Financial regulations and bank credit to the real economy
Authored by Giampaolo Gabbi, Giulia Iori, Saqib Jafarey, James Porter
Date Published: 2015
DOI: 10.1016/j.jedc.2014.07.002
Sponsors:
European Union
Platforms:
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Model Documentation:
Other Narrative
Mathematical description
Model Code URLs:
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Abstract
We present a new agent-based model focusing on the linkage between the
interbank market and the real economy with a stylised central bank
acting as lender of last resort. Using this model we address the
tradeoff between stability and economic performance for different
structures of the interbank market. We also explore the efficacy of
recent regulatory reforms using our richer model. Our results suggest
that the effects of regulatory leverage ratios on the banking sector's
performance can vary in a complex and non-monotonic way with the state
of the economy, the degree of connectivity of the interbank market and
the amount of information available to market participants on bank
risks. (C) 2014 Elsevier B.V. All rights reserved.
Tags
Market
Systemic risk
Contagion