on a simple asset pricing model and employing a dataset of hypothetical Eurosystem collateral positions, we simulate and … quantify the resulting change in collateral value pledged by counterparties to the Eurosystem, resulting from a transaction … cost shock. A 10 basis point increase in transaction costs entails a direct -0.30% decrease of collateral value and a -0 …

The objective of the report is to define improvements to the repo market to better support collateral …

We use an extensive data set of bilateral exposures on credit default swap (CDS) to estimate the impact on collateral … demand of new margin and clearing practices and regulations. We decompose collateral demand for both customers and dealers … impact on collateral demand of more widespread initial margin requirements, increased novation of CDS to central clearing …

This paper examines the robustness of the Kiyotaki-Moore collateral amplification mechanism to the existence of … volatility of endogenous variables becomes identical to the first best in the absence of credit constraints. The collateral …