Dealer balance sheets and bidding behavior in the Bank of England's QE reverse auctions

• 成果类型: Article
• 署名作者: Boneva, Lena; Kastl, Jakub; Zikes, Filip
• 署名单位: Swiss National Bank (SNB); Princeton University; Federal Reserve System - USA; Federal Reserve System Board of Governors; Centre for Economic Policy Research - UK; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2025.104182
• 发表日期: 2025-12
• 页码: 104182
• 关键词: Quantitative easing; reverse auctions; Dealer balance sheets; structural estimation; divisible good auctions; MARKET; liquidity; RISK; transactions

摘要

We study dealers' bidding behavior in the Bank of England's quantitative easing (QE) reverse auctions. Using a granular dataset on both accepted and rejected offers together with an equilibrium model of bidding behavior, we estimate dealers' valuations of securities offered to the Bank of England. We also recover the rents accruing to dealers from participating in the auctions as opposed to liquidating gilts in the secondary market, thereby possibly causing prices to change. These rents or so-called liquidity benefits are largest in the early phases of QE implemented during the Global Financial Crisis, suggesting that QE may be particularly effective in restoring smooth market functioning when market participants are facing large liquidity shocks. Finally, we document that dealers' valuations vary significantly with the amount of interest rate risk acquired in the secondary gilt market before the auction and with dealers' regulatory capital.