Leverage regulation: An agent-based simulation

Todd Feldman

Journal of Economics and Business, 2011, vol. 63, issue 5, 440 pages

Abstract: An agent-based financial market model is used to simulate the effects of financial regulation to reduce financial leverage. Results suggest that regulating leverage using margin calls can lead to less frequent financial crises per century, however, it creates harder hit financial crises than without regulation. In addition, regulation where the central authority tries to prick bubbles also leads to less frequent financial crises, but, creates greater volatility. Lastly, I find that leverage regulation where agent's ability to borrow is not dependent on price produces less frequent crises and less volatility than the other regimes.

Keywords: Agent-based; models; Financial; regulation; Financial; crises (search for similar items in EconPapers)
Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0148619510000305
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jebusi:v:63:y:2011:i:5:p:431-440

Access Statistics for this article

Journal of Economics and Business is currently edited by Emanuele Bajo and Moritz Ritter

More articles in Journal of Economics and Business from Elsevier
Bibliographic data for series maintained by Catherine Liu ().