摘要翻译：
杠杆与市场中的流动性密切相关，缺乏流动性被认为是最近金融危机的原因和/或后果。回购协议是一种金融工具，在出售证券的同时，协议在晚些时候将其回购。回购协议市场规模是计算金融市场整体杠杆率的重要因素。因此，研究回购市场规模的行为可以帮助理解一个有助于金融危机诞生的过程。我们假设，大型投资者之间的羊群行为导致了通过回购的大规模过度杠杆化，导致了泡沫（前几年积累起来的）和随后在2008年初的市场崩溃。我们使用理性预期泡沫和行为金融学的Johansen-Ledoit-Sornette(JLS)模型来研究导致崩溃的回购市场的动力学。JLS模型通过价格动态中的特征模式（称为对数周期幂律(LPPL)行为）的存在来限定泡沫。我们发现，在泡沫破裂之前，市场上存在着显著的LPPL行为，模型预测的泡沫结束的时间范围与观测结果是一致的。
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英文标题：
《Leverage Bubble》
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作者：
Wanfeng Yan, Ryan Woodard, Didier Sornette
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最新提交年份：
2010
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：General Finance        一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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英文摘要：
  Leverage is strongly related to liquidity in a market and lack of liquidity is considered a cause and/or consequence of the recent financial crisis. A repurchase agreement is a financial instrument where a security is sold simultaneously with an agreement to buy it back at a later date. Repurchase agreements (repos) market size is a very important element in calculating the overall leverage in a financial market. Therefore, studying the behavior of repos market size can help to understand a process that can contribute to the birth of a financial crisis. We hypothesize that herding behavior among large investors led to massive over-leveraging through the use of repos, resulting in a bubble (built up over the previous years) and subsequent crash in this market in early 2008. We use the Johansen-Ledoit-Sornette (JLS) model of rational expectation bubbles and behavioral finance to study the dynamics of the repo market that led to the crash. The JLS model qualifies a bubble by the presence of characteristic patterns in the price dynamics, called log-periodic power law (LPPL) behavior. We show that there was significant LPPL behavior in the market before that crash and that the predicted range of times predicted by the model for the end of the bubble is consistent with the observations.
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PDF链接：
https://arxiv.org/pdf/1011.0458