Estimating the Portfolio-Balance Effects of the Bank of Canada’s Government of Canada Bond Purchase Program

Antonio Diez de los Rios

Staff Working Papers from Bank of Canada

Abstract: 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

Keywords: Asset pricing; Central bank research; Coronavirus disease (COVID-19); Interest rates; Monetary policy (search for similar items in EconPapers)
JEL-codes: E43 E52 G12 H63 (search for similar items in EconPapers)
Pages: 40 pages
Date: 2024-10
New Economics Papers: this item is included in nep-ban, nep-cba and nep-mon
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Persistent link: https://EconPapers.repec.org/RePEc:bca:bocawp:24-34

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