杠杆泡沫
Leverage Bubble
摘要：
杠杆与市场流动性密切相关，流动性不足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，还签订了一项协议，在稍后的日期将其回购。回购协议（repos）市场规模是计算金融市场整体杠杆的一个非常重要的因素。因此，研究回购市场规模的行为有助于理解一个可能促成金融危机诞生的过程。我们假设，大型投资者的羊群行为通过回购协议的使用导致了大规模的过度杠杆化，导致了泡沫（在前几年建立）和随后在2008年初的市场崩溃。我们使用合理预期泡沫的Johansen-Ledoit-Sornette（JLS）模型和行为金融学来研究导致崩盘的回购市场的动态。JLS模型通过价格动态中的特征模式的存在来定性泡沫，称为对数周期幂律（LPPL）行为。我们发现，有显着的LPPL行为在市场崩溃之前，预测的时间范围内预测的泡沫结束的模型是一致的观察。
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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