| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP17095 |
| DP17095 Price elasticity of demand and risk-bearing capacity in sovereign bond auctions | |
| Rui Albuquerque; José Costa; Jose Faias | |
| 发表日期 | 2022-03-13 |
| 出版年 | 2022 |
| 语种 | 英语 |
| 摘要 | The paper uses data on bids submitted by primary dealer banks at auctions of sovereign debt to quantify the price elasticity of demand. The price elasticity of demand correlates strongly with the volatility of returns of the same bonds traded in the secondary market but only weakly with their bid-ask spread, a standard measure of market liquidity. The price elasticity of demand predicts the post-auction return of the same bonds in the secondary market at various horizons. The evidence suggests that the price elasticity of demand is associated with the magnitude of price pressure in the secondary market around auction days, and proxies for dealer risk-bearing capacity. |
| 主题 | Financial Economics |
| 关键词 | Demand elasticity Risk-bearing capacity Price pressure Market liquidity Sovereign bond auctions Supply shocks Primary dealers Covid-19 |
| URL | https://cepr.org/publications/dp17095-0 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/546078 |
| 推荐引用方式 GB/T 7714 | Rui Albuquerque,José Costa,Jose Faias. DP17095 Price elasticity of demand and risk-bearing capacity in sovereign bond auctions. 2022. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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