00000nam 2200000zi 4500 9.942603 CaOODSP 20240829112910 m o d f cr mn||||||||| 240829t20242024onca ob f000 0 eng d CaOODSP eng rda CaOODSP eng eng fre n-cn--- FB3-5/2024-29E-PDF Allen, Jason, author. Entry and exit in treasury auctions / by Jason Allen, Ali Hortaçsu, Eric Richert and Milena Wittwer. [Ottawa] : Bank of Canada = Banque du Canada, 2024. ©2024 1 online resource (ii, 41, 34 pages) : illustrations (chiefly colour). text txt rdacontent computer c rdamedia online resource cr rdacarrier Staff working paper = Document de travail du personnel, 1701-9397 ; 2024-29 ISSN assigned to different series. "Last updated: July 31, 2024." Includes bibliographical references. "Many financial markets are populated by dealers, who commit to participate regularly in the market, and non-dealers, who do not commit. This market structure introduces a trade-off between competition and volatility, which we study using data on Canadian treasury auctions. We document a consistent exit trend by dealers and increasing, but irregular, participation by non-dealer hedge funds. Using a structural model, we evaluate the impact of dealer exit on hedge fund participation and its consequences for market competition and volatility. We find that hedge fund entry was partially driven by dealer exit, and that gains thanks to stronger competition associated with hedge fund entry are offset by losses due to the irregular market participation of hedge funds. We propose an issuance policy that stabilizes hedge fund participation at a sufficiently high average level and achieves revenue gains"--Abstract, page ii. Includes abstracts in English and French. Government securities Purchasing Canada Econometric models. Government securities Prices Canada Econometric models. Hedge funds Canada Econometric models. Effets publics Achat Canada Modèles économétriques. Effets publics Prix Canada Modèles économétriques. Fonds spéculatifs Canada Modèles économétriques. Bank of Canada, issuing body. Staff working paper (Bank of Canada) 2024-29. (CaOODSP)9.806221 PDF 2.61 MB https://publications.gc.ca/collections/collection_2024/banque-bank-canada/FB3-5-2024-29-eng.pdf