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 |
|
|---|---|
| Title | Estimating the slope of the demand function at auctions for Government of Canada bonds / by Bo Young Chang. |
| Series title |
|
| Publication type | Monograph - View Master Record |
| Language | [English] |
| Format | Digital text |
| Electronic document | |
| Note(s) |
|
| Publishing information |
|
| Author / Contributor |
|
| Description | 1 online resource (ii, 18 pages) : charts. |
| Catalogue number |
|
| Subject terms |
Request alternate formats
To request an alternate format of a publication, complete the Government of Canada Publications email form. Use the form’s “question or comment” field to specify the requested publication.Page details
- Date modified: