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Evaluating the portfolio balance effects of the Government of Canada Bond Purchase Program on the Canadian yield curve

Author

Listed:
  • Antonio Diez de los Rios

Abstract

The Bank of Canada’s Government of Canada Bond Purchase Program, launched 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.

Suggested Citation

  • Antonio Diez de los Rios, 2024. "Evaluating the portfolio balance effects of the Government of Canada Bond Purchase Program on the Canadian yield curve," Staff Analytical Notes 2024-22, Bank of Canada.
    • Handle: RePEc:bca:bocsan:24-22
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    File URL: https://www.bankofcanada.ca/2024/10/staff-analytical-note-2024-22/
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    More about this item

    Keywords

    Asset pricing; Central bank research; Coronavirus disease (COVID-19); Interest rates; Monetary policy;
    All these keywords.

    JEL classification:

    • E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • G1 - Financial Economics - - General Financial Markets
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • H6 - Public Economics - - National Budget, Deficit, and Debt
    • H63 - Public Economics - - National Budget, Deficit, and Debt - - - Debt; Debt Management; Sovereign Debt

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