An assessment of the Bank of Canada's term PRA facility

Emanuella Enenajor, Alex Sebastian and Jonathan Witmer

The North American Journal of Economics and Finance, 2012, vol. 23, issue 1, 123-143

Abstract: This paper empirically assesses the effectiveness of the Bank of Canada's term Purchase and Resale Agreement (PRA) facility in reducing funding pressures, as measured by the CDOR-OIS spread. It examines the behaviour of this spread around both term PRA announcement dates and term PRA operation dates, using an event-study methodology to control for developments in other money markets as well as proxies for Canadian banking sector credit risk. Overall, there is robust evidence that the term PRA announcements reduced bank funding costs at both 1-month and 3-month terms, whereas we find no evidence of an impact from term PRA operations.

Keywords: Central bank liquidity facilities; Interbank spreads (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1062940811000635
Full text for ScienceDirect subscribers only

Related works:
Working Paper: An Assessment of the Bank of Canada's Term PRA Facility (2010)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:23:y:2012:i:1:p:123-143

DOI: 10.1016/j.najef.2011.11.005

Access Statistics for this article

The North American Journal of Economics and Finance is currently edited by Hamid Beladi

More articles in The North American Journal of Economics and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().