MACRO- AND MICROPRUDENTIAL POLICIES: SWEET AND LOWDOWN IN A CREDIT NETWORK AGENT-BASED MODEL

2019 ◽  
pp. 1-20
Author(s):  
Ermanno Catullo ◽  
Federico Giri ◽  
Mauro Gallegati
Keyword(s):  
Systemic Risk ◽  
Financial Stability ◽  
Agent Based Model ◽  
Agent Based ◽  
Macroprudential Policies ◽  
The Stability ◽  
The Individual ◽  
The Cost ◽  
Individual Choices ◽  
Credit Network

The paper presents an agent-based model reproducing a stylized credit network that evolves endogenously through the individual choices of firms and banks. We introduce in this framework a financial stability authority in order to test the effects of different prudential policy measures designed to improve the resilience of the economic system. Simulations show that a combination of micro- and macroprudential policies reduces systemic risk but at the cost of increasing banks’ capital volatility. Moreover, the agent-based methodology allows us to implement an alternative meso regulatory framework that takes into consideration the connections between firms and banks. This policy targets only the more connected banks, increasing their capital requirement in order to reduce the diffusion of local shocks. Our results support the idea that the mesoprudential policy is able to reduce systemic risk without affecting the stability of banks’ capital structure.

scholarly journals Macroprudential Policy in a Heterogeneous Environment—An Application of Agent-Based Approach in Systemic Risk Modelling

Entropy ◽  
2020 ◽  
Vol 22 (2) ◽  
pp. 129
Author(s):  
Jagoda Kaszowska-Mojsa ◽  
Mateusz Pipień
Keyword(s):  
Systemic Risk ◽  
Financial Distress ◽  
Dynamic Stochastic General Equilibrium ◽  
Macroprudential Policy ◽  
Risk Modelling ◽  
Agent Based ◽  
Macroprudential Policies ◽  
Dynamic Stochastic ◽  
Rbc Models ◽  
The Impact

Assessment of welfare effects of macroprudential policy seems the most important application of the Dynamic Stochastic General Equilibrium (DSGE) framework of macro-modelling. In particular, the DSGE-3D model, with three layers of default (3D), was developed and used by the European Systemic Risk Board and European Central Bank as a reference tool to formally model the financial cycle as well as to analyze effects of macroprudential policies. Despite the extreme importance of incorporating financial constraints in Real Business Cycle (RBC) models, the resulting DSGE-3D construct still embraces the representative agent idea, making serious analyses of diversity of economic entities impossible. In this paper, we present an alternative to DSGE modelling that seriously departs from the assumption of the representativeness of agents. Within an Agent Based Modelling (ABM) framework, we build an environment suitable for performing counterfactual simulations of the impact of macroprudential policy on the economy, financial system and society. We contribute to the existing literature by presenting an ABM model with broad insight into heterogeneity of agents. We show the stabilizing effects of macroprudential policies in the case of economic or financial distress.

ANALYZING THE AGENT-BASED MODEL AND ITS IMPLICATIONS

2003 ◽  
Vol 06 (03) ◽  
pp. 331-347 ◽  
Author(s):  
YUTAKA I. LEON SUEMATSU ◽  
KEIKI TAKADAMA ◽  
NORBERTO E. NAWA ◽  
KATSUNORI SHIMOHARA ◽  
OSAMU KATAI
Keyword(s):  
Social Sciences ◽  
Internal Structure ◽  
Design Methodology ◽  
Social Systems ◽  
Agent Based Model ◽  
Social Phenomena ◽  
Agent Based ◽  
Individual Level ◽  
The Social ◽  
The Individual

Agent-based models (ABMs) have been attracting the attention of researchers in the social sciences, becoming a prominent paradigm in the study of complex social systems. Although a great number of models have been proposed for studying a variety of social phenomena, no general agent design methodology is available. Moreover, it is difficult to validate the accuracy of these models. For this reason, we believe that some guidelines for ABMs design must be devised; therefore, this paper is a first attempt to analyze the levels of ABMs, identify and classify several aspects that should be considered when designing ABMs. Through our analysis, the following implications have been found: (1) there are two levels in designing ABMs: the individual level, related to the design of the agents' internal structure, and the collective level, which concerns the design of the agent society or macro-dynamics of the model; and (2) the mechanisms of these levels strongly affect the outcomes of the models.

Early warning indicators and macro-prudential policies: a credit network agent based model

2017 ◽  
Vol 13 (1) ◽  
pp. 81-115 ◽  
Author(s):  
Ermanno Catullo ◽  
Antonio Palestrini ◽  
Ruggero Grilli ◽  
Mauro Gallegati
Keyword(s):  
Early Warning ◽  
Agent Based Model ◽  
Agent Based ◽  
Early Warning Indicators ◽  
Credit Network ◽  
Warning Indicators

scholarly journals Identifying Synergistic Interventions to Address COVID-19 Using a Large Scale Agent-Based Model

2020 ◽  
Author(s):  
Junjiang Li ◽  
Philippe J. Giabbanelli
Keyword(s):  
Public Health ◽  
Large Scale ◽  
Contact Tracing ◽  
Remote Work ◽  
Agent Based Model ◽  
Agent Based ◽  
Global Pandemic ◽  
Small Set ◽  
Factorial Design Of Experiments ◽  
The Individual

AbstractThere is a range of public health tools and interventions to address the global pandemic of COVID-19. Although it is essential for public health efforts to comprehensively identify which interventions have the largest impact on preventing new cases, most of the modeling studies that support such decision-making efforts have only considered a very small set of interventions. In addition, previous studies predominantly considered interventions as independent or examined a single scenario in which every possible intervention was applied. Reality has been more nuanced, as a subset of all possible interventions may be in effect for a given time period, in a given place. In this paper, we use cloud-based simulations and a previously published Agent-Based Model of COVID-19 (Covasim) to measure the individual and interacting contribution of interventions on reducing new infections in the US over 6 months. Simulated interventions include face masks, working remotely, stay-at-home orders, testing, contact tracing, and quarantining. Through a factorial design of experiments, we find that mask wearing together with transitioning to remote work/schooling has the largest impact. Having sufficient capacity to immediately and effectively perform contact tracing has a smaller contribution, primarily via interacting effects.

