.78 10.88 4.972.1010.009.7511.11 10.52 10.45 9.55 8.42 4.471.928.757.678.39 8.49 8.71 8.74 9.31 8.012.1712.678.209.39 10.11 9.92 10.09 9.98 4.992.236.987.289.55 9.59 9.39 8.85 9.42 4.582.766.236.06 9.26 9.20 9.35 4.332.207.965.85 9.61 9.16 8.71 8.46 4.501.606.837.128.66 8.73 8.94 8.76 9.02 3.931.496.716.379.23 9.57 9.59 10.08 10.06 4.552.217.815.159.77 9.90 10.56 10.81 10.69 3.901.479.106.7910.64 11.00 11.49 12.16 12.67 5.141.8512.467.6213.20 13.64 13.42 12.94 13.23 4.691.617.698.5813.32 12.98 12.57 12.79 12.65 5.401.706.317.25 12.62 12.20 11.73 11.06 5.332.006.606.9510.44 10.25 9.63 9.13 9.14 6.781.636.675.728.88 8.69 8.68 8.68 8.36 7.593.1114.119.798.74 8.88 9.68 9.69 10.52 6.112.4910.746.3310.85 10.47 10.45 10.78 11.42 4.902.366.655.5611.54 11.54 11.88 12.12 12.81 5.682.6415.706.7713.03 12.92 12.04 13.20 6.372.228.875.5712.53 12.04 12.16 12.96 13.41 4.042.347.774.9413.85 13.96 14.17 13.80 13.38 5.642.389.437.6412.82 12.27 12.10 12.32 11.17 6.472.007.355.6711.19 11.23 11.26 10.56 9.89 5.091.838.026.689.10 9.09 8.94 9.19 9.48 5.581.247.124.389.22 9.27 9.48 9.75 9.75 4.641.3311.284.33 9.70 9.69 9.45 9.67 5.212.467.405.649.89 9.91 9.69 9.82 9.62 6.322.3613.846.999.85 10.36 10.26 10.48 9.95 6.362.949.587.049.66 9.60 9.71 10.02 10.26 5.962.2413.349.4610.35 10.22 10.38 10.34 10.57 5.482.239.089.3410.34 9.88 9.71 9.16 9.29 5.302.226.945.83 9.40 9.52 9.35 8.98 5.622.429.227.488.55 8.10 8.22 8.08 8.29 4.722.4010.816.668.18 8.11 8.63 8.66 8.90 6.662.4612.497.209.12 9.42 9.36 9.76 10.07 4.591.969.186.4110.36 10.75 10.71 10.78 11.19 5.132.549.445.70 11.37 11.31 10.95 11.04 5.413.078.927.0910.95 10.78 10.34 10.35 10.34 6.432.987.667.1710.14 9.70 9.49 9.40 9.30 5.202.5710.307.468.36 8.49 8.33 8.34 8.83 6.222.437.699.64 9.17 9.13 9.36 9.31 4.091.719.165.939.10 9.11 9.23 9.31 9.17 5.771.977.796.869.10 9.43 9.45 9.35 9.43 4.702.628.827.638.65 8.45 8.49 8.12 8.64 6.272.1510.278.0310.26 10.68 11.02 10.89 11.76 3.851.7110.558.65 12.06 11.64 11.46 11.85 4.892.019.906.3411.99 12.34 12.43 12.66 13.05 4.522.187.987.9412.91 11.36 11.22 10.81 11.04 4.802.068.577.2610.04 9.65 9.82 9.63 9.89 6.491.858.009.719.56 9.39 9.13 8.99 8.69 5.182.416.939.918.13 8.29 8.04 8.28 8.08 4.772.368.189.978.67 9.11 9.67 10.10 9.86 5.662.7610.729.5010.56 10.52 10.55 10.37 11.12 5.792.818.3010.8310.97 10.47 10.37 10.76 10.83 6.212.0311.438.5710.54 10.72 11.01 11.26 11.45 5.682.1611.2512.1111.07 11.37 11.90 12.31 14.20 5.422.935.355.13 15.01 15.91 16.54 5.462.325.767.31 15.92 15.72 15.43 15.31 4.931.918.186.9614.68 