An approach to identifying micro behavior: How banks’ strategies influence financial cycles
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Otros documentos de la autoría: Tedeschi, Gabriele; Recchioni, Maria Cristina; Berardi, Simone
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comunitat-uji-handle2:10234/8643
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An approach to identifying micro behavior: How banks’ strategies influence financial cyclesFecha de publicación
2018-12Editor
ElsevierCita bibliográfica
TEDESCHI, Gabriele; RECCHIONI, Maria Cristina; BERARDI, Simone. An approach to identifying micro behavior: How banks’ strategies influence financial cycles. Journal of Economic Behavior & Organization, 2018.Tipo de documento
info:eu-repo/semantics/articleVersión de la editorial
https://www.sciencedirect.com/science/article/pii/S0167268118303500Versión
info:eu-repo/semantics/submittedVersionPalabras clave / Materias
Resumen
In this paper, we show that the values of parameters of a well-calibrated model are useful in detecting micro behavior. We use a calibration procedure suitable for validating agent-based models to show how the evolution ... [+]
In this paper, we show that the values of parameters of a well-calibrated model are useful in detecting micro behavior. We use a calibration procedure suitable for validating agent-based models to show how the evolution of model parameters, obtained via a rolling window estimation, illustrates the evolution of agents’ strategies in response to different economic conditions. In this regard, we calibrate the well-known financial model of Brock and Hommes using three banking indices (i.e., the S&P SmallCap 600 Financials Index, the STOXX Europe 600 Banks, and the STOXX Asia/Pacific 600 Banks) running from 1994 to 2016. The choice of a spatially and temporally diversified dataset allows us to analyze differences and similarities in the behavior of banks belonging to the different macro areas, as well as to capture agents’ reaction to the several economic phases characterizing the time series investigated. [-]
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