00000nam 2200000za 4500 9.848936 CaOODSP 20250821075104 cr ||||||||||| 171215s2017 oncd|||#ob f000 0 eng d CaOODSP eng eng fre n-cn--- FB3-7/2017-23E-PDF Do liquidity proxies measure liquidity in canadian bond markets? [electronic resource] / by Jean-Sébastien Fontaine ... [et al.]. Ottawa : Bank of Canada, c2017. ii, [7] p. : col. charts. Staff analytical note = Note analytique du personnel, 2369-9639 ; 2017-23 Cover title. Includes bibliographical references. "This analytical note evaluates the reliability of proxies for measuring liquidity in Canadian bond markets. We find that price-impact and bid-ask proxies paint a similar picture of evolving liquidity conditions to that obtained from richer measures of liquidity for benchmark Government of Canada bonds. In addition, we find that these proxies may be used with confidence to measure liquidity for bonds that transact much less frequently than benchmark bonds when the maturity of the bond is around five years or less. These results are important because the majority of Canadian bonds trade infrequently and over the counter, where there may be insufficient transactions or information to compute richer measures of liquidity. We can only use proxies to measure liquidity for these bonds"--Abstract, p. ii. Text in English, abstract in English and French. gccst Bonds gccst Economic indicators gccst Monetary policy gccst Market analysis Fontaine, Jean-Sébastien. Bank of Canada. Staff analytical note (Bank of Canada) 2369-9639 ; 2017-23 (CaOODSP)9.807323 PDF 347 KB https://publications.gc.ca/collections/collection_2017/banque-bank-canada/FB3-7-2017-23-eng.pdf