Investigating the Impact of COVID-19 Outbreak On Canada’S Government Treasury Bills

Abstract

SARS-Cov-2 was first recorded in Wuhan, a town in the Hubei Province of China with a population of 11 million in December 2019, following a clear-cut outbreak of non-pneumonia. More than 200 countries and territories have now spread the virus around the globe, and the World Health Organization (WHO) identified it as a pandemic on 11 March 2020. On the economic front, COVID-19 contributed to a partial or absolute lockout in more than 200 nations.This has undermined the global supply chain and has contributed to a major decline in both economic growth and the values of financial assets. Canada is one of the countries afflicted by the outbreak with 731 000 cases and 18 622 deaths as of 21 January 2020. Vaccines have recently been created, but the surge of infection continues to escalate every day. On the socio-economic front, COVID-19 led more than 200 countries to a partial or absolute lockdown, interrupted global supply chains and led to a collapse in both economic growth and financial asset prices.The impact of COVID-19 is unclear because the public health crisis is still unfolding. There is limited amount of studies concerning this topic, because the crisis is still unfolding. The objective of this study is to investigate the impact of COVID-19 on Canada’s Treasury Bills. The author uses extreme bound analysis for market interpretation and sourced data from Bank of Canada and Our World in Data COVID-19, from January 1 to December 31 2020. The result of the study show that, Stringency Index have an impact on Canada’s 6-month Treasury bill auction average yield (V80691304) because of the robust relationship between them. Furthermore, 3 months Treasury bill auction average yields (V80691303) has positive correlation with 6months Treasury bill auction average yields (V80691304), 1-year Treasury bills auction average yields (V80691305), 3 months Treasury bills (V80691344), 6 months Treasury bills (V80691345), 1 year Treasury bills (V80691346) and a negative correlation with Government Stringency index (SI). Furthermore, 6months Treasury bill auction average yields (V80691304) has positive correlation with 3 months Treasury bill auction average yields (V80691303), 1-year Treasury bills auction average yields (V80691305), 1 month Treasury bills (V80691342), 3 months Treasury bills (V80691344), 6 months Treasury bills (V80691345), 1 year Treasury bills (V80691346) and a negative correlation with Government Stringency index (SI). Again, 1-year Treasury bills auction average yields (V80691305) has positive correlation with 3 months Treasury bill auction average yields (V80691303), 6months Treasury bill auction average yields (V80691304), 1 month Treasury bills (V80691342), 3 months Treasury bills (V80691344), 6 months Treasury bills (V80691345), 1 year Treasury bills (V80691346) and a negative correlation with Government Stringency index (SI).