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Les fonds de couverture : un filet pour l’augmentation des émissions d’obligations du gouvernement?

Author

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  • Adam Epp
  • Jeffrey Gao

Abstract

La présente étude s’intéresse à l’augmentation rapide des émissions d’obligations du gouvernement du Canada depuis 2019 ainsi qu’à la participation accrue des fonds de couverture aux adjudications visant ces titres. Nous constatons qu’il existe une relation systématique entre l’encours des obligations du gouvernement du Canada et la proportion des soumissions venant des fonds de couverture aux adjudications. Nous attribuons ce phénomène aux modèles d’affaires de ces fonds, qui sont basés sur le volume et l’effet de levier. Nous utilisons également des données des soumissions aux adjudications et constatons que les fonds de couverture sont plus disposés que d’autres types d’investisseurs à acheter des obligations à des rendements plus faibles à l’adjudication (prix d’adjudication plus élevés). Ces deux constats : i) contribuent à expliquer pourquoi les résultats des adjudications du gouvernement du Canada sont restés stables malgré l’augmentation des émissions; et ii) confirment l’importance des fonds de couverture dans la distribution économique des titres de dette du Canada au cours des dernières années. De plus, nous effectuons une analyse contrefactuelle de la fin de la participation des fonds de couverture aux adjudications, qui vient encore confirmer l’importance de ces fonds dans le succès des adjudications du gouvernement du Canada. Toutefois, la concentration des fonds de couverture représente une vulnérabilité potentielle, car ceux-ci sont plus à risque de cesser leur participation aux adjudications que les autres investisseurs institutionnels nationaux et contribuent donc à rendre le bassin d’investisseurs potentiellement moins stable.

Suggested Citation

  • Adam Epp & Jeffrey Gao, 2025. "Les fonds de couverture : un filet pour l’augmentation des émissions d’obligations du gouvernement?," Discussion Papers 2025-07fr, Bank of Canada.
  • Handle: RePEc:bca:bocadp:25-07fr
    DOI: 10.34989/sdp-2025-7
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    References listed on IDEAS

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    More about this item

    Keywords

    Gestion de la dette; Institutions financières; Marchés financiers; Stabilité financière;
    All these keywords.

    JEL classification:

    • D44 - Microeconomics - - Market Structure, Pricing, and Design - - - Auctions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G2 - Financial Economics - - Financial Institutions and Services
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    • H63 - Public Economics - - National Budget, Deficit, and Debt - - - Debt; Debt Management; Sovereign Debt

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