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. (JEL G12, G20, G24)

中文翻译：

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主权债券拍卖中的需求价格弹性和风险承受能力


本文使用一级交易商银行在主权债券拍卖中提交的投标来量化需求的价格弹性。需求的价格弹性与二级市场上交易的相同债券的回报波动性密切相关，但与买卖价差的相关性较弱。即使在控制了拍卖前的波动性之后，它也预测了二级市场上相同债券的拍卖后回报。有证据表明，需求的价格弹性与拍卖日前后二级市场的价格压力大小以及一级交易商风险承受能力相关。 (JEL G12、G20、G24)