Not logged in.
Quick Search - Contribution
Contribution Details
| Type | Journal Article |
| Scope | Discipline-based scholarship |
| Title | Margin regulation and volatility |
| Organization Unit | |
| Authors |
|
| Item Subtype | Original Work |
| Refereed | Yes |
| Status | Published in final form |
| Language |
|
| Journal Title | Journal of Monetary Economics |
| Publisher | Elsevier |
| Geographical Reach | international |
| ISSN | 0304-3932 |
| Volume | 75 |
| Page Range | 54 - 68 |
| Date | 2015 |
| Abstract Text | An infinite-horizon asset-pricing model with heterogeneous agents and collateral constraints can explain why adjustments in stock market margins under US Regulation T had an economically insignificant impact on market volatility. In the model, raising the margin requirement for one asset class may barely affect its volatility if investors have access to another, unregulated class of collateralizable assets. Through spillovers, however, the volatility of the other asset class may substantially decrease. A very strong dampening effect on all assets׳ return volatilities can be achieved by a countercyclical regulation of all markets. |
| Digital Object Identifier | 10.1016/j.jmoneco.2014.12.007 |
| Other Identification Number | merlin-id:12596 |
| PDF File |
Download from ZORA
|
| Export |
BibTeX
EP3 XML (ZORA)
|