Regulating Asset Price Risk
There has been a long debate about whether speculators are stabilizing or not. We consider a model where speculators have a stabilizing role in normal times, but may also provoke large risk panics. The very feature that makes arbitrageurs liquidity providers in normal times, namely their tolerance of risk, enables a large increase in asset price risk during a financial panic. We show that a policy that discourages balance sheet risk reduces the magnitude of financial panics, as well as asset price risk in both normal and panic states.
Year of publication: |
2011
|
---|---|
Authors: | Bacchetta, Philippe ; Tille, Cédric ; van Wincoop, Eric |
Publisher: |
Geneva : Graduate Institute of International and Development Studies |
Subject: | Portfolio-Management | Institutioneller Investor | Spekulation | Finanzkrise | Herdenverhalten | Finanzmarktregulierung | Theorie | Asset Pricing | Risk Management | Leverage |
Saved in:
freely available
Series: | |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 65467308X [GVK] hdl:10419/77407 [Handle] |
Classification: | E44 - Financial Markets and the Macroeconomy ; G11 - Portfolio Choice ; G18 - Government Policy and Regulation |
Source: |
Persistent link: https://www.econbiz.de/10010316750