Does the Federal Reserve Obtain Competitive and Appropriate Prices in Monetary Policy Implementation?
研究发现，在机构MBS交易中，交易商向美联储收取的价格比非美联储客户高出每100美元面值2.5美分，这种歧视性定价主要源于交易商的市场力量，而非库存成本。
Abstract 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.