Le contrôle du levier agrégé. Un nouveau défi pour les autorités de supervision
The current crisis has underlined the failure of the credit economy based on the investment banking model which has promoted the extension of market participants and, an increased use of leverage. The agents responsible for the excessive leverage are out of the scope of supervisors. The aim of this paper is to put forward a relevant indicator which will enable supervisors to control the excessive use of leverage which gives rise to systemic risk. We suggest the aggregated leverage ratio as a new simple macro-prudential tool for regulatory authorities. To achieve this goal, we perform logit regressions in line with Early Warning System models. An important result is that leverage is a better indicator when it takes into account the more financial institutions as possible. Our indicator seems to predict correctly stress periods over one year and two year horizons despite its simplicity. Classification JEL : C 52, G21, G24, G28
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