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Redemption Runs in Canadian Corporate Bond Funds?

Author

Listed:
  • Rohan Arora

Abstract

Mutual funds employ a host of tools to manage redemption run risk. However, our results suggest that Canadian corporate bond funds may be vulnerable to redemption runs, especially when they are less liquid and when market volatility is high.

Suggested Citation

  • Rohan Arora, 2018. "Redemption Runs in Canadian Corporate Bond Funds?," Staff Analytical Notes 2018-21, Bank of Canada.
    • Handle: RePEc:bca:bocsan:18-21
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    File URL: https://www.bankofcanada.ca/2018/07/staff-analytical-note-2018-21/
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    References listed on IDEAS

    as
    1. Rohan Arora & Nadeem Merali & Guillaume Ouellet Leblanc, 2018. "Did Canadian Corporate Bond Funds Increase their Exposures to Risks?," Staff Analytical Notes 2018-7, Bank of Canada.
    2. Goldstein, Itay & Jiang, Hao & Ng, David T., 2017. "Investor flows and fragility in corporate bond funds," Journal of Financial Economics, Elsevier, vol. 126(3), pages 592-613.
    3. Chevalier, Judith & Ellison, Glenn, 1997. "Risk Taking by Mutual Funds as a Response to Incentives," Journal of Political Economy, University of Chicago Press, vol. 105(6), pages 1167-1200, December.
    4. Zeng, Yao, 2017. "A dynamic theory of mutual fund runs and liquidity management," ESRB Working Paper Series 42, European Systemic Risk Board.
    5. Guillaume Ouellet Leblanc & Rohan Arora, 2018. "How do Canadian Corporate Bond Mutual Funds Meet Investor Redemptions?," Staff Analytical Notes 2018-14, Bank of Canada.
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. Corey Garriott & Jesse Johal, 2018. "Customer Liquidity Provision in Canadian Bond Markets," Staff Analytical Notes 2018-12, Bank of Canada.
    2. Rohan Arora & Chen Fan & Guillaume Ouellet Leblanc, 2019. "Liquidity Management of Canadian Corporate Bond Mutual Funds: A Machine Learning Approach," Staff Analytical Notes 2019-7, Bank of Canada.
    3. Rohan Arora & Guillaume Bédard-Pagé & Guillaume Ouellet Leblanc & Ryan Shotlander, 2019. "Bond Funds and Fixed-Income Market Liquidity: A Stress-Testing Approach," Technical Reports 115, Bank of Canada.
    4. Guillaume Bédard-Pagé, 2019. "Non-Bank Financial Intermediation in Canada: An Update," Discussion Papers 2019-2, Bank of Canada.

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    More about this item

    Keywords

    Financial Institutions; Financial markets;

    JEL classification:

    • G - Financial Economics
    • G0 - Financial Economics - - General
    • G01 - Financial Economics - - General - - - Financial Crises
    • G2 - Financial Economics - - Financial Institutions and Services
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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