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The financial network channel of monetary policy transmission: an agent-based model
dc.contributor.author | Alexandre, Michel | |
dc.contributor.author | Lima, Gilberto Tadeu | |
dc.contributor.author | RICCETTI, LUCA | |
dc.contributor.author | Russo, Alberto | |
dc.date.accessioned | 2023-07-06T07:38:50Z | |
dc.date.available | 2023-07-06T07:38:50Z | |
dc.date.issued | 2023-01-13 | |
dc.identifier.citation | Alexandre, M., Lima, G.T., Riccetti, L. et al. The financial network channel of monetary policy transmission: an agent-based model. J Econ Interact Coord 18, 533–571 (2023). https://doi.org/10.1007/s11403-023-00377-w | ca_CA |
dc.identifier.issn | 1860-711X | |
dc.identifier.issn | 1860-7128 | |
dc.identifier.uri | http://hdl.handle.net/10234/203082 | |
dc.description.abstract | The purpose of this paper is to explore the impact of monetary policy shocks on a financial network, which we dub the “financial network channel of monetary policy transmission”. To this aim, we develop a agent-based model (ABM) in which banks extend loans to firms. The resulting bank–firm credit network is structured as determined by plausible behavioral assumptions, with both firms and banks being always willing to close a credit deal with the network partner perceived to be less risky. As our ABM succeeds in reproducing several key stylized facts of bank–firm credit networks, we then assess through simulations how exogenous shocks to the policy interest rate affect some key topological measures of the bank–firm credit network (density, assortativity, size of largest component, and degree distribution). Our simulations show that such topological features of the bank–firm credit network are significantly affected by shocks to the policy interest rate, with such an impact varying quantitatively and qualitatively with the sign, magnitude, and duration of the shocks. | ca_CA |
dc.format.extent | 35 p. | ca_CA |
dc.format.mimetype | application/pdf | ca_CA |
dc.language.iso | eng | ca_CA |
dc.publisher | Springer | ca_CA |
dc.relation.isPartOf | Journal of Economic Interaction and Coordination, volume 18, pages533–571 (2023) | ca_CA |
dc.relation.uri | Springer Nature remains neutral with regard to jurisdictional claims in published maps and institutional affiliations. We are grateful to the Editor-in-Chief and two anonymous referees for this journal for helpful comments. Any remaining errors are our own. | ca_CA |
dc.rights | Springer Nature or its licensor (e.g. a society or other partner) holds exclusive rights to this article under a publishing agreement with the author(s) or other rightsholder(s); author self-archiving of the accepted manuscript version of this article is solely governed by the terms of such publishing agreement and applicable law. | ca_CA |
dc.rights.uri | http://rightsstatements.org/vocab/InC/1.0/ | ca_CA |
dc.subject | financial network | ca_CA |
dc.subject | monetary policy shocks | ca_CA |
dc.subject | agent-based modeling | ca_CA |
dc.title | The financial network channel of monetary policy transmission: an agent-based model | ca_CA |
dc.type | info:eu-repo/semantics/article | ca_CA |
dc.subject.jel | C63 | ca_CA |
dc.subject.jel | E51 | ca_CA |
dc.subject.jel | E52 | ca_CA |
dc.subject.jel | G21 | ca_CA |
dc.identifier.doi | https://doi.org/10.1007/s11403-023-00377-w | |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | ca_CA |
dc.type.version | info:eu-repo/semantics/acceptedVersion | ca_CA |
project.funder.name | Universitat Jaume I | ca_CA |
project.funder.name | National Council of Scientific and Technological Development (CNPq - Brazil) | ca_CA |
oaire.awardNumber | UJI-B2020-16 and AICO/2021/005 | ca_CA |
oaire.awardNumber | grant 311811/2018-3 | ca_CA |
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