00000nam 2200000za 4500 9.838457 CaOODSP 20221107151401 cr ||||||||||| 170619s2017 oncd ob f000 0 eng d CaOODSP eng eng fre n-cn--- FB3-6/2017-9E-PDF Sutherland, Christopher S. What explains month-end funding pressure in Canada? [electronic resource] / by Christopher S. Sutherland. [Ottawa] : Bank of Canada, 2017. iii, 62 p. : charts Bank of Canada staff discussion paper, 1914-0568 ; 2017-9 "June 2017." Includes bibliographical references (p. 37-39). "The Canadian overnight repo market persistently shows signs of latent funding pressure around month-end periods. Both the overnight repo rate and Bank of Canada liquidity provision tend to rise in these windows. This paper proposes three non-mutually exclusive hypotheses to explain this phenomenon. First, month-end funding pressure may be caused by search frictions. Market participants place a premium on liquidity around month-end periods because of the confluence of a generalized liquidity preference, heightened month-end forecast uncertainty, and resultant search frictions in the repo market. Second, this funding pressure could be attributed to spillovers from the US overnight repo market. Third, month-end funding pressure might be associated with large Canadian banks’ end-of-month repo adjustments. By combining market, central-bank and payments data, this paper provides evidence that the first hypothesis explains the latent funding pressure observed on the first day of the month. Using market and non-public regulatory data, this paper further argues that the second and third hypotheses are much less plausible"--Abstract, p. ii. Includes abstract in French. gccst Capital markets gccst Interest rates gccst Monetary policy Bank of Canada. Staff discussion paper (Bank of Canada) 2017-9 (CaOODSP)9.806273 PDF 892 KB https://publications.gc.ca/collections/collection_2017/banque-bank-canada/FB3-6-2017-9-eng.pdf