The impact of trading flows on Government of Canada bond prices

Andreas Uthemann, Rishi Vala and Jun Yang

No 2025-20, Staff Analytical Notes from Bank of Canada

Abstract: Trading flows affect Government of Canada bond prices. Our estimates suggest a sale of 1% of the available supply of bonds typically lowers bond prices by 0.2%. From 2000 to 2025, demand from institutional investors, such as Canadian pension funds and foreign investors, explains 69% of quarterly price variation, with the remainder explained by changes in the supply of bonds.

Keywords: Asset pricing; Debt management; Econometric and statistical methods; Financial institutions; Financial markets; Financial stability; Market structure and pricing; Sectoral balance sheet (search for similar items in EconPapers)
JEL-codes: C0 C01 C3 C36 C5 C58 D5 D53 E6 E62 G1 G11 G12 G2 G23 (search for similar items in EconPapers)
Date: 2025-07
References: Add references at CitEc
Citations:

Downloads: (external link)
https://doi.org/10.34989/san-2025-20 Full text (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bca:bocsan:25-20

Access Statistics for this paper

More papers in Staff Analytical Notes from Bank of Canada 234 Wellington Street, Ottawa, Ontario, K1A 0G9, Canada. Contact information at EDIRC.
Bibliographic data for series maintained by ().