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

Author

Listed:
  • Rohan Arora
  • Sermin Gungor
  • Kaetlynd McRae
  • Jonathan Witmer

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.

Suggested Citation

  • Rohan Arora & Sermin Gungor & Kaetlynd McRae & Jonathan Witmer, 2020. "Announcing the Bankers’ Acceptance Purchase Facility: a COVID‑19 event study," Staff Analytical Notes 2020-23, Bank of Canada.
    • Handle: RePEc:bca:bocsan:20-23
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    File URL: https://www.bankofcanada.ca/2020/10/staff-analytical-note-2020-23/
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    Cited by:

    1. Jean-Sébastien Fontaine & Corey Garriott & Jesse Johal & Jessica Lee & Andreas Uthemann, 2021. "COVID-19 Crisis: Lessons Learned for Future Policy Research," Discussion Papers 2021-2, Bank of Canada.
    2. Yang Zhang & Lena Suchanek & Jonathan Swarbrick & Joel Wagner & Tudor Schlanger, 2021. "Sequencing Extended Monetary Policies at the Effective Lower Bound," Discussion Papers 2021-10, Bank of Canada.
    3. Grahame Johnson & Sharon Kozicki & Romanos Priftis & Lena Suchanek & Jonathan Witmer & Jing Yang, 2020. "Implementation and Effectiveness of Extended Monetary Policy Tools: Lessons from the Literature," Discussion Papers 2020-16, Bank of Canada.
    4. Joshua Fernandes & Michael Mueller, 2023. "A Review of the Bank of Canada’s Support of Key Financial Markets During the COVID-19 Crisis," Discussion Papers 2023-9, Bank of Canada.

    More about this item

    Keywords

    Financial markets; Financial stability;

    JEL classification:

    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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