Estimating the portfolio-balance effects of the Bank of Canada's government of Canada Bond Purchase Program

Saved in:

Authors and Corporations:

Díez de los Ríos, Antonio (Author)

Edition:

Last updated: October 7, 2024

Type of Resource:

E-Book

Language:

English

published:

[Ottawa] Bank of Canada [2024]

Series:

Subjects:

Asset pricing

Central bank research

Coronavirus disease (COVID-19)

Interest rates

Monetary policy

Graue Literatur

Source:

Verbunddaten SWB
Lizenzfreie Online-Ressourcen

Description
Summary:	I propose a novel dynamic portfolio-balance model of the yield curve for Government of Canada bonds to evaluate the portfolio-balance effects of the Bank of Canada's Government of Canada Bond Purchase Program. My results suggest that this program, launched on March 27, 2020, in response to the COVID-19 pandemic, lowered the weighted average maturity of the Government of Canada's debt by approximately 1.4 years. This in turn reduced Canadian 10-year and 5-year zero-coupon yields by 84 and 52 basis points, respectively.
Physical Description:	1 Online-Ressource (circa 40 Seiten); Illustrationen
DOI:	10.34989/swp-2024-34