Towards a Credit Network Based Early Warning Indicator for Crises

Catullo, Ermanno; Gallegati, Mauro; Palestrini, Antonio

doi:10.2139/ssrn.2414549

Cited by 11 publications

(13 citation statements)

References 36 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Pointing to the link between the banking system and real economy, Delli Gatti et al (2010) model a macroeconomic credit network consisting of households, firms and banks, in view to study the occurrence and likelihood of bankruptcy avalanches. Battiston et al (2012), Riccetti et al (2013), , and Catullo et al (2015) extend this work. Lux (2016) and Anand et al (2013) develop stochastic models of the topology of bank-firm credit networks.…”

Section: Introductionmentioning

confidence: 71%

Interbank credit and the money manufacturing process: a systemic perspective on financial stability

Biondi

Zhou

2018

J Econ Interact Coord

View full text Add to dashboard Cite

Interbank lending and borrowing occur when financial institutions seek to settle and refinance their mutual positions over time and circumstances. This interactive process involves money creation at the aggregate level. Coordination mismatch on interbank credit may trigger systemic crises. This happened when, since summer 2007, interbank credit coordination did not longer work smoothly across financial institutions, eventually requiring exceptional monetary policies by central banks, and guarantee and bailout interventions by governments. Our article develops an interacting heterogeneous agent-based model of interbank credit coordination under minimal institutions. First, we explore the link between interbank credit coordination and the money generation process. Contrary to received wisdom, interbank credit has the capacity to remove the inner limits of monetary system capacitance. Second, we develop simulation analysis on imperfect interbank credit coordination, studying impact of interbank dynamics on financial stability and resilience at individual and aggregate levels. Systemically destabilizing forces prove to be related to the working of the banking system over time, especially interbank coordination conditions and circumstances. Highlights• An interacting heterogeneous agent-based model under minimal institutions is developed to study bank credit, money creation and interbank credit• Interbank credit makes the money generation process unbound in some circumstances• Financial stability depends on both bank and inter-bank credit conditions and circumstances

show abstract

Section: Introductionmentioning

confidence: 71%

Interbank credit and the money manufacturing process: a systemic perspective on financial stability

Biondi

Zhou

2018

J Econ Interact Coord

View full text Add to dashboard Cite

show abstract

“…(2010) model a more general credit network consisting of households, firms and banks, in view to study the occurrence and likelihood of bankruptcy avalanches. Battiston et al (2012), Riccetti et al (2013), , and Catullo et al (2015) extend this work. Lux (2016) and Anand et al (2013) develop stochastic models of the topology of bank-firm credit networks.…”

mentioning

confidence: 71%

Interbank Credit and the Money Manufacturing Process. A Systemic Perspective on Financial Stability

Biondi

Zhou

2017

SSRN Journal

View full text Add to dashboard Cite

Interbank lending and borrowing occur when financial institutions seek to settle and refinance their mutual positions over time and circumstances. This interactive process involves money creation at the aggregate level. Coordination mismatch on interbank credit may trigger systemic crises. This happened when, since summer 2007, interbank credit coordination did not longer work smoothly across financial institutions, eventually requiring exceptional monetary policies by central banks, and guarantee and bailout interventions by governments. Our article develops an interacting heterogeneous agents-based model of interbank credit coordination under minimal institutions. First, we explore the link between interbank credit coordination and the money generation process. Contrary to received understanding, interbank credit has the capacity to make the monetary system unbound. Second, we develop simulation analysis on imperfect interbank credit coordination, studying impact of interbank dynamics on financial stability and resilience at individual and aggregate levels. Systemically destabilizing forces prove to be related to the working of the banking system over time, especially interbank coordination conditions and circumstances. Highlights• An interacting heterogeneous agents-based model under minimal institutions is developed to study bank credit, money creation and interbank credit• Interbank credit makes the money generation process unbound in some circumstances• Financial stability depends on both bank and inter-bank credit conditions and circumstances JEL codes: E42, E51, E58, G21, G28, M41

show abstract

“…In such a framework, increasing leverage spurs the financial fragility and instability of the economy and monetary tightening interventions should be implemented only if banks are well capitalize (Riccetti et al, 2013a). However, the evolving credit network properties can be exploited to build early warning indicators as in Catullo et al (2015).…”

Section: Extensionsmentioning

confidence: 99%

Agent-Based Macroeconomics and Classical Political Economy: Some Italian Roots

Dosi

Roventini

2017

Ital Econ J

View full text Add to dashboard Cite

Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Abstract Terms of use: Documents in EconStor mayIn this work, we discuss how the rich academic milieu left by different Italian political economy traditions after WWII paved the way to the development of a new generation of macroeconomic agent-based models. The K+S (Dosi et al., 2010(Dosi et al., , 2016a, CATS (Delli Gatti et al., 2005, 2011 and EURACE (Cincotti et al., 2010;Teglio et al., 2012) families of agentbased models are at the frontier of an alternative macroeconomic research paradigm which considers the economy as a complex evolving system. The three families of models are presented in details and their empirical performance and policy exercises discussed.

show abstract

Towards a Credit Network Based Early Warning Indicator for Crises

Cited by 11 publications

References 36 publications

Interbank credit and the money manufacturing process: a systemic perspective on financial stability

Interbank credit and the money manufacturing process: a systemic perspective on financial stability

Interbank Credit and the Money Manufacturing Process. A Systemic Perspective on Financial Stability

Agent-Based Macroeconomics and Classical Political Economy: Some Italian Roots

Contact Info

Product

Resources

About