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.

Firm–bank credit network, business cycle and macroprudential policy

Riccetti, Luca;
2022-01-01

Abstract

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.
2022
Springer Nature
Internazionale
https://link.springer.com/article/10.1007/s11403-021-00317-6?wt_mc=Internal.Event.1.SEM.ArticleAuthorOnlineFirst&utm_source=ArticleAuthorOnlineFirst&utm_medium=email&utm_content=AA_en_06082018&ArticleAuthorOnlineFirst_20210215#citeas
File in questo prodotto:
File Dimensione Formato  
SSRN-id3543994.pdf

accesso aperto

Tipologia: Documento in pre-print (manoscritto inviato all'editore, precedente alla peer review)
Licenza: Creative commons
Dimensione 435.47 kB
Formato Adobe PDF
435.47 kB Adobe PDF Visualizza/Apri
Riccetti_Firm-bank credit_2022.pdf

solo utenti autorizzati

Tipologia: Versione editoriale (versione pubblicata con il layout dell'editore)
Licenza: Copyright dell'editore
Dimensione 791.68 kB
Formato Adobe PDF
791.68 kB Adobe PDF   Visualizza/Apri   Richiedi una copia

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11393/279920
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 7
  • ???jsp.display-item.citation.isi??? 8
social impact