Does the Federal Reserve Obtain Competitive and Appropriate Prices in Monetary Policy Implementation?

• 成果类型: Article
• 署名作者: An, Yu; Song, Zhaogang
• 署名单位: Johns Hopkins University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhad032
• 发表日期: 2023
• 页码: 4113
• 关键词: GOVERNMENT INTERVENTION; BIDDING STRATEGIES; auctions; MARKET; INFORMATION; liquidity; mechanism; networks; BEHAVIOR; CRISIS

摘要

Many of the Federal Reserve's (the Fed's) monetary policy operations involve trading with primary dealers. We find that, for agency MBS, dealers charge 2.5 cents (per $100 face value) higher selling to the Fed than to non-Fed customers. Controlling for the same dealer, same security, and same trading time, this discriminatory pricing likely arises from dealers' market power rather than inventory costs. Further, matching trade size reduces the price differential by more than half, implying that dealers' market power greatly relates to the Fed's purchases in large amounts, whereas the Fed's limited breadth of counterparty choice also plays some role.