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008170619s2017    oncd    ob   f000 0 eng d
040 |aCaOODSP|beng
041 |aeng|bfre
043 |an-cn---
0861 |aFB3-6/2017-9E-PDF
1001 |aSutherland, Christopher S.
24510|aWhat explains month-end funding pressure in Canada? |h[electronic resource] / |cby Christopher S. Sutherland.
260 |a[Ottawa] : |bBank of Canada, |c2017.
300 |aiii, 62 p. : |bcharts
4901 |aBank of Canada staff discussion paper, |x1914-0568 ; |v2017-9
500 |a"June 2017."
504 |aIncludes bibliographical references (p. 37-39).
5203 |a"The Canadian overnight repo market persistently shows signs of latent funding pressure around month-end periods. Both the overnight repo rate and Bank of Canada liquidity provision tend to rise in these windows. This paper proposes three non-mutually exclusive hypotheses to explain this phenomenon. First, month-end funding pressure may be caused by search frictions. Market participants place a premium on liquidity around month-end periods because of the confluence of a generalized liquidity preference, heightened month-end forecast uncertainty, and resultant search frictions in the repo market. Second, this funding pressure could be attributed to spillovers from the US overnight repo market. Third, month-end funding pressure might be associated with large Canadian banks’ end-of-month repo adjustments. By combining market, central-bank and payments data, this paper provides evidence that the first hypothesis explains the latent funding pressure observed on the first day of the month. Using market and non-public regulatory data, this paper further argues that the second and third hypotheses are much less plausible"--Abstract, p. ii.
546 |aIncludes abstract in French.
69207|2gccst|aCapital markets
69207|2gccst|aInterest rates
69207|2gccst|aMonetary policy
7102 |aBank of Canada.
830#0|aStaff discussion paper (Bank of Canada)|v2017-9|w(CaOODSP)9.806273
85640|qPDF|s892 KB|uhttps://publications.gc.ca/collections/collection_2017/banque-bank-canada/FB3-6-2017-9-eng.pdf