A leverage-based measure of financial stability

IF 3.1 1区经济学 Q2 BUSINESS, FINANCE

Journal of Financial Intermediation Pub Date : 2022-07-01 DOI:10.1016/j.jfi.2021.100907

Tobias Adrian , Karol Jan Borowiecki , Alexander Tepper

引用次数: 0

Abstract

The size and the leverage of financial market investors and the elasticity of demand of unlevered investors define MinMaSS, the smallest market size that can support a given degree of leverage. The financial system’s potential for financial crises can be measured by the stability ratio, the ratio of total market size to MinMaSS. We use that financial stability metric to gauge the buildup of vulnerability in the run-up to the 1998 Long-Term Capital Management crisis and argue that policymakers could have detected the potential for the crisis.

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一种基于杠杆的金融稳定指标

金融市场投资者的规模和杠杆以及无杠杆投资者的需求弹性定义了MinMaSS，它是能够支持一定程度杠杆的最小市场规模。金融系统发生金融危机的可能性可以通过稳定率来衡量，即市场总规模与MinMaSS的比率。我们使用这一金融稳定指标来衡量1998年长期资本管理危机前夕脆弱性的增加，并认为政策制定者本可以发现危机的可能性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Financial Intermediation BUSINESS, FINANCE-

CiteScore

8.60

自引率

7.70%

发文量

期刊介绍： The Journal of Financial Intermediation seeks to publish research in the broad areas of financial intermediation, financial market structure, corporate finance, risk management, and valuation.