Margin regulation raises two policy concerns. First, an alignment of margins to volatility can amplify procyclicality … following volatility spikes but does not immediately lower margins following volatility declines, implying that margin …

The Federal Reserve (Fed) uses a unique auction mechanism to purchase U.S. Treasury securities in implementing its … transaction prices and quantities of each traded bond in each auction, as well as dealers' identities. We find that: (1) In QE … toward more liquid bonds; (2) The auction costs are low on average: the Fed pays around 0.7 cents per $100 par value above …

volatility risk. While pointing out the joint pricing kernel is not identified nonparametrically, we propose model-free estimates … of marginal pricing kernels of the market return and volatility conditional on the VIX. We find that the pricing kernel … present a U-shape. Hence, stochastic volatility is the key state variable responsible for the U-shape puzzle documented in the …

stochastic volatility. The solution is useful in allowing comparisons among numerical methods used to approximate the non …

We estimate a reduced-form model of credit risk that incorporates stochastic volatility in default intensity via … stochastic time-change. Our Bayesian MCMC estimation method overcomes nonlinearity in the measurement equation and state …-dependent volatility in the state equation. We implement on firm-level time-series of CDS spreads, and find strong in-sample evidence of …