Firm–bank credit network, business cycle and macroprudential policy
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comunitat-uji-handle2:10234/8643
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INVESTIGACIONMetadatos
Título
Firm–bank credit network, business cycle and macroprudential policyFecha de publicación
2021-02-13Editor
SpringerISSN
1860-711X; 1860-7128Cita bibliográfica
Riccetti, L., Russo, A. & Gallegati, M. Firm–bank credit network, business cycle and macroprudential policy. J Econ Interact Coord (2021). https://doi.org/10.1007/s11403-021-00317-6Tipo de documento
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https://www.springer.com/journal/11403Versión
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Resumen
We present an agent-based model to study firm–bank credit market interactions in different phases of the business cycle. The business cycle is exogenously set, and it can give rise to various scenarios. Compared to ... [+]
We present an agent-based model to study firm–bank credit market interactions in different phases of the business cycle. The business cycle is exogenously set, and it can give rise to various scenarios. Compared to other models in this literature strand, we improve the mechanism according to which the dividends are distributed, including the possibility of stock repurchase by firms. In addition, we locate firms and banks over a space and firms may ask credit to many banks, resulting in a complex spatial network. The model reproduces a long list of stylized facts and their dynamic evolution as described by the cross-correlations among model variables. The model allows us to test the effectiveness of rules designed by the current financial regulation, such as the Basel III countercyclical capital buffer. We find that the effectiveness of this rule changes in different business cycle environments and this should be considered by policy makers. [-]
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