主题：QE Auctions of Treasury Bonds（美国国库券的QE拍卖）
主讲人：宋兆刚，经济学家，美国联邦储备委员会货币与金融市场分析部
日期：2014年5月28日（周三）
时间：下午1:00-2:30
地点：德州扑克大小
金融德州扑克大小
4号楼101教室
语言：英文
摘要：
The Federal Reserve (Fed) uses a unique auction mechanism to purchase U.S. Treasury securities in implementing its quantitative easing (QE) policy. In this paper, we study the outcomes of QE auctions and participating dealers’ strategic behaviors from November 2010 to September 2011, during which the Fed purchased $780 billion Treasury securities. Our data include the transaction prices and quantities of each traded bond in each auction, as well as dealers’ identities. We find that: (1) In QE auctions the Fed tends to exclude bonds that are liquid and on special, but among included bonds, purchase volumes gravitate toward more liquid bonds; (2) The Fed pays around 0.7 cents per $100 par value above the secondary market ask price on auction dates; (3) The heterogeneity of Fed’s costs across bonds relates to their liquidity and specialness, suggesting that dealers strategically respond both to valuation and information uncertainty; (4) Dealers exhibit strong heterogeneity in their participation, trading volumes, and profits in QE auctions; (5) Auction bidding variables forecast bond returns only one day after the auction, suggesting that dealers’ information advantage decays quickly.
主讲人简介:
Zhaogang Song is Economist in Monetary and Financial Market Analysis Section of Federal Reserve Board. Zhaogang Song received his Ph.D. in Economics from Cornell University in 2011. His fields of concentration are asset pricing, over-the-counter market structure and trading, financial econometrics. He has several papers published on Journal of Econometrics. His working paper“Rare Disaster Concerns Everywhere” won 2013 GARP Research Award (Global Association of Risk Professionals).
