Margin regulation and volatility

• 成果类型: Article
• 署名作者: Brumm, Johannes; Grill, Michael; Kubler, Felix; Schmedders, Karl
• 署名单位: University of Zurich; University of Zurich
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2014.12.007
• 发表日期: 2015
• 页码: 54-68
• 关键词: Collateral constraints; general equilibrium; heterogeneous agents; Margin requirements; Regulation T

摘要

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. (C) 2015 Elsevier B.V. All rights reserved.