The effects of interbank networks on efficiency and stability in a macroeconomic agent-based model

DOI10.1016/J.JEDC.2018.03.006MaRDI QIDQ1657375zbMATH OpenOpenAlexWikidataFDO

Authors Andrea Gurgone, Giulia Iori, Saqib Jafarey

Publication date 13 August 2018

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://openaccess.city.ac.uk/id/eprint/19671/1/JEDC_3rd_submission.compressed.pdf

zbMATH Keywords

agent-based macroeconomicsfinancial fragilityinterbank marketliquidity hoardingmacroeconomic stability

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Heterogeneous agent models (91B69)

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Cites work

• A network analysis of the Italian overnight money market
• A simulation analysis of the microstructure of double auction markets
• Agent based-stock flow consistent macroeconomics: towards a benchmark model
• Emergence of a core-periphery structure in a simple dynamic model of the interbank market
• Emergent dynamics of a macroeconomic agent based model with capital and credit
• Financial regulations and bank credit to the real economy
• Income distribution, credit and fiscal policies in an agent-based Keynesian model
• Individual learning about consumption
• Macroeconomics from the bottom-up
• Schumpeter meeting Keynes: a policy-friendly model of endogenous growth and business cycles
• The financial accelerator in an evolving credit network
• The impact of heterogeneous trading rules on the limit order book and order flows

Cited in

(12)

• Financial regulations and bank credit to the real economy
• Interbank loans, collateral and modern monetary policy
• Income inequality, consumption, credit and credit risk in a data-driven agent-based model
• The impacts of interest rates on banks' loan portfolio risk-taking
• Constructing banking networks under decreasing costs of link formation
• An equilibrium model of interbank networks based on variational inequalities
• Investigating the impact of behavioral factors on supply network efficiency: insights from banking's corporate bond networks
• Winter is possibly not coming: mitigating financial instability in an agent-based model with interbank market
• The impact of Basel III on financial (in)stability: an agent-based credit network approach
• Connectivity, centralisation and `robustness-yet-fragility' of interbank networks
• Interactions between monetary and macroprudential policies
• Systemic risk in banking, fire sales, and macroeconomic disasters

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