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Quelle est la part de l’arbitrage comptant-terme sur le marché canadien des obligations d’État?

Author

Listed:
  • Andreas Uthemann
  • Rishi Vala

Abstract

Le volume des opérations d’arbitrage comptant-terme a augmenté au même rythme que le marché des contrats à terme sur obligations du gouvernement du Canada. Nous examinons cette croissance au fil du temps par rapport aux marchés des obligations d’État et des pensions. Nous fournissons également des informations sur les types de participants au marché qui effectuent des opérations d’arbitrage comptant-terme.

Suggested Citation

  • Andreas Uthemann & Rishi Vala, 2024. "Quelle est la part de l’arbitrage comptant-terme sur le marché canadien des obligations d’État?," Staff Analytical Notes 2024-16fr, Bank of Canada.
    • Handle: RePEc:bca:bocsan:24-16fr
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    File URL: https://www.banqueducanada.ca/2024/06/note-analytique-personnel-2024-16/
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    More about this item

    Keywords

    Institutions financières; Marchés financiers; Stabilité financière; Structure de marché et établissement des prix;
    All these keywords.

    JEL classification:

    • D4 - Microeconomics - - Market Structure, Pricing, and Design
    • D47 - Microeconomics - - Market Structure, Pricing, and Design - - - Market Design
    • D5 - Microeconomics - - General Equilibrium and Disequilibrium
    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
    • G1 - Financial Economics - - General Financial Markets
    • 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

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