Auction timing under limited information : evidence from sovereign bond auctions / Jeffrey Gao [and] Adam Epp. : FB3-8/2026-51E-PDF
"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.
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| Titre | Auction timing under limited information : evidence from sovereign bond auctions / Jeffrey Gao [and] Adam Epp. |
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| Type de publication | Monographie - Voir l'enregistrement principal |
| Langue | [Anglais] |
| Format | Texte numérique |
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| Description | 1 online resource (ii, 13 pages). |
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