Macroprudential policies in an agent-based artificial economy
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Título
Macroprudential policies in an agent-based artificial economyFecha de publicación
2012-10Editor
OFCE (Observatoire français des conjonctures économiques)ISSN
1777-5647; 1265-9576Cita bibliográfica
Silvano Cincotti et al. Macroprudential Policies in an Agent-Based Artificial Economy, Revue de l'OFCE 5/ 2012 (N° 124) , p. 205-234Tipo de documento
info:eu-repo/semantics/articleVersión de la editorial
http://www.cairn.info/revue-de-l-ofce-2012-5-page-205.htmVersión
info:eu-repo/semantics/submittedVersionPalabras clave / Materias
Resumen
Basel III is a recently-agreed regulatory standard for bank capital adequacy with focus on the macroprudential dimension of banking regulation, i.e., the system- wide implications of banks’ lending and risk. An important ... [+]
Basel III is a recently-agreed regulatory standard for bank capital adequacy with focus on the macroprudential dimension of banking regulation, i.e., the system- wide implications of banks’ lending and risk. An important Basel III provision is to reduce procyclicality of present banking regulation and promote countercyclical capital buffers for banks. The Eurace agent-based macroeconomic model and sim- ulator has been recently showed to be able to reproduce a credit-fueled boom-bust dynamics where excessive bank leverages, while benefitting in the short term, have destabilizing effects in the medium-long term. In this paper we employ the Eu- race model to test regulatory policies providing time varying capital requirements for banks, based on mechanisms that enforce banks to build up or release capital buffers, according to the overall conditions of the economy. As conditioning variables for these dynamic policies, both the unemployment rate and the aggregate credit growth have been considered. Results show that the dynamic regulation of capital requirements is generally more successful than fixed tight capital requirements in stabilizing the economy and improving the macroeconomic performance. [-]
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Revue de l'OFCE 5/2012, n° 124Derechos de acceso
http://rightsstatements.org/vocab/CNE/1.0/
info:eu-repo/semantics/openAccess
info:eu-repo/semantics/openAccess
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