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Early Warning Indicators and Macro-Prudential Policies : A Credit Network Agent Based Model

Catullo, Ermanno - 2017

Credit network configurations play a crucial role in determining the vulnerability of the economic system. Following the network-based financial accelerator approach, we constructed an agent based model reproducing an artificial credit network that evolves endogenously according to the leverage...

Persistent link: https://www.econbiz.de/10012954575

Learning, Expectations, and the Financial Instability Hypothesis

Guzman, Martin - 2016

This paper analyzes what assumptions on formation of expectations are consistent with Minsky's Financial Instability … crisis recedes into the past. We show that the hypothesis is consistent with assumptions on formation of expectations that … imply learning from realization of states and inconsistent with the assumption of full information rational expectations …

Persistent link: https://www.econbiz.de/10013000947

Optimal unconventional monetary policy in the face of shadow banking

Kirchner, Philipp; Schwanebeck, Benjamin - 2017

Using a DSGE framework, we discuss the optimal design of monetary policy for an economy where both retail banks and shadow banks serve as financial intermediaries. We get the following results. During crises times, a standard Taylor rule fails to reach sufficient stimulus. Direct asset purchases...

Persistent link: https://www.econbiz.de/10011671242

Has Inflation Targeting Become Less Credible? Oil Prices, Global Aggregate Demand and Inflation Expectations During the Global Financial Crisis

Sussman, Nathan - 2018

inflation expectations increased leading to fears of their un-anchoring. Using the first principal component of commodity prices … expectations reacted more strongly to global aggregate demand conditions embedded in oil prices. Within this framework we cannot … reject the hypothesis that expectations remained anchored …

Persistent link: https://www.econbiz.de/10012916305

Monetary policy and large crises in a financial accelerator agent-based model

Giri, Federico; Riccetti, Luca; Russo, Alberto; … - 2016

An accommodating monetary policy followed by a sudden increase of the short term interest rate often leads to a bubble burst and to an economic slowdown. Two examples are the Great Depression of 1929 and the Great Recession of 2008. Through the implementation of an Agent Based Model with a...

Persistent link: https://www.econbiz.de/10011509432

Monetary and fiscal policy in times of crises : a new Keynesian perspective in continuous time

Hayo, Bernd; Niehof, Britta - 2014 - This version: October 27, 2014

To analyse the interdependence between monetary and fiscal policy during a financial crisis, we develop an open-economy DSGE model with monetary and fiscal policy as well as financial markets in a continuous-time framework based on stochastic differential equations. Monetary policy is modelled...

Persistent link: https://www.econbiz.de/10010419528

Winter is possibly not coming : mitigating financial instability in an agent-based model with interbank market

Popoyan, Lilit; Napoletano, Mauro; Roventini, Andrea - 2019

We develop a macroeconomic agent-based model to study how financial instability can emerge from the co-evolution of interbank and credit markets and the policy responses to mitigate its impact on the real economy. The model is populated by heterogenous firms, consumers, and banks that locally...

Persistent link: https://www.econbiz.de/10011999716

Pricking asset market bubbles

Schmitt, Noemi; Westerhoff, Frank H. - In: Finance research letters 38 (2021), pp. 1-6

Persistent link: https://www.econbiz.de/10012485766

Monetary Policy and Large Crises in a Financial Accelerator Agent-Based Model

Giri, Federico - 2019

Persistent link: https://www.econbiz.de/10012903445

Systemic risk in a network model of interbank markets with central bank activity

Georg, Co-Pierre; Poschmann, Jenny - 2010

The breakdown of the interbank money markets in the face of the recent financial crisis has forced central banks and governments to take extraordinary measures to sustain financial stability. In this paper we investigate which influence central bank activity has on interbank markets. In our...

Persistent link: https://www.econbiz.de/10003971540