It's well-known that regulation can have profound effects on asset prices and market fragmentation. Yet existing evidence is very thin. We contribute by assessing the effects of Basel III on financial market fragmentation using the UK repo market as an important case study. Evidence is...

We assess the risk inherent in wind turbine investments that rely on a power market in order to determine the selling price of generated power. Using scenario analysis, we calculate various indexes that attempt to highlight different aspects of the market risk to which the energy producer is...

The agent-based (behavioural) model is extended to include a financial friction on the supply side. Firms finance capital purchases using external financing, but need to pay for it in advance. In addition, firm financing constraint and net worth are determined by stock market prices, which can...

The paper compares two state-of-art but very dinstinct methods used in macroeconomics: rational-expectations DSGE and bounded rationality behavioural models. Both models are extended to include a financial friction on the supply side.The result in both models is that production, supply of credit...

The behavioural agent-based framework of De Grauwe and Gerba (2015) is extended to allow for a counterfactual exercise on the role of banks for monetary transmissions. A bank-based corporate financing friction is introduced and the relative contribution of that friction to the effectiveness of...

Identifying the drivers of credit cycles is crucial for prudential regulation. We show in a model that investor sentiments result in excessive asset price movements, leading to sharp credit reversals. Motivated by this, we decompose fluctuations in stock prices into fundamental and noise shocks...