Many jurisdictions identify margin procyclicality at central counterparties (CCPs) as a potential threat to financial stability. This paper studies the effect of less procyclical margin models on cleared volumes and risk taking in a stylized CCP. It finds that less procyclical margins do not...

Bank regulation presumes risks spill over more easily from large banks to the banking system thanvice versa. Yet, we document that risk transmission is stronger in the system-to-bank direction, because different bank activities affect the flow of risk differently in each direction. We term this...

This paper studies the relationship between bank holding company affiliation and the individual and systemic risk of banks. Using the 2005 hurricane season in the US as an exogenous shock to bank balance sheets, we show that banks that are part of a holding parent company are more resilient than...

This Public Policy Brief presents analysis of the labor market by economic research staff at the Federal Reserve Bank of Boston. It is based on materials originally presented to the Board of Directors of the Boston Fed on April 8, 2004, with selective updates incorporating data reported in early...

This Public Policy Brief presents recent forecasts of the U.S. federal government deficits and publicly held federal debt, along with brief commentary by economic research staff at the Federal Reserve Bank of Boston. It is based on materials presented in an internal policy briefing on April 29,...

Conventional collateral requirements are highly conservative but are not explicitly designed to deal with systemic risk. This paper explores the adequacy of conventional collateral levels against systemic risk in the Canadian futures market during the 2008 crisis. Our results show that...

Derivatives exchanges often determine collateral requirements, which are fundamental to market safety, with dated risk models assuming normal returns. However, derivatives returns are heavy-tailed, which leads to the systematic under-collection of collateral (margin). This paper uses extreme...