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Has liquidity in Canadian government bond markets deteriorated?

Author: Sermin Gungor; Jun Yang; Bank of Canada.
Publisher: Ottawa : Bank of Canada, ©2017.
Series: Staff analytical note, 2017-10.
Edition/Format:   eBook : Document : National government publication : English
Summary:
"This note presents measures of liquidity used by the Bank of Canada to monitor market conditions and discusses recent trends in Government of Canada (GoC) fixed-income market liquidity. Our results indicate that the Bank's measures have improved since the financial crisis. Furthermore, GoC market liquidity deteriorated following several stressful events: the euro crisis in 2011, the taper tantrum in 2013 and the  Read more...
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Details

Material Type: Document, Government publication, National government publication, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Sermin Gungor; Jun Yang; Bank of Canada.
OCLC Number: 1018285347
Language Note: Text in English; abstract in English and French.
Notes: Cover title.
Description: 1 online resource (ii, 6 pages) : graphs.
Series Title: Staff analytical note, 2017-10.
Responsibility: by Sermin Gungor and Jun Yang.

Abstract:

"This note presents measures of liquidity used by the Bank of Canada to monitor market conditions and discusses recent trends in Government of Canada (GoC) fixed-income market liquidity. Our results indicate that the Bank's measures have improved since the financial crisis. Furthermore, GoC market liquidity deteriorated following several stressful events: the euro crisis in 2011, the taper tantrum in 2013 and the oil price shock in 2015. In all three cases, the deterioration remained within historical norms and liquidity returned to normal levels afterwards."--Abstract, p. ii.

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