voprecotestВопросы экономикиVoprosy Ekonomiki0042-8736Voprosy Ekonomiki, NP10.32609/0042-8736-2012-9-25-40voprecotest-746Research ArticleВОПРОСЫ ТЕОРИИISSUES OF THEORYФинансовый рычаг и нестабильностьLeverage and Financial InstabilityСмирновА. Д.SmirnovA.

д. э. н., проф. НИУ ВШЭ, (Москва), действительный член РАЕН

adsmir@hse.ruНИУ ВШЭРоссияNational Research University Higher School of Economics, (Moscow, Russia)Russian Federation201220092012092540Copyright © Voprosy Ekonomiki, NP, 20122012Voprosy Ekonomiki, NPVoprosy Ekonomiki, NPhttps://www.vopreco.ru/jour/about/submissions#copyrightNoticehttps://www.vopreco.ru/jour/article/view/746

В статье исследуются условия «финансовой нестабильности», сформулированные в гипотезе Х. Мински. Важнейшим фактором нестабильности является секьюритизация активов, которая приводит к значительному «разбуханию» банковской системы, увеличивает совокупную задолженность и финансовый рычаг. Макрофинансовая модель динамики долга, рычага и вероятности дефолта используется в анализе и предсказании платежеспособности европейских банков. Семейство траекторий их развития включает возможности как инфляционной монетизации долга, так и коллапса системы.

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.

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The authors declare that there are no conflicts of interest present.