13.95 13.41 13.27 13.05 4.641.4910.177.2213.21 13.25 10.87 10.80 10.92 3.941.158.296.4610.69 11.18 11.49 12.19 11.88 4.872.369.497.3912.16 12.30 12.62 12.78 13.50 4.681.619.5111.0413.41 13.05 13.65 13.79 13.86 5.271.767.218.0514.36 14.51 15.12 14.92 16.12 4.321.8410.575.96 16.80 17.42 17.84 18.27 3.551.687.635.1118.61 19.09 19.33 19.14 19.09 4.041.866.614.6018.50 17.70 17.18 16.57 16.41 4.421.956.545.0915.22 13.91 13.46 12.91 12.31 5.161.179.796.2411.89 10.80 10.91 11.04 10.67 4.001.748.797.3410.70 10.92 10.92 11.64 5.172.3210.888.3711.83 11.92 12.58 12.29 12.42 3.561.707.813.8412.43 12.04 12.40 12.53 12.00 4.181.747.285.2411.98 12.12 11.93 11.73 11.13 4.081.435.903.3910.72 10.37 10.01 9.94 9.76 3.761.918.176.519.95 9.65 9.66 9.41 9.25 3.661.548.086.379.09 8.84 8.94 8.95 8.72 4.511.786.704.378.85 9.18 9.27 9.38 10.09 3.021.279.256.40 10.09 10.24 9.65 9.04 2.701.119.505.098.90 8.89 8.57 8.21 8.26 4.021.5411.377.638.57 8.86 8.57 8.44 8.52 3.061.457.976.267.84 7.58 7.48 7.78 7.89 2.761.569.008.508.45 8.34 8.78 8.97 9.24 4.151.868.788.638.97 8.48 8.52 8.31 8.21 3.581.907.337.84 8.10 8.11 8.05 8.27 3.360.844.575.198.65 8.23 8.67 8.48 8.63 3.261.297.565.418.87 8.96 9.37 9.47 9.66 3.901.328.795.829.82 10.13 9.94 9.88 9.65 3.521.506.656.069.63 9.37 9.12 8.89 8.79 3.301.078.034.46 8.08 7.96 7.50 7.41 3.381.477.255.587.39 7.15 7.04 7.38 7.44 3.351.385.414.967.30 7.07 7.52 7.36 7.69 2.301.125.642.747.93 8.34 8.34 8.96 10.34 4.521.405.955.74 10.42 10.70 10.55 10.18 3.311.035.575.0010.46 10.37 10.41 10.44 10.72 3.451.446.425.0010.77 10.69 10.97 11.60 12.03 4.341.267.175.2111.46 12.20 12.62 13.05 13.80 2.931.765.604.9414.39 14.91 15.36 15.68 16.39 2.951.176.995.1916.57 17.07 17.36 17.39 17.42 3.131.265.905.43 17.67 17.68 17.56 17.66 2.191.186.105.8417.61 17.57 17.65 17.49 17.22 3.241.609.956.4816.61 16.52 16.09 15.38 15.14 3.691.767.885.5714.68 13.92 13.91 14.25 14.92 3.761.489.585.8914.79 14.48 15.00 15.15 15.35 3.231.387.145.6515.64 15.71 15.86 16.40 16.22 3.521.896.575.8616.34 16.44 16.00 15.42 14.50 4.841.8011.855.2714.55 15.00 14.71 14.81 15.24 3.361.448.467.5015.50 15.57 15.61 15.57 15.84 3.771.939.706.1716.01 16.25 15.99 15.77 15.76 4.101.307.795.9115.42 14.79 14.32 3.661.765.436.5713.63 13.73 13.24 13.14 3.161.2910.004.6213.05 12.81 12.49 11.91 11.27 4.171.436.003.3411.38 11.50 11.69 11.97 11.89 2.871.206.724.7511.98 12.34 11.62 11.69 11.25 3.731.198.197.1410.94 10.90 10.64 10.57 10.56 3.971.389.524.7710.14 10.01 9.74 9.34 9.46 3.411.3110.486.649.95 9.81 9.84 9.94 9.84 