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Markets for Government of Canada Securities in the 1990s: Liquidity and Cross-CountryComparisons

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Abstract

In this article, the author reviews the factors behind the recent evolution of liquidity in the market for Government of Canada (GoC) securities. He finds that liquidity has been supported by changes in the structure of the market, notably the introduction and increasing size of benchmark bond issues. He also notes that while the GoC bond market has generally benefited from changes in market structure, liquidity in the treasury bill market has decreased since the mid-1990s, largely because of the declining supply of these securities. This article also presents some comparisons of liquidity in the government securities markets of other industrialized countries and finds that liquidity in the Canadian market appears to compare favourably with all but the large U.S. Treasury market.

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File URL: http://www.bankofcanada.ca/wp-content/uploads/2010/06/r994b-e.pdf
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Bibliographic Info

Article provided by Bank of Canada in its journal Bank of Canada Review.

Volume (Year): 1999 (1999)
Issue (Month): Autumn ()
Pages: 9-18

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Handle: RePEc:bca:bcarev:v:1999:y:1999:i:autumn99:p:9-18

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Cited by:
  1. Chris D'Souza & Alexandra Lai, 2002. "The effects of bank consolidation on risk capital allocation and market liquidity," BIS Papers chapters, in: Bank for International Settlements (ed.), Market functioning and central bank policy, volume 12, pages 86-109 Bank for International Settlements.
  2. Stuart Landon, 2009. "The capitalization of taxes in bond prices: Evidence from the market for Government of Canada bonds," EERI Research Paper Series EERI_RP_2009_20, Economics and Econometrics Research Institute (EERI), Brussels.

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