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Impact of Financial Regulation and Innovation on Bubbles and Crashes due to Limited Arbitrage : Awareness Heterogeneity
http://hdl.handle.net/2261/53261
http://hdl.handle.net/2261/532615ca84824-53f8-462b-9c8a-d3e0274c69a9
Item type | テクニカルレポート / Technical Report(1) | |||||
---|---|---|---|---|---|---|
公開日 | 2013-05-31 | |||||
タイトル | ||||||
タイトル | Impact of Financial Regulation and Innovation on Bubbles and Crashes due to Limited Arbitrage : Awareness Heterogeneity | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
主題 | Bubbles and Crashes | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Limited Arbitrage | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Awareness Heterogeneity | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Leverage | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Naked Credit Default Swap | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Timing Games with Behavioral Types | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | JEL Classification Numbers: C720, C730, D820, G140 | |||||
主題Scheme | Other | |||||
資源タイプ | ||||||
資源 | http://purl.org/coar/resource_type/c_18gh | |||||
タイプ | technical report | |||||
アクセス権 | ||||||
アクセス権 | metadata only access | |||||
アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||
著者 |
Matsushima, Hitoshi
× Matsushima, Hitoshi |
|||||
著者所属 | ||||||
著者所属 | Faculty of Economics, University of Tokyo | |||||
著者所属 | ||||||
著者所属 | Department of Economics, University of Tokyo | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | We examine the impact of financial regulation and innovation on bubbles and crashes due to limited arbitrage by modeling timing games among strategic arbitrageurs whose rationality is not commonly known. An unproductive company raises funds by issuing shares, and for purchasing shares, arbitrageurs borrow money from positive feedback traders. The key concept is awareness heterogeneity: positive feedback traders are unaware of euphoria, but arbitrageurs are aware of it. We show the impact of high leverage ratio depends on whether naked CDS is available, and the impact of naked CDS depends on growth balance between positive feedback traders'capital and loan. | |||||
内容記述 | ||||||
内容記述タイプ | Other | |||||
内容記述 | 本文フィルはリンク先を参照のこと | |||||
書誌情報 |
Discussion paper series. CIRJE-F 巻 CIRJE-F-876, 発行日 2013-02 |
|||||
書誌レコードID | ||||||
収録物識別子タイプ | NCID | |||||
収録物識別子 | AA11450569 | |||||
フォーマット | ||||||
内容記述タイプ | Other | |||||
内容記述 | application/pdf | |||||
日本十進分類法 | ||||||
主題 | 335 | |||||
主題Scheme | NDC | |||||
出版者 | ||||||
出版者 | 日本経済国際共同センター | |||||
出版者別名 | ||||||
Center for International Research on the Japanese Economy | ||||||
関係URI | ||||||
識別子タイプ | URI | |||||
関連識別子 | http://www.cirje.e.u-tokyo.ac.jp/research/dp/2013/2013cf876ab.html |