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.
Lien permanent pour cette publication :
publications.gc.ca/pub?id=9.848936&sl=1
| Ministère/Organisme | Bank of Canada. |
|---|---|
| Titre | Do liquidity proxies measure liquidity in canadian bond markets? / by Jean-Sébastien Fontaine ... [et al.]. |
| Titre de la série | Staff analytical note = Note analytique du personnel, 2369-9639 ; 2017-23 |
| Type de publication | Série - Voir l'enregistrement principal |
| Langue | [Anglais] |
| Format | Électronique |
| Document électronique | |
| Note(s) | Cover title. Includes bibliographical references. Text in English, abstract in English and French. |
| Information sur la publication | Ottawa : Bank of Canada, c2017. |
| Auteur / Contributeur | Fontaine, Jean-Sébastien. |
| Description | ii, [7] p. : col. charts. |
| Numéro de catalogue |
|
| Descripteurs | Bonds Economic indicators Monetary policy Market analysis |
Demander des formats alternatifs
Pour demander une publication dans un format alternatif, remplissez le formulaire électronique des publications du gouvernement du Canada. Utilisez le champ du formulaire «question ou commentaire» pour spécifier la publication demandée.- Date de modification :