An approach to identifying micro behavior: How banks’ strategies influence financial cycles
Visualitza/
Impacte
Scholar |
Altres documents de l'autoria: Tedeschi, Gabriele; Recchioni, Maria Cristina; Berardi, Simone
Metadades
Mostra el registre complet de l'elementcomunitat-uji-handle:10234/9
comunitat-uji-handle2:10234/8643
comunitat-uji-handle3:10234/8644
comunitat-uji-handle4:
INVESTIGACIONMetadades
Títol
An approach to identifying micro behavior: How banks’ strategies influence financial cyclesData de publicació
2018-12Editor
ElsevierCita bibliogràfica
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.Tipus de document
info:eu-repo/semantics/articleVersió de l'editorial
https://www.sciencedirect.com/science/article/pii/S0167268118303500Versió
info:eu-repo/semantics/submittedVersionParaules clau / Matèries
Resum
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. [-]
Drets d'accés
© 2018 Elsevier B.V. All rights reserved.
http://rightsstatements.org/vocab/InC/1.0/
info:eu-repo/semantics/openAccess
http://rightsstatements.org/vocab/InC/1.0/
info:eu-repo/semantics/openAccess
Apareix a les col.leccions
- ECO_Articles [688]