Measuring Margin

Robert L. McDonald

NBER Working Paper No. 18724
Issued in January 2013

---- Acknowledgments ----

Prepared for the NBER Initiative on Systemic Risk and MacroModeling. I am grateful to Markus Brunnermeier, Arvind Krishnamurthy, Richard Heckinger, John McPartland, and Robert Steigerwald for helpful discussions and comments, but of course errors are my own. The views expressed herein are those of the author and do not necessarily reflect the views of the National Bureau of Economic Research.

---- Disclosure of Financial Relationships for Robert L. McDonald ----

I am a director of Eris, a futures exchange.

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