2021
DOI: 10.20537/2076-7633-2021-13-6-1275-1289
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An Algorithm for Simulating the Banking Network System and Its Application for Analyzing Macroprudential Policy

Abstract: Modeling banking systems using a network approach has received growing attention in recent years. One of the notable models is that developed by Iori et al, who proposed a banking system model for analyzing systemic risks in interbank networks. The model is built based on the simple dynamics of several bank balance sheet variables such as deposit, equity, loan, liquid asset, and interbank lending (or borrowing) in the form of difference equations. Each bank faces random shocks in deposits and loans. The balanc… Show more

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Cited by 3 publications
(3 citation statements)
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“…This study uses a very straightforward model of a single bank with a simple balance sheet structure. In order to handle specific banking policies, such as macroprudential policy, which focuses on limiting the growth of banking loans, the model can be generated into a more general model with more balance sheet components [29], [30]. The approach can also be used to banking data, as shown in [31], [32], and other future publications.…”
Section: Discussionmentioning
confidence: 99%
“…This study uses a very straightforward model of a single bank with a simple balance sheet structure. In order to handle specific banking policies, such as macroprudential policy, which focuses on limiting the growth of banking loans, the model can be generated into a more general model with more balance sheet components [29], [30]. The approach can also be used to banking data, as shown in [31], [32], and other future publications.…”
Section: Discussionmentioning
confidence: 99%
“…The model in this paper is a very simple model of one bank that has a simple balance sheet structure. Thus, the model can be generated into a more general model which consists of more balance sheet components or to address some banking policies such as macroprudential policy that focuses on controlling the growth of banking loans [30], [31]. Other future works can also be done by implementing the model on banking data such as in [32], [33].…”
Section: Discussionmentioning
confidence: 99%
“…A sensitivity analysis is performed to examine the effect of changes in the model's parameters to the dynamics of the model's compartments. Some papers have used this sensitivity technique in several research areas [36][37][38]. Suppose we have a vector of variables X = (S, I h , I c , Q h , Q H , R) T , vector parameters P = (Λ, p, β, ν, p 1 , µ, α, d 1 , δ, γ, d 2 , η) T , and a vector of the right side of system (1) denoted by F = (F , G, H, I, J , K) T , where dS/dt = F , dI h /dt = G, dI c /dt = H, dQ h /dt = I, dQ H /dt = J , dR/dt = K.…”
Section: Sensitivity Analysis Of Parametersmentioning
confidence: 99%