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COVID-19 and bond market liquidity: alert, isolation and recovery

Author

Listed:
  • Jean-Sébastien Fontaine
  • Hayden Ford
  • Adrian Walton

Abstract

The disruption due to COVID-19 reverberated through the bond markets in three phases. In the first phase, dealers met the rising demand for liquidity. In the second, dealers reduced the supply of liquidity, and trading conditions worsened significantly. Finally, the market returned to relative stability following several interventions by the Bank of Canada.

Suggested Citation

  • Jean-Sébastien Fontaine & Hayden Ford & Adrian Walton, 2020. "COVID-19 and bond market liquidity: alert, isolation and recovery," Staff Analytical Notes 2020-14, Bank of Canada.
    • Handle: RePEc:bca:bocsan:20-14
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    File URL: https://www.bankofcanada.ca/2020/07/staff-analytical-note-2020-14/
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    Citations

    RePEc Biblio mentions

    As found on the RePEc Biblio, the curated bibliography for Economics:
    1. > Economics of Welfare > Health Economics > Economics of Pandemics > Specific pandemics > Covid-19 > Economic consequences > Stock market

    Citations

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    Cited by:

    1. Jean-Sébastien Fontaine & Corey Garriott & Jesse Johal & Jessica Lee & Andreas Uthemann, 2021. "COVID-19 Crisis: Lessons Learned for Future Policy Research," Discussion Papers 2021-2, Bank of Canada.
    2. Guillaume Bédard-Pagé & Daniel Bolduc-Zuluaga & Annick Demers & Jean-Philippe Dion & Manu Pandey & Léanne Berger-Soucy & Adrian Walton, 2021. "COVID-19 crisis: Liquidity management at Canada’s largest public pension funds," Staff Analytical Notes 2021-11, Bank of Canada.
    3. Riccardo Poli & Marco Taboga, 2021. "A composite indicator of sovereign bond market liquidity in the euro area," Questioni di Economia e Finanza (Occasional Papers) 663, Bank of Italy, Economic Research and International Relations Area.
    4. Cimon, David A. & Walton, Adrian, 2024. "Central bank liquidity facilities and market making," Journal of Banking & Finance, Elsevier, vol. 162(C).

    More about this item

    Keywords

    Financial markets; Monetary policy;

    JEL classification:

    • E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates

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