00000nam 2200000za 4500 9.859669 CaOODSP 20221107160315 cr ||||||||||| 180727s2018 oncd #ob f000 0 eng d CaOODSP eng eng fre FB3-5/2018-35E-PDF Gao, Jeffrey. The impact of government debt supply on bond market liquidity [electronic resource] : an empirical analysis of the Canadian market / by Jeffrey Gao, Jianjian Jin and Jacob Thompson. Empirical analysis of the Canadian market Ottawa : Bank of Canada, 2018. iii, 43 p. : graphs Bank of Canada staff working paper, 1701-9397 ; 2018-35 "July 2018." Includes bibliographical references. "This paper finds that Government of Canada benchmark bonds tend to be more illiquid over the subsequent month when there is a large increase in government debt supply. The result is both statistically and economically significant, stronger for the long-term than the short-term sector, and is robust when other macro factors are controlled for. The result is consistent with the interpretation that risk-averse dealers tend to provide less liquidity to the market when facing increased duration risks brought by large debt issuance. The fact that the newly issued bonds are much less liquid may also contribute to the impact of debt supply on market liquidity"--Abstract, p. ii. Includes abstract in French. gccst Bonds gccst Debt gccst Market analysis Jin, Jianjian. Thompson, Jacob. Bank of Canada. Staff working paper (Bank of Canada) 1701-9397 ; 2018-35. (CaOODSP)9.806221 PDF 510 KB https://publications.gc.ca/collections/collection_2018/banque-bank-canada/FB3-5-2018-35-eng.pdf