Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/306696 
Year of Publication: 
2024
Series/Report no.: 
Bank of Canada Staff Working Paper No. 2024-34
Publisher: 
Bank of Canada, Ottawa
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.
Subjects: 
Asset pricing
Central bank research
Coronavirus disease (COVID-19)
Interest rates
Monetary policy
JEL: 
E43
E52
G12
H63
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.