Rising bubbles by margin calls

IF 6.9 2区经济学 Q1 BUSINESS, FINANCE Finance Research Letters Pub Date : 2024-12-31 DOI:10.1016/j.frl.2024.106733

David Alaminos

引用次数: 0

Abstract

This paper examines price bubble formation in commodity markets driven by margin calls, highlighting mechanisms causing extreme price volatility. Analyzing Nickel, WTI Oil, Silver, Copper, Wheat, Corn, and Soybean, I test five hypotheses on leverage, liquidity reduction, and positive feedback loops using advanced detection methods like LPPLS and GSADF. Results show high leverage and margin calls amplify volatility through forced trades and speculation. Asymmetrical reactions and herding behavior further exacerbate bubbles, particularly under supply constraints. My findings stress the need for improved risk management and regulatory measures to curb leverage-driven volatility, enhancing market stability and resilience.

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追加保证金令泡沫不断上升

本文考察了由追加保证金驱动的商品市场价格泡沫的形成，突出了导致极端价格波动的机制。以镍、WTI油、银、铜、小麦、玉米、大豆为分析对象，运用LPPLS和GSADF等先进检测方法，对杠杆、流动性减少、正反馈循环等五个假设进行了检验。结果显示，高杠杆和追加保证金通过强迫交易和投机放大了波动性。不对称反应和羊群行为进一步加剧了泡沫，尤其是在供应受限的情况下。我的研究结果强调需要改善风险管理和监管措施，以遏制杠杆驱动的波动，增强市场稳定性和弹性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

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