000	02178nam  2200361zi 4500
001	9.927387
003	CaOODSP
005	20230918101128
006	m     o  d f
007	cr |n|||||||||
008	230918t20232023oncd    ob   f|0| 0 eng d
040	|aCaOODSP|beng|erda|cCaOODSP
041	|aeng|beng
043	|an-cn---
086	1 |aFB3-6/2023-12E-PDF
100	1 |aChang, Bo-Young, |eauthor.
245	10|aEstimating the slope of the demand function at auctions for Government of Canada bonds / |cby Bo Young Chang.
264	1|aOttawa, Ontario, Canada : |bBank of Canada = Banque du Canada, |c2023.
264	4|c©2023
300	|a1 online resource (ii, 18 pages) : |bcharts.
336	|atext|btxt|2rdacontent
337	|acomputer|bc|2rdamedia
338	|aonline resource|bcr|2rdacarrier
490	1 |aStaff discussion paper = |aDocument d'analyse du personnel, |x1914-0568 ; |v2023-12
500	|a"Last updated: June 26, 2023."
504	|aIncludes bibliographical references.
520	|a"We use detailed data on the bids at auctions for Government of Canada bonds between 1999 and 2021 to gauge the yield sensitivity of these bonds to the issuance amount. We propose a new metric that captures the slope of the demand function at each auction by using the information in the multiple bids (quantity and yield) that each bidder submits. In the absence of an established theoretical framework, we estimate the slope of the aggregate demand function simply by weighing the slopes of the individual demand functions, where the weights are the maximum bids of each participant. We show that these slopes can provide insights into the relationship between the supply and yield of a government debt security"--Abstract.
546	|aIncludes abstract in French.
650	0|aGovernment securities|zCanada|xEconometric models.
650	6|aEffets publics|zCanada|xModèles économétriques.
710	2 |aBank of Canada, |eissuing body.
830	#0|aStaff discussion paper (Bank of Canada)|v2023-12.|w(CaOODSP)9.806273
856	40|qPDF|s915 KB|uhttps://publications.gc.ca/collections/collection_2023/banque-bank-canada/FB3-6-2023-12-eng.pdf