Auction Timing Under Limited Information: Evidence from Sovereign Bond Auctions

Staff analytical paper 2026-51 (English) Jeffrey Gao, Adam Epp October 2026 Available as: PDF

This paper examines how auction timing may affect sovereign issuance outcomes through its interaction with market volatility. Using Canada as a case study, it shows that: (1) higher same-day bond market volatility is associated with larger auction tails, indicating weaker demand conditions; and (2) monetary policy announcements and certain macroeconomic data releases are systematically associated with higher same-day volatility. Together, these findings identify one observable channel linking information available at the schedule-setting horizon to auction outcomes. Within issuance frameworks that prioritize market predictability and operate under limited information sets, the results suggest that auction timing may influence outcomes at the margin.

Content Type(s): Staff research, Staff analytical paper JEL Code(s): D, D4, D44, E, E4, E43, G, G1, G12, G14, H, H6, H63 Research Theme(s): Financial markets and funds management, Funds management, Market functioning

DOI: https://doi.org/10.34989/sap-2026-51