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Liquidity of the Government of Canada Securities Market: Stylized Facts and Some Market Microstructure Comparisons to the United States Treasury Market

Citations

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Cited by:

  1. Bernoth, Kerstin & von Hagen, Jürgen & Schuknecht, Ludger, 2012. "Sovereign risk premiums in the European government bond market," Journal of International Money and Finance, Elsevier, vol. 31(5), pages 975-995.
  2. Rydqvist, Kristian & Wu, Mark, 2014. "Pre-Auction Inventory and Bidding Behavior?An Analysis of Canadian Treasury Auctions," CEPR Discussion Papers 10112, C.E.P.R. Discussion Papers.
  3. Jeffrey Gao & Jianjian Jin & Jacob Thompson, 2018. "The Impact of Government Debt Supply on Bond Market Liquidity: An Empirical Analysis of the Canadian Market," Staff Working Papers 18-35, Bank of Canada.
  4. Stefano Schiavo, 2005. "Euro bonds: in search of financial spillovers," Working Papers hal-01065566, HAL.
  5. Díaz, Antonio & Escribano, Ana, 2020. "Measuring the multi-faceted dimension of liquidity in financial markets: A literature review," Research in International Business and Finance, Elsevier, vol. 51(C).
  6. Csaba Csávás & Szilárd Erhart, 2005. "Are Hungarian financial markets liquid enough? The theory and practice of FX and government securities market liquidity," MNB Occasional Papers 2005/44, Magyar Nemzeti Bank (Central Bank of Hungary).
  7. Jeffrey Gao & Francisco Rivadeneyra & Gabriel Rodriguez Rondon, 2018. "The Government of Canada Debt Securities Data Set," Technical Reports 112, Bank of Canada.
  8. Francisco Alonso & Roberto Blanco & Ana Del Rio & Alicia Sanchis, 2004. "Estimating liquidity premia in the Spanish government securities market," The European Journal of Finance, Taylor & Francis Journals, vol. 10(6), pages 453-474.
  9. Díaz, Antonio & Escribano, Ana, 2022. "Liquidity dimensions in the U.S. corporate bond market," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 1163-1179.
  10. Schuknecht, Ludger & von Hagen, Jürgen & Wolswijk, Guido, 2009. "Government risk premiums in the bond market: EMU and Canada," European Journal of Political Economy, Elsevier, vol. 25(3), pages 371-384, September.
  11. Toni Gravelle, 2002. "The Microstructure of Multiple-Dealer Equity and Government Securities Markets: How They Differ," Staff Working Papers 02-9, Bank of Canada.
  12. repec:hal:wpspec:info:hdl:2441/7162 is not listed on IDEAS
  13. Obert Nyawata, 2013. "Treasury Bills And/Or Central Bank Bills For Absorbing Surplus Liquidity: The Main Considerations," Journal of International Commerce, Economics and Policy (JICEP), World Scientific Publishing Co. Pte. Ltd., vol. 4(02), pages 1-32.
  14. Narayan Bulusu & Sermin Gungor, 2021. "The life cycle of trading activity and liquidity of Government of Canada bonds: Evidence from cash, repo and securities lending markets," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 54(2), pages 557-581, May.
  15. Kerstin Bernoth & Guntram B. Wolff, 2008. "Fool The Markets? Creative Accounting, Fiscal Transparency And Sovereign Risk Premia," Scottish Journal of Political Economy, Scottish Economic Society, vol. 55(4), pages 465-487, September.
  16. Chen, Su & Yin, Lu, 2022. "Why do firms issue U.S. dollar bond abroad? Evidence from Chinese non-financial listed corporations," Research in International Business and Finance, Elsevier, vol. 60(C).
  17. Rydqvist, Kristian & Wu, Mark, 2016. "Pre-auction inventory and bidding behavior: Evidence from Canadian Treasury auctions," Journal of Financial Markets, Elsevier, vol. 30(C), pages 78-102.
