following the auctions. This effect is stronger when market volatility is higher. We rationalize both findings using a simple …

estimation of the state vector and of the time-varying parameters. We use this method to study the timevarying relationship …

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 become …

speculative trading increases. As a result, market liquidity deteriorates and short-term volatility rises. Our findings hold for a …

-varying consumption volatility risk is essential for obtaining the inversion of the real curve and allows to price the average level and …

Implied volatility indices should have information about risk parameters, once they are cleansed of the influence of … normal volatility dynamics and macroeconomic uncertainty. Building on intuition from the dynamic asset pricing literature, we … while controlling for realized volatility, expectations about the macroeconomic outlook, and interest rates. We apply this …