Impact of Crypto-Asset Trade on Financial Stability

2020 ◽  
pp. 210-232
Author(s):  
Nader Trabelsi
Keyword(s):  
Systemic Risk ◽  
Financial Stability ◽  
Financial System ◽  
System Stability ◽  
Copula Model ◽  
Copula Approach ◽  
The Stability ◽  
The Empirical Analysis ◽  
Global Financial System

The chapter attempts to test the hypothesis that cryptocurrencies are real independent financial instruments that pose no danger to global financial system stability. For the empirical analysis, the authors use data related to bitcoin and widely traded asset classes. They also utilize the copula approach as well as the CoVaR model. The results show a significant role of crypto-asset market in the stability of global markets. Precisely, they find a dependence between bitcoin and oil prices defined by a normal copula model. The empirical results regarding the systemic risk show that extreme changes in bitcoin prices may have an adverse effect on equity and gold markets. There are positive and significant effects of EUR, JPY, and WTI markets when bitcoin goes down. The authors have also shown that after 2016 the virtual market sudden changes are more likely to raise the whole regular financial system losses, except the energy market. These results are important for policymakers and investors.

scholarly journals Based on Agent Model and K-Core Decomposition to Analyze the Diffusion of Mass Incident in Microblog

Complexity ◽  
2017 ◽  
Vol 2017 ◽  
pp. 1-10
Author(s):  
Jun Pan ◽  
Huizhang Shen ◽  
Zhong Chen
Keyword(s):  
Social Networks ◽  
Complex Network ◽  
Online Social Networks ◽  
Decomposition Method ◽  
Diffusion Mechanism ◽  
Agent Based Model ◽  
Policy Makers ◽  
Agent Based ◽  
Agent Model ◽  
The Stability

Mass incidents, which may influence the stability and security of the society in China, are getting more and more attentions not only from policy makers but also from Chinese social researchers. Catching the diffusion mechanism is believed to be critical to understand essential of these mass incidents since message dissemination plays important roles in every stage of mass incident. Recently, online social networks including Weibo (Chinese Twitter) become more and more popular in China. There are reports showing that Weibo discussion has accompanied the processes of most mass incidents happening in China in these few years. So, in this paper, we aim at introducing K-Core decomposition method from complex network to the analysis on how to manage the diffusion of mass incident in Weibo based on agent based model which can simulate Weibo user’s actions when mass incident happens. This work can help people understand how mass incident messages spread across the network. And then, people may have better strategy to manage the diffusion of mass incidents.

scholarly journals Agent-Based Model to Study and Quantify the Evolution Dynamics of Android Malware Infection

2014 ◽  
Vol 2014 ◽  
pp. 1-10 ◽  
Author(s):  
Juan Alegre-Sanahuja ◽  
Javier Camacho ◽  
Juan Carlos Cortés López ◽  
Francisco-José Santonja ◽  
Rafael Jacinto Villanueva Micó
Keyword(s):  
Agent Based Model ◽  
Android Malware ◽  
Agent Based ◽  
Antivirus Software ◽  
Android Platform ◽  
Evolution Dynamics ◽  
The Cost ◽  
Evolution Modeling

In the last years the number of malware Apps that the users download to their devices has risen. In this paper, we propose an agent-based model to quantify the Android malware infection evolution, modeling the behavior of the users and the different markets where the users may download Apps. The model predicts the number of infected smartphones depending on the type of malware. Additionally, we will estimate the cost that the users should afford when the malware is in their devices. We will be able to analyze which part is more critical: the users, giving indiscriminate permissions to the Apps or not protecting their devices with antivirus software, or the Android platform, due to the vulnerabilities of the Android devices that permit their rooted. We focus on the community of Valencia, Spain, although the obtained results can be extrapolated to other places where the number of Android smartphones remains fairly stable.

scholarly journals PROVIDING OF FINANCIAL STABILITY OF ENTERPRISES OF PASTRY INDUSTRY

2021 ◽  
pp. 62-69
Author(s):  
Volodimir Mishchenko ◽  
Sergii Mekhovych ◽  
Irina Gorobets
Keyword(s):  
Financial Stability ◽  
Capital Investment ◽  
Financial Condition ◽  
Confectionery Products ◽  
European Standards ◽  
The Government ◽  
Quality Of Products ◽  
The Stability ◽  
The Cost

The article identifies the main trends characteristic of the modern confectionery market of Ukraine. The reasons for the slowdown in production growth, the gradual increase in prices for all types of confectionery, changes in the structure of demand for products are considered. Exports of confectionery products require Ukrainian producers to expand their own range, as well as to bring the quality of products to European standards. The recent trend characterizes the increase in demand in the domestic market for complex (combined) confectionery, so the main prerequisite for the development of the industry is to improve production, which requires significant capital investment. The paper analyzes the dynamics of the main indicators of the sample of confectionery enterprises in order to assess the stability of their financial condition. For providing of steady development of industry the Government program, is needed built on balanced to demand with application of state-private partnership. In the conditions of COVID epidemic with the aim of prevention of possible bankruptcy it is expedient to inculcate the cost-oriented management and preventive anti-crisis dynamic management. For their introduction it is necessary to work out branch purposeful events on in-plant training of workers of pastry industry.

Sign in / Sign up

Export Citation Format

Share Document