MARKET DEPTH, LEVERAGE, AND SPECULATIVE BUBBLES

• 成果类型: Article
• 署名作者: Enders, Zeno; Hakenes, Hendrik
• 署名单位: Ruprecht Karls University Heidelberg; University of Bonn
• 刊物名称: JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION
• ISSN/ISSBN: 1542-4766
• DOI: 10.1093/jeea/jvab008
• 发表日期: 2021
• 页码: 2577-2621
• 关键词: Contracts; crises; MODEL

摘要

We develop a model of rational bubbles based on leverage and the assumption of an imprecisely known maximum market size. In a bubble, traders push the asset price above its fundamental value in a dynamic way, driven by rational expectations about future price developments. At a previously unknown date, the bubble will endogenously burst. Households optimally decide whether to lend to traders with limited liability. Bubbles increase welfare of the initial asset holders, but reduce welfare of future households. We provide general conditions for the possibility of bubbles depending on uncertainty about market size, traders' degree of leverage, and the risk-free rate. This allows us to discuss several policy measures. Capital requirements and a correctly implemented Tobin tax can prevent bubbles. Implemented incorrectly, however, these measures may create the possibility of bubbles and can reduce welfare.