Research Discussion Paper – RDP 2024-03 Demand in the Repo Market: Indirect Perspectives from Open Market Operations from 2006 to 2020

Contents

• Introduction
• Open Market Operations
• Estimating the Demand Curve in Open Market Operations
• Application to Reserve Bank Open Market Operations Data
• Elasticity of Demand and What It Can Tell Us
• Conclusion
• Appendix A: Demand, Marginal Valuation and the Cumulative Bid Function
• Appendix B: Estimation of Demand Elasticity
• Appendix C: Glossary of Technical Terms
• References

Participants in a seminar at the Reserve Bank of Australia, as well as Sean Dowling and Richard Finlay (both RBA) and Michael Callaghan and Kate Le Quesne (both RBNZ), provided helpful comments. Most of this work was completed while the authors were working on monetary policy implementation, liquidity and portfolio management in the Domestic Markets Department. The views expressed in this paper are those of the authors and not necessarily those of the Reserve Bank of Australia. Any errors are our own.