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 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.

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