Taming the Basel leverage cycle
نویسندگان
چکیده
منابع مشابه
Reviewing the Leverage Cycle
We review the theory of leverage developed in collateral equilibrium models with incomplete markets. We explain how leverage tends to boost asset prices, and create bubbles. We show how leverage can be endogenously determined in equilibrium, and how it depends on volatility. We describe the dynamic feedback properties of leverage, volatility, and asset prices, in what we call the Leverage Cycle...
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We review the theory of leverage developed in collateral equilibrium models with incomplete markets. We explain how leverage tends to boost asset prices and create bubbles. We show how leverage can be endogenously determined in equilibrium and how it depends on volatility. We describe the dynamic feedback properties of leverage, volatility, and asset prices, in what we call the leverage cycle, ...
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Akerlof, G.A. 1970. “The Market for “Lemons”: Quality Uncertainty and the Market Mechanism.” Quarterly Journal of Economics 84(3): 488–500. Chatterjee, K. and W.F. Samuelson. 1983. “Bargaining under Incomplete Information.” Operations Research 31: 835–51. Chiu, J. and T.V. Koeppl. 2011. “Trading Dynamics with Adverse Selection and Search: Market Freeze, Intervention and Recovery.” Working Paper...
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ژورنال
عنوان ژورنال: Journal of Financial Stability
سال: 2016
ISSN: 1572-3089
DOI: 10.1016/j.jfs.2016.02.004