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Market depth, leverage, and speculative bubbles

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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 da...

Ausführliche Beschreibung

Gespeichert in:
Bibliographische Detailangaben
Hauptverfasser: Enders, Zeno (VerfasserIn) , Hakenes, Hendrik (VerfasserIn)
Dokumenttyp: Book/Monograph Arbeitspapier
Sprache:Englisch
Veröffentlicht: Munich CESifo, Center for Economic Studies & Ifo Institute December 2017
Schriftenreihe:CESifo working paper Category 6, Fiscal policy, macroeconomics and growth no. 6806
In: CESifo working papers (no. 6806)

Schlagworte:
Arbeitspapier
Graue Literatur
Online-Zugang:Resolving-System, kostenfrei, Volltext: http://hdl.handle.net/10419/174929
Verlag, kostenfrei, Volltext: http://www.cesifo-group.de/ifoHome/publications/docbase/DocBase_Content/WP/WP-CESifo_Working_Papers/wp-cesifo-2017/wp-cesifo-2017-12/12012017006806.html
Verlag, kostenfrei, Volltext: http://www.cesifo-group.de/DocDL/cesifo1_wp6806.pdf
Volltext
Verfasserangaben:Zeno Enders, Hendrik Hakenes

MARC

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520 |a 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' decision to lend to traders with limited liability in a bubble is endogenous. Bubbles reduce welfare of future investors. 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. 
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