Estimating Demand Systems with Bidding Data

The presented views are those of the authors, not necessarily of the Bank of Canada or the National Bureau of Economic Research. All errors are our own. We thank the Treasury, auctions and settlement systems team and the debt-management team at the Bank of Canada for critical insights into debt management and auction operations. We thank Manav Chaudhary and Annette Vissing-Jorgensen for thoughtful discussions. We also thank Nikhil Agarwal, Rui Albuquerque, Nina Boyarchenko, Giulia Brancaccio, Markus Brunnermeier, Jens Christensen, Bjorn Eraker, Jeremy Fox, Matthew Gentry, Alessandro Gavazza, Pierre-Olivier Pineau, Eric Richert, Marzena Rostek, Paulo Somaini, Andreas Uthemann, Philippe van der Beck, Ji Hee Yoon, and Yu Zhu, as well as seminar/ conference participants at the Bank of Canada, Boston College, Chicago Booth, Columbia, EUI, Kellogg, London Business School, Princeton, Penn, Stanford, Queen’s University; EARIE 2018/2022, ECB workshop on money markets and central bank balance sheets 2018, EEA 2022, EWM 2021, Joint Bank of Canada- John Deutsch Institute Workshop on Financial Intermediation and Regulation 2018, MIT DSE conference 2022, CEPR Asset Pricing Meeting Gerzensee 2024, Conference on Asset Demand Systems 2026.

• January 27, 2026