What Explains Month-End Funding Pressure in Canada?

Christopher Sutherland
Historically, the Canadian overnight repo market persistently showed signs of funding pressure around month-end periods. Both the overnight repo rate and the Bank of Canada liquidity provision tend to rise in these windows. This paper proposes three 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...
This data repository is not currently reporting usage information. For information on how your repository can submit usage information, please see our documentation.