Arbeitspapier

What drives episodes of settlement fails in the government of Canada bond market?

We study settlement fails for trades in the Government of Canada bond market. We find that settlement fails do not occur independently. Using a novel and comprehensive dataset, we examine three drivers of fails. First, we find that fails are more likely following the release of surprise macroeconomic news. Second, settlement fails are more likely for bonds with greater trading activity in the borrowing market. These findings suggest that the recirculation of bonds through long settlement chains is important for understanding fails. Third, fails are more likely when interest rates are low and when the cost for borrowing a bond is high, which is likely because of frictions acting as constraints on the price to borrow a bond. Together, the evidence suggests that improvements to the price mechanism in the borrowing market could improve the recirculation of scarce bonds and may improve the functioning of the bond market.

Sprache
Englisch

Erschienen in
Series: Bank of Canada Staff Working Paper ; No. 2017-54

Klassifikation
Wirtschaft
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
Thema
Financial markets
Market structure and pricing
Payment clearing and settlement systems

Ereignis
Geistige Schöpfung
(wer)
Fontaine, Jean-Sébastien
Pinnington, James
Walton, Adrian
Ereignis
Veröffentlichung
(wer)
Bank of Canada
(wo)
Ottawa
(wann)
2017

DOI
doi:10.34989/swp-2017-54
Handle
Letzte Aktualisierung
10.03.2025, 11:43 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Fontaine, Jean-Sébastien
  • Pinnington, James
  • Walton, Adrian
  • Bank of Canada

Entstanden

  • 2017

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