Entry and Exit in Treasury Auctions

The views presented are those of the authors, not necessarily of the Bank of Canada. All errors are our own. We thank Walter Muiruri for excellent research assistance. We are especially grateful to Philippe Besnier, Mark de Guzman, Faizan Maqsood, Chris Reid, Jabir Sandhu, Matthieu Truno, and Rishi Vala for sharing their expertise on Canadian Treasuries. In addition, we thank Pietro Bonaldi, Chris Conlon, Burton Hollifield, Jean-Francois Houde, Rustam Jamilov, Jay Kahn, Dmitry Livdan, Ioanid Rosu, and Kerry Siani for insightful discussions; Daniel Barth, Paulo Somaini, and all participants at seminars at the Bank of Canada, Berkeley, Boston College, Boston University, Carnegie Mellon University/University of Pittsburgh, University of Chicago, Columbia, Duke Fuqua, the Federal Reserve Bank of New York and the Federal Reserve Board, Frankfurt School of Finance and Management, Harvard Business School, Institute of Finance at USI Lugano, Microsoft Research in New England, UBC, University of Wisconsin, University of Pennsylvania, Princeton, Washington University in St. Louis, Yale, as well as the Central Bank Conference on the Microstructure of Financial Markets, Econometric Society DSE, Econometric Society NASM, EARIE, EFA, IIOC, ITAM, NBER Market Design, SITE Market Design, SEA, WFA, and the David K. Levine conference at SAET. We thank Glenna Jenkins for detailed editorial assistance. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.