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Leverage Bubbles

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Author Info
Fares Triki () (EEP-PSE - Ecole d'Économie de Paris - Paris School of Economics - Ecole d'Économie de Paris, CES - Centre d'économie de la Sorbonne - CNRS : UMR8174 - Université Panthéon-Sorbonne - Paris I)
Abstract

This paper investigates the relation between liquidity and asset prices. It shows that, when banks balance sheets are marked to market and banks are targeting a financial leverage level - a situation similar to current environment - formation of Leverage Bubble phenomenon and suggests a new regulation rule based on a Dynamic Leverage Ratio (DLR) rule.

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File URL: http://halshs.archives-ouvertes.fr/docs/00/39/06/88/PDF/09039.pdf
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Publisher Info
Paper provided by HAL in its series Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) with number halshs-00390688_v1.

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Date of creation: May 2009
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Handle: RePEc:hal:cesptp:halshs-00390688_v1

Note: View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00390688/en/
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Related research
Keywords: Financial crises; rational bubbles; Dynamic Leverage Ratio; mark to market accounting; asset pricing; macroprudential regulation; market liquidity.;

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This page was last updated on 2010-1-6.

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