Leverage Bubbles

Fares Triki ()
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Fares Triki: Centre d'Economie de la Sorbonne - Paris School of Economics, https://www.parisschoolofeconomics.eu/

Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne

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

Keywords: Financial crises; rational bubbles; dynamic leverage ratio; mark to market accounting; asset pricing; macroprudential regulation; market liquidity (search for similar items in EconPapers)
JEL-codes: G01 G14 G18 G20 G28 (search for similar items in EconPapers)
Pages: 16 pages
Date: 2009-05
New Economics Papers: this item is included in nep-acc, nep-ban, nep-cfn, nep-fmk and nep-reg
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ftp://mse.univ-paris1.fr/pub/mse/CES2009/09039.pdf (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:mse:cesdoc:09039

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