Risk Contagion of Bank-firm Credit Network: Evidence from China

2020 ◽  
Author(s):  
Qingmin hao ◽  
Jim Huangnan Shen ◽  
Chien-Chiang Lee
Keyword(s):  
Credit Network

scholarly journals An Analysis of the Japanese Credit Network

2011 ◽  
Vol 7 (2) ◽  
pp. 209-232 ◽  
Author(s):  
Giulia De Masi ◽  
Yoshi Fujiwara ◽  
Mauro Gallegati ◽  
Bruce Greenwald ◽  
Joseph E. Stiglitz
Keyword(s):  
Credit Network

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 Effects of Informal Contracts on Innovative Cooperation among Enterprises in Industrial Clusters: An Evolutionary Game Analysis

2018 ◽  
Vol 2018 ◽  
pp. 1-10 ◽  
Author(s):  
Ying Han ◽  
Guohong Chen ◽  
Elena Poh
Keyword(s):  
Industrial Development ◽  
Replicator Dynamics ◽  
Evolutionary Game ◽  
Industrial Cluster ◽  
Industrial Clusters ◽  
Network Externality ◽  
Industrial Agglomeration ◽  
Game Analysis ◽  
Informal Contracts ◽  
Credit Network

Industrial cluster theory has important guiding significance for regional industrial development and industrial agglomeration advantages. Cooperation among enterprises is the corner stone of industrial clusters. The purpose of the paper is to explore the effects of cluster informal contracts on cluster enterprises and the behavior of external partners. Based on the dynamic evolutionary game theory, this paper constructs a model, which incorporates several main factors influencing the innovative cooperation among local and external cluster enterprises. By calculating the replicator dynamics equations and analyzing the evolutionary stable strategies, this paper discusses the evolution process of cooperation strategies of enterprises in different situation. Furthermore, by using MATLAB software to simulate the model, this paper verifies the accuracy and reliability of the game model. Results show that, in addition to the formal market contract, effective implementations of cluster informal contracts can reduce opportunistic behavior in innovative cooperation among internal and external enterprises. Meanwhile, we should pay attention to strengthen the external innovative cooperation, increase severity of penalties, enhance the credit network externality, and avoid the relevant risks. The paper enriches our understanding about how informal contracts can help promote and cultivate good cooperative order in innovative cooperation of clusters.

scholarly journals An Equilibrium Model of Interbank Networks Based on Variational Inequalities

2013 ◽  
Vol 2013 ◽  
pp. 1-5
Author(s):  
Shouwei Li ◽  
Jianmin He
Keyword(s):  
Variational Inequality ◽  
Equilibrium Model ◽  
Existence And Uniqueness ◽  
Decision Makers ◽  
Interbank Market ◽  
Qualitative Properties ◽  
Equilibrium Conditions ◽  
Trust Network ◽  
Credit Network ◽  
Equilibrium Pattern

We develop an equilibrium model of credit network and trust network in the interbank market. We consider two kinds of decision makers including banks with liquidity surplus and banks with liquidity shortage. We model the behavior of the decision makers, derive the equilibrium conditions, and establish the variational inequality formulation for interbank credit network and trust network. We then utilize the variational inequality formulation to obtain qualitative properties of the equilibrium pattern in terms of existence and uniqueness.

scholarly journals Business fluctuations in a credit-network economy

2006 ◽  
Vol 370 (1) ◽  
pp. 68-74 ◽  
Author(s):  
Domenico Delli Gatti ◽  
Mauro Gallegati ◽  
Bruce Greenwald ◽  
Alberto Russo ◽  
Joseph E. Stiglitz
Keyword(s):  
Network Economy ◽  
Business Fluctuations ◽  
Credit Network

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

Book Reviews

2014 ◽  
Vol 52 (3) ◽  
pp. 855-858 ◽  
Keyword(s):  
Nuclear Physics ◽  
Matrix Theory ◽  
Agent Based Modeling ◽  
Urn Model ◽  
Economic Networks ◽  
Random Field Ising Model ◽  
Agent Based ◽  
Cross Correlations ◽  
Credit Network

Sixteen papers, based on the conference on “Econophysics of Agent-Based Models” held at the Saha Institute of Nuclear Physics in November 2012, explore agent-based modeling in the field of econophysics from the perspectives of physicists, economists, mathematicians, and financial engineers. Papers discuss agent-based modeling of zapping behavior of viewers, television commercial allocation, and advertisement markets; agent-based modeling of the housing asset bubble—a simple utility function-based investigation; Urn model-based adaptive multi-arm clinical trials—a stochastic approximation approach; logistic modeling of a religious sect cult and financial features; characterizing financial crisis by means of the three states random field Ising model; themes and applications of kinetic exchange models—redux; the kinetic exchange opinion model—solution in the single parameter map limit; an overview of the new frontiers of economic complexity; Jan Tinbergen's legacy for economic networks—from the gravity model to quantum statistics; a macroscopic order of consumer demand due to heterogeneous consumer behavior on Japanese household demand tested by the random matrix theory; uncovering the network structure of the world currency market—cross-correlations in the fluctuations of daily exchange rates; systemic risk in the Japanese credit network; pricing of goods with bandwagon properties—the curse of coordination; evolution of econophysics; econophysics and sociophysics—problems and prospects; and a discussion on econophysics. Abergel and Chakraborti are with the Laboratory of Mathematics Applied to Systems at the École Centrale Paris. Aoyama is with the Department of Physics at Kyoto University. Chakrabarti is at the Saha Institute of Nuclear Physics. Ghosh is with the Theoretical Condensed Matter Physics Division at the Saha Institute of Nuclear Physics.

scholarly journals The effect of network topology on credit network throughput

2021 ◽  
Vol 151 ◽  
pp. 102235
Author(s):  
Vibhaalakshmi Sivaraman ◽  
Weizhao Tang ◽  
Shaileshh Bojja Venkatakrishnan ◽  
Giulia Fanti ◽  
Mohammad Alizadeh
Keyword(s):  
Network Topology ◽  
Network Throughput ◽  
Credit Network
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