Price elasticity of demand and risk-bearing capacity in sovereign bond auctions
利用一级交易商银行在主权债券拍卖中的投标数据，量化了需求价格弹性，发现其与二级市场回报波动性高度相关，并能预测拍卖后的回报，表明其反映了交易商的风险承受能力。
Abstract The paper uses bids submitted by primary dealer banks at auctions of sovereign bonds 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. It predicts same-bond post-auction returns in the secondary market, even after controlling for pre-auction volatility. 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 primary dealer risk-bearing capacity.