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Using Exchange-Traded Funds to Measure Liquidity in the Canadian Corporate Bond Market

Rohan Arora (), Guillaume Ouellet Leblanc (), Jabir Sandhu and Jun Yang

No 2019-25, Staff Analytical Notes from Bank of Canada

Abstract: We introduce a new proxy for measuring corporate bond liquidity, using the price of exchange-traded funds (ETFs) that hold corporate bonds. It measures the average liquidity across 900 corporate bonds every day, many more than other proxies used in previous Bank of Canada analysis. The new proxy nonetheless paints a very similar picture of liquidity conditions and confirms the previous findings: the liquidity of bonds has generally improved since 2010.

Keywords: Financial; markets (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
Pages: 7 pages
Date: 2019-08
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