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Government of Canada Fixed-Income Market Ecology

Author

Listed:
  • Léanne Berger-Soucy
  • Corey Garriott
  • André Usche

Abstract

This discussion paper is the third in the Financial Markets Department's series on the structure of Canadian financial markets. These papers are called "ecologies" because they study the interactions among market participants, infrastructures, regulations and the terms of the traded contract itself. In this ecology, we discuss the Government of Canada's domestic fixed-income market. We begin with an overview of Government of Canada securities and their characteristics. We then outline common market practices and the typical participants in the market. We provide high-level statistics on activity in the market and describe the market infrastructures that support trading. Finally, we discuss risks in these securities markets.

Suggested Citation

  • Léanne Berger-Soucy & Corey Garriott & André Usche, 2018. "Government of Canada Fixed-Income Market Ecology," Discussion Papers 18-10, Bank of Canada.
    • Handle: RePEc:bca:bocadp:18-10
    as

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    References listed on IDEAS

    as
    1. Jordan, Bradford D. & Jordan, Susan D., 1996. "Salomon brothers and the May 1991 Treasury auction: Analysis of a market corner," Journal of Banking & Finance, Elsevier, vol. 20(1), pages 25-40, January.
    2. Corey Garriott & Jesse Johal, 2018. "Customer Liquidity Provision in Canadian Bond Markets," Staff Analytical Notes 2018-12, Bank of Canada.
    3. Ali Hortaçsu & Jakub Kastl, 2012. "Valuing Dealers' Informational Advantage: A Study of Canadian Treasury Auctions," Econometrica, Econometric Society, vol. 80(6), pages 2511-2542, November.
    4. Sermin Gungor & Jun Yang, 2017. "Has Liquidity in Canadian Government Bond Markets Deteriorated?," Staff Analytical Notes 17-10, Bank of Canada.
    5. Corey Garriott & Kyle Gray, 2016. "Canadian Repo Market Ecology," Discussion Papers 16-8, Bank of Canada.
    6. Lukasz Pomorski & Francisco Rivadeneyra & Eric Wolfe, 2014. "The Canadian Dollar as a Reserve Currency," Bank of Canada Review, Bank of Canada, vol. 2014(Spring), pages 1-11.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. 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.
    2. Chen, Marie & Garriott, Corey, 2020. "High-frequency trading and institutional trading costs," Journal of Empirical Finance, Elsevier, vol. 56(C), pages 74-93.

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    More about this item

    Keywords

    Debt Management; Financial Institutions; Financial markets; Financial services;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G20 - Financial Economics - - Financial Institutions and Services - - - General
    • H63 - Public Economics - - National Budget, Deficit, and Debt - - - Debt; Debt Management; Sovereign Debt

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