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Neuberger, Doris; Rissi, Roger

doi:10.7172/2353-6845.jbfe.2014.1.1

Cited by 8 publications

(3 citation statements)

References 70 publications

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“…Therefore, the macroprudential policy according to Basel III (indirectly) addresses credit quantity to dampen excessive leverage. However, direct restrictions of banks' investment portfolios are more effective than indirect restrictions through capital, leverage, and liquidity regulations [91]. Furthermore, unproductive credits might also be caused by macroeconomic conditions and shocks.…”

Section: Discussion and Literature Reviewmentioning

confidence: 99%

A basic macroeconomic agent-based model for analyzing monetary regime shifts

Peters¹,

Neuberger²,

Reinhardt³

et al. 2022

Preprint

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In macroeconomics, an emerging discussion of alternative monetary systems addresses the dimensions of systemic risk in advanced financial systems. Monetary regime changes with the aim of achieving a more sustainable financial system have already been discussed in several European parliaments and were the subject of a referendum in Switzerland. However, their effectiveness and efficacy concerning macro-financial stability are not well-known. This paper introduces a macroeconomic agent-based model (MABM) in a novel simulation environment to simulate the current monetary system, which may serve as a basis to implement and analyze monetary regime shifts. In this context, the monetary system affects the lending potential of banks and might impact the dynamics of financial crises. MABMs are predestined to replicate emergent financial crisis dynamics, analyze institutional changes within a financial system, and thus measure macro-financial stability. The used simulation environment makes the model more accessible and facilitates exploring the impact of different hypotheses and mechanisms in a less complex way. The model replicates a wide range of stylized economic facts, including simplifying assumptions to reduce model complexity.

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Section: Discussion and Literature Reviewmentioning

confidence: 99%

A basic macroeconomic agent-based model for analyzing monetary regime shifts

Peters¹,

Neuberger²,

Reinhardt³

et al. 2022

Preprint

View full text Add to dashboard Cite

show abstract

“…Therefore, the macroprudential policy according to Basel III (indirectly) addresses credit quantity to dampen excessive leverage. However, direct restrictions of banks’ investment portfolios are more effective than indirect restrictions through capital, leverage, and liquidity regulations [ 94 ]. Furthermore, unproductive credits might also be caused by macroeconomic conditions and shocks.…”

Section: Discussion and Extended Literature Reviewmentioning

confidence: 99%

A basic macroeconomic agent-based model for analyzing monetary regime shifts

et al. 2022

View full text Add to dashboard Cite

In macroeconomics, an emerging discussion of alternative monetary systems addresses the dimensions of systemic risk in advanced financial systems. Monetary regime changes with the aim of achieving a more sustainable financial system have already been discussed in several European parliaments and were the subject of a referendum in Switzerland. However, their effectiveness and efficacy concerning macro-financial stability are not well-known. This paper defines the economic requirements for modeling the current monetary system and introduces the corresponding macroeconomic agent-based model (MABM) in a continuous-time stochastic agent-based simulation environment with a provenance model. This MABM aims to present a starting point for exploring and analyzing monetary reforms. In this context, the monetary system affects the lending potential of banks and might impact the dynamics of financial crises. MABMs are predestined to replicate emergent financial crisis dynamics, analyze institutional changes within a financial system, and thus measure macro-financial stability. The used simulation environment makes the model more accessible and facilitates exploring the impact of different hypotheses and mechanisms in a less complex way. Moreover, the model replicates a wide range of stylized economic facts, which validates it as an analysis tool to implement and compare monetary regime shifts.

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“…The agent-based SFC approach is found to be appropriate for describing bank behaviour in compliance with regulations. Cincotti et al (2012), Krug et al (2015), Neuberger andRissi (2014), andRiccetti et al (2018) examine most Basel III regulations, including the CAR, NSFR, leverage ratio, liquidity coverage ratio (LCR), capital conservation buffer, and countercyclical buffer. Reale (2022) integrates an interbank market into the SFC framework and sheds light on the macroeconomic impacts of the NSFR when banks can borrow and lend in the interbank market.…”

Section: Literature Reviewmentioning

confidence: 99%

The macroeconomic effects of endogenous credit and money creation under Basel III regulations

2023

Metroeconomica

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Bank regulations affect the behaviour of credit and money creation; hence, they are essential for economic growth and stability. This paper develops an analytical model of the monetary circuit to show the macroeconomic effects of money creation under bank regulations. It describes the equilibrium in which banks create money in accordance with capital adequacy ratios or net stable funding ratios. This study reveals the equilibrium economic growth rate and debt level. In addition, this paper demonstrates how bank regulations influence firm capital structures, and the conditions for firms using debt and filing for bankruptcy. Results show that bank regulations can transfer risk from banks to firms. In fact, this study identifies a channel through which banks actively influence the macroeconomy through their money creation.

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Untitled

Cited by 8 publications

References 70 publications

A basic macroeconomic agent-based model for analyzing monetary regime shifts

A basic macroeconomic agent-based model for analyzing monetary regime shifts

A basic macroeconomic agent-based model for analyzing monetary regime shifts

The macroeconomic effects of endogenous credit and money creation under Basel III regulations

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