NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Measuring Margin

Robert L. McDonald

Chapter in NBER book Risk Topography: Systemic Risk and Macro Modeling (2014), Markus K. Brunnermeier and Arvind Krishnamurthy, editors (p. 65 - 82)
Conference held April 28, 2011
Published in August 2014 by University of Chicago Press
© 2014 by the National Bureau of Economic Research

Policy makers and market participants alike wish to understand the amount, economic significance, and concentration of derivatives trading activity. This paper suggests that systematic measuring and reporting of margin by market participants, disaggregated by asset class, would provide more meaningful insights into derivatives activity. Where margin is not required, it could nevertheless be imputed and reported. The Dodd-Frank financial reform bill, by contrast, moves away from transparency by granting non-financial firms an end-user exemption from posting initial margin on their trades. This is economically equivalent to a borrowing from the counterparty and effectively permits these firms to issue off-balance-sheet debt.

This chapter is no longer available for free download, since the book has been published. To obtain a copy, you must buy the book.
Order from Amazon.com

Machine-readable bibliographic record - MARC, RIS, BibTeX

This chapter first appeared as NBER working paper w18724, Measuring Margin, Robert L. McDonald
Users who downloaded this chapter also downloaded these:
Bassett, Gilchrist, Weinbach, and Zakrašjek Improving Our Ability to Monitor Bank Lending
Brunnermeier, Gorton, and Krishnamurthy Liquidity Mismatch Measurement
Cerutti, Claessens, and McGuire Systemic Risks in Global Banking: What Available Data Can Tell Us and What More Data Are Needed?
Begenau, Piazzesi, and Schneider Remapping the Flow of Funds
Sufi Detecting "Bad" Leverage
 
Publications
Activities
Meetings
NBER Videos
Themes
Data
People
About
Support

National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us