00000nam 2200000zi 4500 9.927387 CaOODSP 20230918101128 m o d f cr |n||||||||| 230918t20232023oncd ob f|0| 0 eng d CaOODSP eng rda CaOODSP eng eng n-cn--- FB3-6/2023-12E-PDF Chang, Bo-Young, author. Estimating the slope of the demand function at auctions for Government of Canada bonds / by Bo Young Chang. Ottawa, Ontario, Canada : Bank of Canada = Banque du Canada, 2023. ©2023 1 online resource (ii, 18 pages) : charts. text txt rdacontent computer c rdamedia online resource cr rdacarrier Staff discussion paper = Document d'analyse du personnel, 1914-0568 ; 2023-12 "Last updated: June 26, 2023." Includes bibliographical references. "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. Includes abstract in French. Government securities Canada Econometric models. Effets publics Canada Modèles économétriques. Bank of Canada, issuing body. Staff discussion paper (Bank of Canada) 2023-12. (CaOODSP)9.806273 PDF 915 KB https://publications.gc.ca/collections/collection_2023/banque-bank-canada/FB3-6-2023-12-eng.pdf