杠杆往往被视作金融危机的根源,当资产需求持续下降时,突然去杠杆化可能会引发贱价抛售及价格压力。本文着眼于杠杆变化对资产价格的影响,研究发现,将银行负债表信息与资产价格直接联系时,给投资者的贷款减少一个标准差会使相关股票的波动上升0.22个标准差。这些结果表明银行的贷款决定可能受资产价格影响,杠杆急剧下降可导致股价波动。 Leverage is often seen as a source of financial crisis, and when asset demand continues to plummet, a sudden deleveraging may trigger cheap selling and price pressures. This paper looks at the effect of leverage on asset prices. The study found that reducing the one-standard-deviation of loans to investors when the bank’s debt information is directly linked to the asset price increases the volatility of the underlying stock by 0.22 standard deviations. These results suggest that bank lending decisions may be affected by asset prices and that a drastic reduction in leverage can lead to stock price volatility.