Evaluating the portfolio balance effects of the Government of Canada Bond Purchase Program on the Canadian yield curve

Antonio Diez de los Rios

No 2024-22, Staff Analytical Notes from Bank of Canada

Abstract: The Bank of Canada’s Government of Canada Bond Purchase Program, launched 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.

Keywords: Asset pricing; Central bank research; Coronavirus disease (COVID-19); Interest rates; Monetary policy (search for similar items in EconPapers)
JEL-codes: E4 E43 E5 E52 G1 G12 H6 H63 (search for similar items in EconPapers)
Date: 2024-10
New Economics Papers: this item is included in nep-ban, nep-cba and nep-mon
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