Network analysis and calibration of the “leveraged network-based financial accelerator”
Authored by Leonardo Bargigli, Luca Riccetti, Alberto Russo
Date Published: 2014-03
DOI: 10.1016/j.jebo.2013.12.018
Sponsors:
European Union
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Mathematical description
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Abstract
In this paper we analyze the network structure that endogenously emerges in the credit market of the agent-based model of Riccetti et al. (2011), where two kinds of financial accelerators are at work: the “leverage accelerator” and the “network-based accelerator”. We focus on the properties of network topology and its interplay with the overall economic performance. Moreover, we empirically calibrate the banking network in the model by using Japanese real data. (C) 2014 Elsevier B.V. All rights reserved.
Tags
Bankruptcy cascades
Leverage
Network
calibration