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Government of Canada Securities in the Cash, Repo and Securities Lending Markets

Narayan Bulusu and Sermin Gungor

Discussion Papers from Bank of Canada

Abstract: 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 (search for similar items in EconPapers)
JEL-codes: G12 G21 G23 (search for similar items in EconPapers)
Pages: 45 pages
Date: 2018
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https://www.bankofcanada.ca/wp-content/uploads/2018/01/sdp2018-4.pdf

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Persistent link: https://EconPapers.repec.org/RePEc:bca:bocadp:18-4

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