returns and the equity variance premium. We evaluate a plethora of state-of-the-art volatility forecasting models to produce …

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

In this paper we examine the quantitative effects of margin regulation on volatility in asset markets. We consider a … of collateral constraints leads to strong excess volatility. Thus, a regulation of margin requirements may have … in the regulation of one class of assets may have only small effects on these assets' return volatility if investors have …

increase in anticipation of auctions of new issues and decrease after the auction, while no or a smaller such effect is present … is no auction, is very similar to the secondary-market behavior of the auctioned series. These findings support an …

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

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 …

-ask spread and increased volatility, while it left transaction volumes and returns substantially unaffected. Results are broadly …