000	01956cam  2200337za 4500
001	9.859669
003	CaOODSP
005	20221107160315
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008	180727s2018    oncd   #ob   f000 0 eng d
040	|aCaOODSP|beng
041	|aeng|bfre
086	1 |aFB3-5/2018-35E-PDF
100	1 |aGao, Jeffrey.
245	14|aThe impact of government debt supply on bond market liquidity |h[electronic resource] : |ban empirical analysis of the Canadian market / |cby Jeffrey Gao, Jianjian Jin and Jacob Thompson.
246	10|aEmpirical analysis of the Canadian market
260	|aOttawa : |bBank of Canada, |c2018.
300	|aiii, 43 p. : |bgraphs
490	1 |aBank of Canada staff working paper, |x1701-9397 ; |v2018-35
500	|a"July 2018."
504	|aIncludes bibliographical references.
520	3 |a"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.
546	|aIncludes abstract in French.
692	07|2gccst|aBonds
692	07|2gccst|aDebt
692	07|2gccst|aMarket analysis
700	1 |aJin, Jianjian.
700	1 |aThompson, Jacob.
710	2 |aBank of Canada.
830	#0|aStaff working paper (Bank of Canada)|x1701-9397 ; |v2018-35.|w(CaOODSP)9.806221
856	40|qPDF|s510 KB|uhttps://publications.gc.ca/collections/collection_2018/banque-bank-canada/FB3-5-2018-35-eng.pdf