期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2014
出版社：European Central Bank
摘要：In this paper we examine the quantitative e ects of margin regulation on volatility in as-set markets. We consider a general equilibrium in nite-horizon economy with heterogeneousagents and collateral constraints. There are two assets in the economy which can be usedas collateral for short-term loans. For the rst asset the margin requirement is exogenouslyregulated while the margin requirement for the second asset is determined endogenously. Inour calibrated economy, the presence of collateral constraints leads to strong excess volatility.Thus, a regulation of margin requirements may have stabilizing e ects. However, in line withthe empirical evidence on margin regulation in U.S. stock markets, we show that changes inthe regulation of one class of assets may have only small e ects on these assets' return volatil-ity if investors have access to another (unregulated) class of collateralizable assets to take upleverage. In contrast, a countercyclical margin regulation of all asset classes in the economyhas a very strong dampening e ect on asset return volatility.
关键词：collateral constraints; general equilibrium; heterogeneous agents; margin;requirements; Regulation T.
