The dynamics of the leverage cycle

DOI10.1016/j.jedc.2014.09.015zbMath1402.91901arXiv1407.5305OpenAlexW3124396300MaRDI QIDQ1623972

J. Doyne Farmer, Christoph Aymanns

Publication date: 15 November 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1407.5305

zbMATH Keywords

systemic riskfinancial market simulationleverage cyclespro-cyclical and countercyclical leverage

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Financial applications of other theories (91G80)

Related Items (8)

Elimination of systemic risk in financial networks by means of a systemic risk transaction tax ⋮ An agent-based model of corporate bond trading ⋮ Basel III capital surcharges for G-SIBs are far less effective in managing systemic risk in comparison to network-based, systemic risk-dependent financial transaction taxes ⋮ Impact of value-at-risk models on market stability ⋮ An adaptive dynamical model of default contagion ⋮ Analysis of Bank Leverage via Dynamical Systems and Deep Neural Networks ⋮ When panic makes you blind: a chaotic route to systemic risk ⋮ Good speciation and endogenous business cycles in a constraint satisfaction macroeconomic model

Uses Software

• RiskMetrics

Cites Work

• Leverage causes fat tails and clustered volatility
• When Micro Prudence Increases Macro Risk: The Destabilizing Effects of Financial Innovation, Leverage, and Diversification
• Market procyclicality and systemic risk

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