Do liquidity proxies measure liquidity in canadian bond markets? / by Jean-Sébastien Fontaine ... [et al.].: FB3-7/2017-23E-PDF
"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.
Permanent link to this Catalogue record:
publications.gc.ca/pub?id=9.848936&sl=0
| Department/Agency | Bank of Canada. |
|---|---|
| Title | Do liquidity proxies measure liquidity in canadian bond markets? / by Jean-Sébastien Fontaine ... [et al.]. |
| Series title | Staff analytical note = Note analytique du personnel, 2369-9639 ; 2017-23 |
| Publication type | Series - View Master Record |
| Language | [English] |
| Format | Electronic |
| Electronic document | |
| Note(s) | Cover title. Includes bibliographical references. Text in English, abstract in English and French. |
| Publishing information | Ottawa : Bank of Canada, c2017. |
| Author / Contributor | Fontaine, Jean-Sébastien. |
| Description | ii, [7] p. : col. charts. |
| Catalogue number |
|
| Subject terms | Bonds Economic indicators Monetary policy Market analysis |
Request alternate formats
To request an alternate format of a publication, complete the Government of Canada Publications email form. Use the form’s “question or comment” field to specify the requested publication.- Date modified: