Margin—collateral or funds that investors deposit with their counterparties—is a crucial
component of the practice of borrowing money to fund investment. While margin offers the …

An epidemiologist calculating the risk of a localised epidemic becoming a global pandemic
would investigate every possible channel of contagion from the infected region to the rest of …

In response to the Global Financial Crisis of 2007–2009, by now, most of the financial
transactions must be cleared through central counterparties operating a dynamic margin …

Many assets derive their value not only from future cash flows but also from their ability to
serve as collateral. In this article, we investigate this collateral premium and its impact on …

We introduce our GDSGE framework and a novel global solution method, called
simultaneous transition and policy function iterations (STPFIs), for solving dynamic …

This paper examines the role of collateral in the financial system, with special emphasis on
the implications for financial stability and the conduct of monetary policy. First, we review …

The analysis of dynamic economic models routinely leads to the mathematical problem of
determining an unknown function for which no closed-form solution exists. Economists must …

This paper provides a theory of credit-driven housing bubbles in an infinite-horizon
production economy. Entrepreneurs face idiosyncratic investment tax distortions and credit …

We study the effects of collateral constraints in an economy populated by investors with
nonpledgeable labor incomes and heterogeneous preferences and beliefs. We show that …

The mandatory central clearing for standardized over-the-counter derivatives, which was
introduced by recent financial market reforms, makes central counterparties (CCPs) the most …