The Asymmetric Relation Between Margin Requirements and Stock Market Volatility Across Bull and Bear Markets
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- Georgy Chabakauri, 2012. "Asset Pricing with Heterogeneous Investors and Portfolio Constraints," FMG Discussion Papers dp707, Financial Markets Group.
- Claudio Borio & Craig Furfine & Philip Lowe, 2001. "Procyclicality of the financial system and financial stability: issues and policy options," BIS Papers chapters,in: Bank for International Settlements (ed.), Marrying the macro- and micro-prudential dimensions of financial stability, volume 1, pages 1-57 Bank for International Settlements.
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Keywordsasymmetry; Credit; EGARCH model; Federal Reserve; Margin Requirements; Stock Prices; Volatility;
- G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
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