00000nam 2200000za 4500 9.848569 CaOODSP 20221107153717 cr ||||||||||| 171211s2017 oncd ob f000 0 eng d CaOODSP eng eng fre n-cn--- FB3-5/2017-54E-PDF Fontaine, Jean-Sébastien. What drives episodes of settlement fails in the Government of Canada bond market? [electronic resource] / by Jean-Sébastien Fontaine, James Pinnington and Adrian Walton. [Ottawa] : Bank of Canada, 2017. iv, 30 p. : col. charts. Bank of Canada staff working paper, 1701-9397 ; 2017-54 "December 2017." Includes bibliographical references (p. 28). “We study settlement fails for trades in the Government of Canada bond market. We find that settlement fails do not occur independently. Using a novel and comprehensive dataset, we examine three drivers of fails. First, we find that fails are more likely following the release of surprise macroeconomic news. Second, settlement fails are more likely for bonds with greater trading activity in the borrowing market. These findings suggest that the recirculation of bonds through long settlement chains is important for understanding fails. Third, fails are more likely when interest rates are low and when the cost for borrowing a bond is high, which is likely because of frictions acting as constraints on the price to borrow a bond. Together, the evidence suggests that improvements to the price mechanism in the borrowing market could improve the recirculation of scarce bonds and may improve the functioning of the bond market"--Abstract, p. ii. Includes abstract in French. gccst Bonds gccst Stock markets Pinnington, James. Walton, Adrian. Bank of Canada. Staff working paper (Bank of Canada) 1701-9397 ; 2017-54 (CaOODSP)9.806221 PDF 1,015 KB https://publications.gc.ca/collections/collection_2017/banque-bank-canada/FB3-5-2017-54-eng.pdf