Arbeitspapier
What explains month-end funding pressure in Canada?
The Canadian overnight repo market persistently shows signs of latent funding pressure around month-end periods. Both the overnight repo rate and Bank of Canada liquidity provision tend to rise in these windows. This paper proposes three non-mutually exclusive hypotheses to explain this phenomenon. First, month-end funding pressure may be caused by search frictions. Market participants place a premium on liquidity around month-end periods because of the confluence of a generalized liquidity preference, heightened month-end forecast uncertainty, and resultant search frictions in the repo market. Second, this funding pressure could be attributed to spillovers from the US overnight repo market. Third, month-end funding pressure might be associated with large Canadian banks' end-of-month repo adjustments. By combining market, central-bank and payments data, this paper provides evidence that the first hypothesis explains the latent funding pressure observed on the first day of the month. Using market and non-public regulatory data, this paper further argues that the second and third hypotheses are much less plausible.
- Sprache
-
Englisch
- Erschienen in
-
Series: Bank of Canada Staff Discussion Paper ; No. 2017-9
- Klassifikation
-
Wirtschaft
Demand for Money
Interest Rates: Determination, Term Structure, and Effects
Monetary Policy
Central Banks and Their Policies
Financial Aspects of Economic Integration
International Financial Markets
Information and Market Efficiency; Event Studies; Insider Trading
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
- Thema
-
Interest rates
Financial markets
Monetary policy implementation
Monetary policy framework
Transmission of monetary policy
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Sutherland, Christopher S.
- Ereignis
-
Veröffentlichung
- (wer)
-
Bank of Canada
- (wo)
-
Ottawa
- (wann)
-
2017
- DOI
-
doi:10.34989/sdp-2017-9
- Handle
- Letzte Aktualisierung
-
20.09.2024, 08:21 MESZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Sutherland, Christopher S.
- Bank of Canada
Entstanden
- 2017