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Do Liquidity Proxies Measure Liquidity in Canadian Bond Markets?

Author: Jean-Sébastien Fontaine; Jeffrey Gao; Jabir Sandhu; Kobe Wu
Publisher: Ottawa, ON, CA : Bank of Canada, 2017. ©2017
Series: Staff Analytical Note/Note analytique du personnel 2017-23.
Edition/Format:   eBook : Document : National government publication : English
Summary:
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  Read more...
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Genre/Form: Electronic books
Material Type: Document, Government publication, National government publication, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Jean-Sébastien Fontaine; Jeffrey Gao; Jabir Sandhu; Kobe Wu
ISSN:2369-9639
OCLC Number: 1017589332
Language Note: Text in English and in French.
Notes: Issued as part of the desLibris documents collection.
Description: 1 online resource (7 pages).
Series Title: Staff Analytical Note/Note analytique du personnel 2017-23.
Responsibility: Jean-Sébastien Fontaine, Jeffrey Gao, Jabir Sandhu, and Kobe Wu.
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Abstract:

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.

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