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Prices, debt and market structure in an agent-based model of the financial market

Fischer, Thomas; Riedler, Jesper - In: Journal of Economic Dynamics and Control 48 (2014) C, pp. 95-120

higher levels of leverage lead to a greater inequality among agents. Furthermore, greater leverage increases the frequency of … key difference in the relation between leverage and assets observed for different bank types. Lowering credit frictions … leads to an increasingly procyclical behavior of leverage, which is typical for investment banks. Nevertheless, the impact …

Persistent link: https://www.econbiz.de/10011077522

Prices, debt and market structure in an agent-based model of the financial market

Fischer, Thomas; Riedler, Jesper - In: Journal of economic dynamics & control 48 (2014), pp. 95-120

Persistent link: https://www.econbiz.de/10010485828

Heterogeneity, spontaneous coordination and extreme events within large-scale and small-scale agent-based financial market models

Schmitt, Noemi; Westerhoff, Frank H. - 2016

We propose a novel agent-based financial market framework in which speculators usually follow their own individual technical and fundamental trading rules to determine their orders. However, there are also sunspot-initiated periods in which their trading behavior is correlated. We are able to...

Persistent link: https://www.econbiz.de/10011514740

Heterogeneous expectations and asset price dynamics

Schmitt, Noemi - 2018

Within the seminal asset-pricing model by Brock and Hommes (1998), heterogeneous boundedly rational agents choose between a fixed number of expectation rules to forecast asset prices. However, agents' heterogeneity is limited in the sense that they typically switch between a representative...

Persistent link: https://www.econbiz.de/10011787392

Agent-based models for economic policy design: Two illustrative examples

Westerhoff, Frank; Franke, Reiner - 2012

With the help of two examples, we illustrate the usefulness of agent-based models as a tool for economic policy design. In our first example, we apply a financial market model in which the order flow of speculators, relying on technical and fundamental analysis, generates intricate price...

Persistent link: https://www.econbiz.de/10010310710

Agent-based models for economic policy design: Two illustrative examples

Westerhoff, Frank; Franke, Reiner - Bamberg Economic Research Group on Government and … - 2012

Persistent link: https://www.econbiz.de/10010954955

Trend followers, contrarians and fundamentalists : explaining the dynamics of financial markets

Schmitt, Noemi; Westerhoff, Frank H. - 2019

We propose an empirically motivated financial market model in which speculators rely on trend-following, contrarian and fundamental trading rules to determine their orders. Speculators' probabilistic rule-selection behavior - the only type of randomness in our model - depends on past and future...

Persistent link: https://www.econbiz.de/10012014573

Financial crisis resolution

Schroth, Josef - 2012

This paper studies a dynamic version of the Holmstrom-Tirole model of intermediated finance. I show that competitive equilibria are not constrained efficient when the economy experiences a financial crisis. A pecuniary externality entails that banks' desire to accumulate capital over time...

Persistent link: https://www.econbiz.de/10010319679

Supporting the transition to net-zero emissions: The evolving role of central banks

McGuinness, Karen - 2023

While climate change was largely tackled by government policies in the past, central banks are increasingly grappling with the risks climate change poses. They are evaluating their operational policies to reflect these risks and the transition to a net-zero economy. This paper explores the...

Persistent link: https://www.econbiz.de/10014541724

Central bank liquidity policy in modern times

Brooks, Skylar - 2024

Central banks play a crucial role in promoting financial stability. They act as financial system stabilizers through their capacity to create liquidity and channel it to financial institutions and markets in times of stress - a role that has evolved and expanded substantially over the past 15...

Persistent link: https://www.econbiz.de/10015051872