Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/322437 
Autor:innen: 
Erscheinungsjahr: 
2025
Schriftenreihe/Nr.: 
Bank of Canada Staff Discussion Paper No. 2025-7
Verlag: 
Bank of Canada, Ottawa
Zusammenfassung: 
This paper studies the rapid increase since 2019 of Government of Canada (GoC) debt issuance alongside greater hedge fund participation at GoC bond auctions. We find a systematic relationship between GoC debt stock and hedge fund bidding shares at auction. We attribute this to hedge funds' business models, which are based on volume and leverage. We also use bid-level auction data and find that hedge funds are more willing than other investor types to buy bonds at lower auction yields (higher auction prices). These two results i) help explain why GoC auction performance has remained steady despite greater issuance and ii) affirm the importance of hedge funds in supporting Canada's cost-effective debt distribution in recent years. In addition, we conduct a counterfactual analysis of the exit of hedge funds from auction, which further affirms the importance of hedge funds to GoC auction performance. However, the concentration of hedge funds represents a potential vulnerability because hedge funds have a greater flight risk relative to domestic real money investors and thus contribute to a potentially less stable investor base.
Schlagwörter: 
Debt management
Financial markets
Financial institutions
Financial stability
JEL: 
D44
G
G12
G2
G23
H63
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper
Erscheint in der Sammlung:

Datei(en):
Datei
Größe
993.65 kB





Publikationen in EconStor sind urheberrechtlich geschützt.