Abstract:
A series of financial crises have shown that although moderate leverage can promote economic development, over-leverage often causes asset price bubbles and systemic risks, resulting in considerable negative impacts on the financial sector and the real economy. This paper constructs a leverage-based asset price bubble model, revealing the inherent logical relationship between leverage and asset price bubbles. With the stock price bubble and housing price bubble representing the asset price bubble, we use the quantile method to study the non-linearity and asymmetric effect of leverage on the asset price bubble from the four dimensions of macro leverage, financial-sector leverage, non-financial-sector leverage and government leverage. The results show that the impact of leverage on asset price bubbles changes in size and direction with different periods of economic development, the degree of bubble evolution and the level of leverage, even if the same level of leverage has different effects on asset price bubble in different stages of bubble. Therefore, the relevant regulatory authorities need to combine the impact mechanism of leverage on the asset price bubble and distinguish the degrees of the bubble to optimize the leverage structure and maintain a reasonable leverage. This helps to avoid a systemic financial risk caused by asset price bubbles.
刘晓星, 石广平. 杠杆对资产价格泡沫的非对称效应研究[J]. 金融研究, 2018, 453(3): 53-70.
LIU Xiaoxing, SHI Guangping. The Asymmetrical Effects of Leverages on Asset Price Bubbles. Journal of Financial Research, 2018, 453(3): 53-70.
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