Government of Canada Securities in the Cash, Repo and Securities Lending Markets
Bank of Canada Staff Discussion Paper 2018-4
45 Pages Posted: 13 Feb 2018
Date Written: January 30, 2018
This paper documents the properties of Government of Canada securities in cash, repo and securities lending transactions over their life cycle. By tracking every security from issuance to maturity, we are able to highlight inter-linkages between the markets for cash and for specific securities. Our results indicate that the interaction of search frictions with clientele effects may be key to producing the patterns of trade exhibited by bonds of different maturities.
Keywords: Financial markets, Wholesale funding
JEL Classification: G12, G21, G23
Suggested Citation: Suggested Citation