Announcing the Bankers’ Acceptance Purchase Facility: a COVID‑19 event study

Rohan Arora (), Sermin Gungor, Kaetlynd McRae and Jonathan Witmer

No 2020-23, Staff Analytical Notes from Bank of Canada

Abstract: The Bank of Canada launched the Bankers’ Acceptance Purchase Facility (BAPF) to ensure that the bankers’ acceptance (BA) market could continue to function well during the financial crisis induced by the COVID19 pandemic. We review the impact that the announcement of this facility had on BA yields in the secondary market. We find that BA yield spreads declined by 15 basis points on the day of the announcement and by up to 70 basis points over a longer period. Using an econometric framework, we quantify the effect of the announcement and confirm early assertions presented in the Bank’s 2020 Financial System Review.

Keywords: Financial markets; Financial stability (search for similar items in EconPapers)
JEL-codes: G23 (search for similar items in EconPapers)
Date: 2020-10
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