Estimating Demand Systems with Bidding Data

Jason Allen, Jakub Kastl and Milena Wittwer

No 34774, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: We introduce a framework for estimating demand across multiple assets with bidding data. Unlike existing methods, our approach does not rely on price instruments, which are often difficult to obtain. We describe the data requirements for implementation and illustrate its versatility using two applications: message-level data from Nasdaq and bidder-level data from Canadian Treasury bill auctions. We argue that understanding demand systems is a crucial factor in assessing the impact of market design on price stability and liquidity.

JEL-codes: C14 D44 E58 G10 G12 (search for similar items in EconPapers)
Date: 2026-01
Note: AP IO
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