  18. Artur Akhmetov & Anna Burova & Natalia Makhankova & Alexey Ponomarenko, 2024. "Measuring Market Liquidity and Liquidity Mismatches Across Sectors," Springer Books, in: Alexander Karminsky & Mikhail Stolbov (ed.), Systemic Financial Risk, chapter 0, pages 131-194, Springer.
  19. repec:spo:wpmain:info:hdl:2441/7162 is not listed on IDEAS
  20. Schmid, Kai Daniel & Schmidt, Michael, 2012. "EMU, the changing role of public debt and the revival of sovereign credit risk perception," University of Tübingen Working Papers in Business and Economics 48, University of Tuebingen, Faculty of Economics and Social Sciences, School of Business and Economics.
  21. Chris D'Souza & Charles Gaa, 2004. "The Effects of Economic News on Bond Market Liquidity," Staff Working Papers 04-16, Bank of Canada.
  22. Bennouna, Hicham & Bounader, Lahcen, 2018. "Analyse de la transmission de la politique monétaire vers les taux souverains," Document de travail 2018-2, Bank Al-Maghrib, Département de la Recherche.
  23. Samir Kadiric, 2020. "The determinants of sovereign risk premiums in the UK and the European government bond market: The impact of Brexit," EIIW Discussion paper disbei271, Universitätsbibliothek Wuppertal, University Library.
  24. Malcolm Edey & Luci Ellis, 2002. "Implications of declining government debt for financial markets and monetary operations in Australia," BIS Papers chapters, in: Bank for International Settlements (ed.), Market functioning and central bank policy, volume 12, pages 25-42, Bank for International Settlements.
  25. Erik Makela, 2014. "The Price of Euro: Evidence from Sovereign Debt Markets," Discussion Papers 90, Aboa Centre for Economics.
  26. Narayan Bulusu & Sermin Gungor, 2018. "Government of Canada Securities in the Cash, Repo and Securities Lending Markets," Discussion Papers 18-4, Bank of Canada.
  27. Kerstin Bernoth & Guntram B. Wolff, 2008. "Fool The Markets? Creative Accounting, Fiscal Transparency And Sovereign Risk Premia," Scottish Journal of Political Economy, Scottish Economic Society, vol. 55(4), pages 465-487, September.
  28. Kai Daniel Schmid & Michael Schmidt, 2012. "EMU and the Renaissance of Sovereign Credit Risk Perception," IAW Discussion Papers 87, Institut für Angewandte Wirtschaftsforschung (IAW).
  29. Mr. Obert Nyawata, 2012. "Treasury Bills and/Or Central Bank Bills for Absorbing Surplus Liquidity: The Main Considerations," IMF Working Papers 2012/040, International Monetary Fund.
  30. Samir Kadiric, 2022. "The determinants of sovereign risk premiums in the UK and the European government bond market: the impact of Brexit," International Economics and Economic Policy, Springer, vol. 19(2), pages 267-298, May.
  31. Ingo G. Bordon & Kai D. Schmid & Michael Schmidt, 2014. "Hypnosis Before Wake-up Call?! The Revival of Sovereign Credit Risk Perception in the EMU-Crisis," CESifo Working Paper Series 4946, CESifo.
  32. Demir Bektić & Britta Hachenberg & Dirk Schiereck, 2020. "Factor-based investing in government bond markets: a survey of the current state of research," Journal of Asset Management, Palgrave Macmillan, vol. 21(2), pages 94-105, March.
  33. repec:hal:spmain:info:hdl:2441/7162 is not listed on IDEAS
  34. Van Hecke, Annelore, 2013. "Vertical debt spillovers in EMU countries," Journal of International Money and Finance, Elsevier, vol. 37(C), pages 468-492.
  35. Toni Gravelle, 1999. "The Market Microstructure of Dealership Equity and Government Securities Markets: How They Differ," CGFS Papers chapters, in: Bank for International Settlements (ed.), Market Liquidity: Research Findings and Selected Policy Implications, volume 11, pages 1-16, Bank for International Settlements.
  36. repec:spo:wpecon:info:hdl:2441/7162 is not listed on IDEAS
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