Central-bank collateral policy governs the convertibility of assets into central-bank money provided directly by the … yield curve through collateral policy …

collateral to support arbitrage trades. We show that with volatile asset demands, arbitrage becomes risky. With information … frictions, a looser collateral policy might render the economy more vulnerable to extremely large demand shocks, while a tighter … collateral constraint helps maintain the stability at the cost of market liquidity supply …

in modern monetary and financial systems, namely central bank collateral frameworks. Their importance can be understood …, not defined in a market, but by the collateral frameworks and interest rate policies of central banks. Using the … collateral framework of the Eurosystem as a basis of illustration and case study, the paper brings to light the functioning …

We investigate the channel through which fluctuations in the market liquidity of real-sector repo collateral cause … productive capital as repo collateral to fund the margin for their arbitrage positions. A tiny drop in the market liquidity of … movements and losses. This further reduces the collateral value of arbitrage portfolios and triggers more fire-sales in both …

We assess the quantitative implications of the re-use of collateral on financial market leverage, volatility, and …-use frees up collateral that can be used to back more transactions. Re-use thus contributes to the build-up of leverage and …

general equilibrium in finite-horizon economy with heterogeneous agents and collateral constraints. There are two assets in … the economy which can be used as collateral for short-term loans. For the first asset the margin requirement is … presence of collateral constraints leads to strong excess volatility. Thus, a regulation of margin requirements may have …

The spread between unsecured and repo rates (collateral spread) fluctuates substantially and is negative on a … significant portion of days. Recent theoretical work argues that collateral spreads are determined by a constrained … collateral spreads arise in equilibrium if unsecured markets are sufficiently tight, unsecured rates spike down, or security …