A leverage-based measure of financial stability

被引：3

作者：

Adrian, Tobias ^{[1
]}

Borowiecki, Karol Jan ^{[2
]}

Tepper, Alexander ^{[3
]}

机构：

[1] Int Monetary Fund, Washington, DC 20431 USA

[2] Univ Southern Denmark, Odense, Denmark

[3] Columbia Univ, New York, NY USA

来源：

JOURNAL OF FINANCIAL INTERMEDIATION | 2022年 / 51卷

关键词：

Leverage; Financial crisis; Financial stability; Minimum market size for stability; MinMaSS; Stability ratio; -Term Capital Management; LTCM; MARKET LIQUIDITY; CONTAGION; MODEL;

D O I：

10.1016/j.jfi.2021.100907

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页数：12

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