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Regular version of the site

Article

Финансовый рычаг и нестабильность

Вопросы экономики. 2012. № 9. С. 25-40.

In the paper some prominent features of a modern financial system are studied using the model of leverage dynamics. Asset securitization is considered as a major factor increasing aggregate debt and hence systems uncertainty and instability. A simple macrofinancial model includes a logistic equation of leverage dynamics that reveals origins of a financial bubble, thus corresponding closely to the Minsky financial instability hypothesis. Using ROA, ROE, and the interest rate as parameters, the model provides wide spectrum of leverage and default probability trajectories for the short and long run.