英文标题：
《The dynamics of the leverage cycle》
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作者：
Christoph Aymanns, J. Doyne Farmer
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最新提交年份：
2014
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英文摘要：
  We present a simple agent-based model of a financial system composed of leveraged investors such as banks that invest in stocks and manage their risk using a Value-at-Risk constraint, based on historical observations of asset prices. The Value-at-Risk constraint implies that when perceived risk is low, leverage is high and vice versa, a phenomenon that has been dubbed pro-cyclical leverage. We show that this leads to endogenous irregular oscillations, in which gradual increases in stock prices and leverage are followed by drastic market collapses, i.e. a leverage cycle. This phenomenon is studied using simplified models that give a deeper understanding of the dynamics and the nature of the feedback loops and instabilities underlying the leverage cycle. We introduce a flexible leverage regulation policy in which it is possible to continuously tune from pro-cyclical to countercyclical leverage. When the policy is sufficiently countercyclical and bank risk is sufficiently low the endogenous oscillation disappears and prices go to a fixed point. While there is always a leverage ceiling above which the dynamics are unstable, countercyclical leverage can be used to raise the ceiling. We also study the impact on leverage cycles of direct, temporal control of the bank\'s riskiness via the bank\'s required Value-at-Risk quantile. Under such a rule the regulator relaxes the Value-at-Risk quantile following a negative stock price shock and tightens it following a positive shock. While such a policy rule can reduce the amplitude of leverage cycles, its effectiveness is highly dependent on the choice of parameters. Finally, we investigate fixed limits on leverage and show how they can control the leverage cycle.
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中文摘要：
基于对资产价格的历史观察，我们提出了一个简单的基于代理的金融系统模型，该模型由杠杆投资者（如银行）组成，银行投资股票，并使用风险价值约束管理其风险。风险价值约束意味着，当感知风险较低时，杠杆率较高，反之亦然，这种现象被称为顺周期杠杆。我们发现，这会导致内生的不规则振荡，在这种振荡中，股价和杠杆率逐渐上升，然后是剧烈的市场崩溃，即杠杆周期。利用简化模型对这一现象进行了研究，这些模型可以更深入地理解杠杆周期背后的反馈回路和不稳定性的动力学和本质。我们引入了灵活的杠杆监管政策，可以从顺周期杠杆持续调整到反周期杠杆。当政策足够反周期且银行风险足够低时，内生振荡消失，价格达到固定点。虽然总有一个杠杆上限，超过这个上限，动态就不稳定，但反周期杠杆可以用来提高上限。我们还研究了通过银行要求的风险分位数对银行风险进行直接、暂时控制对杠杆周期的影响。在这种规则下，监管者在负股价冲击后放松风险价值分位数，在正冲击后收紧风险价值分位数。虽然这样的政策规则可以降低杠杆周期的幅度，但其有效性在很大程度上取决于参数的选择。最后，我们研究杠杆的固定限制，并展示它们如何控制杠杆周期。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Economics        经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
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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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一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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