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008261019e20261016onc     ob   f|0| 0 eng d
040 |aCaOODSP|beng|erda|cCaOODSP
043 |an-cn---
0861 |aFB3-8/2026-51E-PDF
1001 |aGao, Jeffrey, |eauthor.
24510|aAuction timing under limited information : |bevidence from sovereign bond auctions / |cJeffrey Gao [and] Adam Epp.
264 1|a[Ottawa] : |bBank of Canada = Banque du Canada, |cOctober 16, 2026.
264 4|c©2026
300 |a1 online resource (ii, 13 pages).
336 |atext|btxt|2rdacontent
337 |acomputer|bc|2rdamedia
338 |aonline resource|bcr|2rdacarrier
4901 |aStaff analytical paper = |aDocument analytique du personnel, |x3110-9195 ; |v2026-51
500 |aCover title.
504 |aIncludes bibliographical references.
520 |a"This paper examines how auction timing may affect sovereign issuance outcomes through its interaction with market volatility. Using Canada as a case study, it shows that: (1) higher same-day bond market volatility is associated with larger auction tails, indicating weaker demand conditions; and (2) monetary policy announcements and certain macroeconomic data releases are systematically associated with higher sameday volatility. Together, these findings identify one observable channel linking information available at the schedule-setting horizon to auction outcomes. Within issuance frameworks that prioritize market predictability and operate under limited information sets, the results suggest that auction timing may influence outcomes at the margin"--Abstract, page ii.
650 0|aGovernment securities|zCanada|xEconometric models.
650 0|aBond market|xEconometric models.
650 6|aEffets publics|zCanada|xModèles économétriques.
650 6|aMarché obligataire|xModèles économétriques.
7102 |aBank of Canada, |eissuing body.
830#0|aStaff analytical paper (Bank of Canada)|x3110-9195 ; |v2026-51.|w(CaOODSP)9.958938
85640|qPDF|s433 KB|uhttps://publications.gc.ca/collections/collection_2026/banque-bank-canada/FB3-8-2026-51-eng.pdf