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008	260923e20260918oncd    ob   f|0| 0 eng d
040	|aCaOODSP|beng|erda|cCaOODSP
043	|an-cn---
086	1 |aFB3-5/2026-33E-PDF
100	1 |aDiez de los Rios, Antonio, |eauthor.
245	12|aA new approach to estimating portfolio-balance models of the yield curve / |cAntonio Diez de los Rios.
264	1|a[Ottawa] : |bBank of Canada = Banque du Canada, |cSeptember 18, 2026.
264	4|c©2026
300	|a1 online resource (106 pages) : |bcharts.
336	|atext|btxt|2rdacontent
337	|acomputer|bc|2rdamedia
338	|aonline resource|bcr|2rdacarrier
490	1 |aStaff working paper = Document de travail du personnel, |y1701-9397 ; |v2026-33
500	|aISSN assigned to different series.
504	|aIncludes bibliographical references.
520	|a"We show that the parameters of a broad class of portfolio-balance models can be recovered from estimates of Gaussian dynamic term structure models (GDTSMs) using a two-step estimator that bypasses the fixed-point problem that characterizes portfolio-balance models. Specifically, we develop a novel canonical representation of bond supply in terms of factor-mimicking portfolios, whose returns replicate the structural shocks to the pricing factors. We identify these structural shocks by assuming that each shock corresponds to a distinct, mutually exclusive dimension of bond-supply variation. Using U.S. Treasury yields and macroeconomic data, we show the recovered shocks admit interpretations as hedging-risk-premium, risk-bearing-capacity, and monetary policy shocks"--Abstract.
650	0|aPortfolio management.
650	6|aGestion de portefeuille.
710	2 |aBank of Canada, |eissuing body.
830	#0|aStaff working paper (Bank of Canada)|v2026-33.|w(CaOODSP)9.806221
856	40|qPDF|s986 KB|uhttps://publications.gc.ca/collections/collection_2026/banque-bank-canada/FB3-5-2026-33-eng.pdf