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

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Bibliographic Details
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:	Bank of Canada: Staff working paper ; 2024, 34
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