Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/297081 
Autor:innen: 
Erscheinungsjahr: 
2023
Schriftenreihe/Nr.: 
Bank of Canada Staff Discussion Paper No. 2023-12
Verlag: 
Bank of Canada, Ottawa
Zusammenfassung: 
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.
Schlagwörter: 
Debt management
Interest rates
JEL: 
G12
D44
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper
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