Auction Timing Under Limited Information: Evidence from Sovereign Bond Auctions

Abstract

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.