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Estimating the portfolio-balance effects of the Bank of Canada’s Government of Canada Bond Purchase Program / by Antonio Diez de los Rios.: FB3-5/2024-34E-PDF

"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"--Abstract, page ii.

Permanent link to this Catalogue record:
publications.gc.ca/pub?id=9.950028&sl=0

Publication information
Department/Agency
  • Bank of Canada, issuing body.
TitleEstimating the portfolio-balance effects of the Bank of Canada’s Government of Canada Bond Purchase Program / by Antonio Diez de los Rios.
Series title
  • Staff working paper = Document de travail du personnel, 1701-9397 ; 2024-34
Publication typeMonograph - View Master Record
Language[English]
FormatDigital text
Electronic document
Note(s)
  • ISSN assigned to different series.
  • "Last updated: October 7, 2024."
  • Includes bibliographical references (pages 26-29).
  • Includes abstract in French.
Publishing information
  • [Ottawa] : Bank of Canada = Banque du Canada, 2024.
  • ©2024
Author / Contributor
  • Diez de los Rios, Antonio, author.
Description1 online resource (ii, 34 pages, 3 unnumbered pages) : graphs.
Catalogue number
  • FB3-5/2024-34E-PDF
Subject terms
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