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Leverage Bubbles

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Author Info
Fares Triki () (Centre d'Economie de la Sorbonne - Paris School of Economics)
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: ftp://mse.univ-paris1.fr/pub/mse/CES2009/09039.pdf
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Publisher Info
Paper provided by Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne in its series Documents de travail du Centre d'Economie de la Sorbonne with number 09039.

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Length: 16 pages
Date of creation: May 2009
Date of revision:
Handle: RePEc:mse:cesdoc:09039

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Web page: http://ces.univ-paris1.fr/
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Related research
Keywords: Financial crises; rational bubbles; dynamic leverage ratio; mark to market accounting; asset pricing; macroprudential regulation; market liquidity.;

Find related papers by JEL classification:
G01 - Financial Economics - - General - - - Financial Crises
G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
G20 - Financial Economics - - Financial Institutions and Services - - - General
G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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This page was last updated on 2009-11-23.

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