time and the state variables of the model then a sufficient condition for market completeness is that the volatility of …

We assess the quantitative implications of the re-use of collateral on financial market leverage, volatility, and … significantly increases volatility in financial markets. When introducing limits on re-use, we find that volatility is strictly …

In this paper we examine the quantitative effects of margin regulation on volatility in asset markets. We consider a … presence 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 …

agents, arbitrage activity has an impact on the price level and generates both excess volatility and the leverage effect. We …

We derive representations for the stock price drift and volatility in the equilibrium of agents with arbitrary …, intrinsic characteristic of the aggregate dividend process that we call the "rate of discounting volatility" and show that, in … equilibrium, the size of market price of risk is determined by the market price of discounted dividend volatility (DDV …

shares, the market price of risk, the risk free rate, the bond prices at di erent maturities, the stock price and volatility …

collateral constraints and the endogenous margin requirements for the first tree lead to large excess price-volatility of the … second tree. Changes in the regulated margin requirements for the second tree have large effects on the volatility of both … trees. While tightening margins for loans on the second tree always decreases the price volatility of the first tree, price …