Enenajor, Emanuella; Sebastian, Alex; Witmer, Jonathan - Bank of Canada - 2010
This paper empirically assesses the effectiveness of the Bank of Canada's term Purchase and Resale Agreement (PRA …) facility in reducing short-term bank funding pressures, as measured by the CDOR-OIS spread. It examines the behaviour of this … risk. Overall, there is robust evidence that the term PRA announcements reduced bank funding costs at both 1-month and 3 …