Estimating the slope of the demand function at auctions for Government of Canada bonds / by Bo Young Chang.: FB3-6/2023-12E-PDF
"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.
Permanent link to this Catalogue record:
publications.gc.ca/pub?id=9.927387&sl=0
| Department/Agency | Bank of Canada, issuing body. |
|---|---|
| Title | Estimating the slope of the demand function at auctions for Government of Canada bonds / by Bo Young Chang. |
| Series title | Staff discussion paper = Document d'analyse du personnel, 1914-0568 ; 2023-12 |
| Publication type | Series - View Master Record |
| Language | [English] |
| Format | Electronic |
| Electronic document | |
| Note(s) | "Last updated: June 26, 2023." Includes bibliographical references. Includes abstract in French. |
| Publishing information | Ottawa, Ontario, Canada : Bank of Canada = Banque du Canada, 2023. ©2023 |
| Author / Contributor | Chang, Bo-Young, author. |
| Description | 1 online resource (ii, 18 pages) : charts. |
| Catalogue number |
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| Subject terms | Government securities -- Canada -- Econometric models. Effets publics -- Canada -- Modèles économétriques. |
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