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