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Estimating Demand Systems with Bidding Data / Jason Allen, Jakub Kastl, Milena Wittwer.
- Format:
- Book
- Author/Creator:
- Allen, Jason.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w34774.
- NBER working paper series no. w34774
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2026.
- Summary:
- We introduce a framework for estimating demand systems across multiple assets using bidding data, such as price-quantity limit orders. Our approach does not require price instruments, which are difficult to obtain, and allows for fully flexible substitution patterns without imposing logit-style restrictions. We establish identification for both price-taking and strategic investors, describe the data requirements for implementation, and illustrate the framework using data from Canadian Treasury bill auctions. We find that dealer demand is elastic and that bills of different maturities act as weak substitutes. We demonstrate how recovering demand allows policymakers to isolate cross-asset spillovers from strategic bid shading.
- Notes:
- January 2026.
- Print version record
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