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 …

collateral. The theory is based on unsecured borrowing constraints in the market for liquidity. Repos and security cash …-market trades are alternative means to get liquidity. Collateral spreads (unsecured less repo rate) can turn negative if borrowing …-arbitrage theory sheds light on the evolution of collateral spreads over time …

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 …

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 … improve welfare as it enables agents to share risk more effectively. Allowing reuse beyond intermediate levels, however, can …

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

arbitrage whereby banks funnel credit risk and low-quality collateral to the central bank. Weaker banks use lower quality … studying an extensive dataset of banks' liquidity uptake and pledged collateral in central bank repos. We document systemic … collateral to demand disproportionately larger amounts of central bank money (liquidity). This holds both before and after the …

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 …