We assess the quantitative implications of collateral re-use on leverage, volatility, and welfare within an infinite … used to back more transactions. Re-use thus contributes to the buildup of leverage and significantly increases volatility … in financial markets. When introducing limits on re-use, we find that volatility is strictly decreasing as these limits …

We assess the quantitative implications of collateral re-use on leverage, volatility, and welfare within an infinite … used to back more transactions. Re-use thus contributes to the buildup of leverage and significantly increases volatility … in financial markets. When introducing limits on re-use, we find that volatility is strictly decreasing as these limits …

In this paper we examine the quantitative effects of margin regulation on volatility in asset markets. We consider a … of collateral constraints leads to strong excess volatility. Thus, a regulation of margin requirements may have … in the regulation of one class of assets may have only small effects on these assets' return volatility if investors have …

aggregate output across industrial sectors which minimize the economy’s long-term volatility for a given level of long …

The VIX, the stock market option-based implied volatility, strongly co-moves with measures of the monetary policy … stance. When decomposing the VIX into two components, a proxy for risk aversion and expected stock market volatility …

in our sample is affected by global risk aversion, regional contagion, the level of international reserves, foreign …

This paper presents time-varying contagion indices of credit risk spillover and feedback between 64 financials and …-identification of contagion between financials’ true credit risk and sovereign credit risk is avoided 1) by controlling for common … contagion and feedback. The institutions identified as most central to the network during those episodes are known to have …

the tools of network analysis it is possible to study how contagion spreads between banks and what is the probability and … impact on contagion probability than real shocks that, however, are long lasting. Additionally I find that monetary policy …

In this paper we examine the quantitative effects of margin regulation on volatility in asset markets. We consider a … of collateral constraints leads to strong excess volatility. Thus, a regulation of margin requirements may have … in the regulation of one class of assets may have only small effects on these assets' return volatility if investors have …