Coarse pricing in QE auctions
研究发现美联储量化宽松拍卖中，一级交易商报价存在粗放定价现象，即报价集中在较粗的网格上，且信息成本是主要原因，对理解交易商竞争和最小报价单位的作用有启示。
This paper documents coarse pricing by the U.S. Federal Reserve’s counterparty intermediaries in quantitative easing operations. Although the Fed explicitly sets a tick size of 1/256th in its reverse auctions to purchase Treasury securities, offer prices of primary dealers exhibit strong clustering on coarser grids. Top dealers price more finely, and coarse pricing is particularly prevalent when the security characteristics indicate greater difficulty in precise pricing. I argue that this coarse pricing results from information costs associated with increasing pricing precision. The results also point to a novel role of tick size in affecting dealer competition in central bank operations. • The Federal Reserve purchases U.S. Treasury securities through reverse auctions for quantitative easing(QE). • This paper documents coarse pricing by the New York Fed’s primary dealers (PDs) in these auctions. • PDs with larger market shares engage less in coarse pricing. • Cross-sectional analysis reveals that information costs of increasing price precision drive this dealer behavior. • Policy implications are discussed.