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Systemically important banks : emerging risk and policy responses : an agent-based investigation
Popoyan, Lilit; Napoletano, Mauro; Roventini, Andrea - 2023
to Basel III macro-prudential frameworks and manage their liquidity in the interbank market. The Central Bank performs … type and management strategy of the bank, leading to the ''one-size-fits-all'' problem. Finally, we found that additional …
Persistent link: https://www.econbiz.de/10014332099
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Winter is possibly not coming : mitigating financial instability in an agent-based model with interbank market
Popoyan, Lilit; Napoletano, Mauro; Roventini, Andrea - 2019
according to a Basel II or III macro-prudential frameworks and manage their liquidity in the interbank market. The Central Bank … crises and the emergence of deep downturns. This requires the timely intervention of the Central Bank as a liquidity lender … that the Central Bank can also dampen financial instability by employing a new unconventional monetary-policy tool …
Persistent link: https://www.econbiz.de/10011999716
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Robust-less-fragile : tackling systemic risk and financial contagion in a macro agent-based model
Pallante, Gianluca; Guerini, Mattia; Napoletano, Mauro; … - In: Journal of financial stability 76 (2025), pp. 1-22
Persistent link: https://www.econbiz.de/10015323381
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Robust-less-fragile : tackling systemic risk and financial contagion in a macro agent-based model
Pallante, Gianluca; Guerini, Mattia; Napoletano, Mauro; … - 2024
We extend the Schumpeter meeting Keynes (K+S; see Dosi et al., 2010, 2013, 2015) to model the emergence and the dynamics of an interbank network in the money market. The extended model allows banks to directly exchange funds, while evaluating their interbank positions using a network- based...
Persistent link: https://www.econbiz.de/10014500985
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Systemically important banks: Emerging risk and policy responses. An agent-based investigation
Popoyan, Lilit; Napoletano, Mauro; Roventini, Andrea - 2023
to Basel III macro-prudential frameworks and manage their liquidity in the interbank market. The Central Bank performs … type and management strategy of the bank, leading to the ''one-size-fits-all'' problem. Finally, we found that additional …
Persistent link: https://www.econbiz.de/10014541782
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Rock around the clock: an agent-based model of low- and high-frequency trading
Leal, Sandrine Jacob; Napoletano, Mauro; Roventini, Andrea - 2014
We build an agent-based model to study how the interplay between low- and high- frequency trading affects asset price dynamics. Our main goal is to investigate whether high-frequency trading exacerbates market volatility and generates flash crashes. In the model, low-frequency agents adopt...
Persistent link: https://www.econbiz.de/10011335909
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Fiscal and monetary policies in complex evolving economies
Dosi, Giovanni; Fagiolo, Giorgio; Napoletano, Mauro; … - 2014
, workers/consumers, a Central Bank and a Government. We show that the model is able to reproduce a wide array of macro and …
Persistent link: https://www.econbiz.de/10011335917
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Micro and macro policies in the Keynes+Schumpeter evolutionary models
Dosi, Giovanni; Napoletano, Mauro; Roventini, Andrea; … - 2014
This paper presents the family of the Keynes+Schumpeter (K+S, cf. Dosi et al, 2010, 2013, 2014) evolutionary agent-based models, which study the effects of a rich ensemble of innovation, industrial dynamics and macroeconomic policies on the long-term growth and short-run fluctuations of the...
Persistent link: https://www.econbiz.de/10011335925
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The short- and long-run damages of fiscal austerity: Keynes beyond Schumpeter
Dosi, Giovanni; Napoletano, Andrea; Roventini, Andrea; … - 2014
In this work we analyze the short- and long-run effects of fiscal austerity policies, employing an agent-based model populated by heterogeneous, boundedly-rational firms and banks. The model, in line with the family of "Keynes+Schumpeter" formalism, is able to account for a wide array of macro...
Persistent link: https://www.econbiz.de/10011335928
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Rational heuristics? Expectations and behaviors in evolving economies with heterogeneous interacting agents
Dosi, Giovanni; Napoletano, Mauro; Roventini, Andrea; … - 2017
We analyze the individual and macroeconomic impacts of heterogeneous expectations and action rules within an agent-based model populated by heterogeneous, interacting firms. Agents have to cope with a complex evolving economy characterized by deep uncertainty resulting from technical change,...
Persistent link: https://www.econbiz.de/10011789775