2.800.994.844.40 10.23 10.34 10.64 10.74 3.430.996.115.2110.70 10.83 10.74 10.38 9.92 4.821.6710.225.179.65 8.58 8.37 8.11 7.82 4.531.9310.349.177.68 7.11 6.75 6.27 6.14 2.681.339.403.666.38 6.54 6.97 7.33 8.08 3.241.407.626.888.50 9.23 9.71 9.83 9.52 3.401.638.046.059.55 9.82 9.95 10.39 10.28 5.381.7211.224.8210.31 10.53 10.70 10.50 10.19 3.281.4510.504.889.60 9.16 8.38 8.47 2.511.148.906.258.67 8.75 9.09 9.00 9.10 3.681.448.254.889.79 10.31 10.27 10.24 10.65 2.701.386.295.2911.42 12.22 12.52 13.65 14.10 2.261.106.355.6714.68 15.84 16.31 17.39 18.10 2.590.957.513.87 18.31 18.16 18.61 18.57 2.980.975.914.2218.65 18.78 18.38 18.48 18.14 3.551.369.364.5117.92 17.82 17.40 17.27 16.49 3.051.165.275.2816.15 15.92 15.78 15.37 14.98 2.890.857.636.9114.98 14.45 14.50 14.38 14.38 4.441.177.615.1314.12 14.14 13.97 13.68 13.90 4.191.218.057.8713.70 13.52 13.95 14.21 2.741.234.904.6114.72 14.90 14.98 15.26 15.89 3.291.187.543.8116.22 16.33 16.24 16.41 16.52 2.501.216.893.7616.70 16.75 16.72 16.49 16.46 3.671.245.576.6116.40 16.36 16.49 16.61 15.83 3.121.393.353.73 15.27 15.51 15.53 15.43 2.930.904.313.2315.26 14.81 14.57 14.51 14.45 2.821.067.773.4114.27 14.05 13.63 13.00 12.48 2.140.786.435.2112.58 12.63 12.22 11.84 11.62 3.401.057.185.26 10.88 10.90 10.75 10.64 2.881.229.994.2110.29 10.13 10.22 10.27 10.23 3.280.984.894.5110.37 10.22 10.14 10.46 10.53 2.181.116.904.7410.66 11.27 11.29 11.51 11.45 3.331.006.405.3511.71 12.30 12.46 12.62 13.00 2.250.867.293.7213.02 13.41 13.73 13.62 13.88 2.171.136.405.00 13.84 13.60 13.60 13.49 2.110.905.464.3713.58 13.57 13.05 12.70 12.40 2.300.896.916.6512.44 12.44 12.24 12.26 12.24 3.001.146.595.7112.11 12.07 12.42 12.63 12.58 2.490.858.094.7913.20 14.43 14.54 14.69 14.33 2.950.886.634.2814.10 13.57 13.35 12.88 12.62 1.850.884.383.3712.48 12.54 12.32 12.01 11.82 2.691.077.985.2511.32 10.12 10.09 10.09 10.41 3.380.847.126.0110.71 11.38 12.46 13.55 13.73 2.820.766.075.3214.05 13.92 14.00 14.33 14.37 2.951.1010.078.1314.38 14.43 14.35 3.171.376.438.1714.39 14.71 14.78 14.92 2.551.075.594.5815.16 14.99 15.29 15.22 15.16 2.521.025.493.2614.98 14.82 14.96 15.12 14.95 1.990.906.404.9314.95 14.93 14.64 14.55 14.26 2.380.967.314.6014.08 13.90 13.71 13.61 13.68 2.731.085.015.4313.82 13.72 13.63 13.26 13.03 2.830.777.485.4713.02 12.91 12.70 12.48 12.35 2.320.905.253.85 11.88 11.78 11.54 11.20 2.081.196.244.7310.93 10.65 10.51 10.24 10.04 3.111.3113.247.929.90 9.51 9.31 9.39 9.11 4.260.929.135.758.87 9.22 9.06 8.72 8.56 3.851.0510.715.998.37 8.31 8.09 8.16 7.92