Animal Spirits, Margin Requirements, and Stock Price Volatility
用一个世代交叠模型分析初始保证金要求对风险资产价格波动的影响，发现其效果取决于投资者风险偏好异质性的微观结构，可能增大或减小波动。
ABSTRACT A simple overlapping generations model is used to characterize the effects of initial margin requirements on the volatility of risky asset prices. Investors are assumed to exhibit heterogeneous preferences for risk‐bearing, the distribution of which evolves stochastically across generations. This framework is used to show that imposing a binding initial margin requirement may either increase or decrease stock price volatility, depending upon the microeconomic structure behind fluctuations in economy‐wide average risk‐bearing propensity. The ambiguous effect on volatility similarly arises when the source of heterogeneity is noise trader beliefs.