What has been putting upward pressure on CORRA?

Boran Plong and Neil Maru

No 2024-4, Staff Analytical Notes from Bank of Canada

Abstract: From the autumn of 2023 into early 2024, the Canadian Overnight Repo Rate Average (CORRA), a measure of the cost of overnight general collateral Canadian dollar repos, was consistently well above the Bank’s target for the overnight rate. We find that, among several factors, long bond positions that require repo financing are the main driver of the recent upward pressure on CORRA.

Keywords: Financial markets; Interest rates; Lender of last resort; Monetary policy implementation (search for similar items in EconPapers)
JEL-codes: D4 D5 D53 E4 E43 E44 E5 E52 G1 G12 (search for similar items in EconPapers)
Date: 2024-03
New Economics Papers: this item is included in nep-ban, nep-cba and nep-mon
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