Who is unhappy for Brexit? A machine-learning, agent-based study on financial instability

Polyzos, Stathis; Samitas, Aristeidis; Katsaiti, Marina Selini

doi:10.1016/j.irfa.2020.101590

Cited by 15 publications

(7 citation statements)

References 61 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…The current work could be extended by implementing our methodology into an agent-based simulation model (Gambacorta & Karmakar, 2016;Polyzos et al, 2020) to test whether increased efficiency in CAR estimation affects banks' stability.…”

Section: Discussionmentioning

confidence: 99%

Cyclicality of capital adequacy ratios in heterogeneous environment: A nonlinear panel smooth transition regression explanation

et al. 2021

Self Cite

View full text Add to dashboard Cite

Our study uses a new business cycle (BC) index and a nonlinear panel smooth transition regression model on quarterly data of 1538 bank holding companies of the United States to investigate response of capital adequacy ratios (CARs) to changes in economic activity. Our findings confirm the existence of nonlinear effects of BC on CARs. Although we use a nonlinear model and a new proxy of BC, our results about CARs are not only consistent with existing mainstream literature but also improve estimation and goodness of the estimation of CARs. The study outcome is useful for policymakers for CARs' standards adjustments during recessions.

show abstract

Section: Discussionmentioning

confidence: 99%

Cyclicality of capital adequacy ratios in heterogeneous environment: A nonlinear panel smooth transition regression explanation

et al. 2021

Self Cite

View full text Add to dashboard Cite

show abstract

“…In the pessimistic scenario, the EU could face several attempts from its members to withdraw from the Eurozone area, with the rest of the PIIGS countries being the first in line. The pending (at the time) decision for Brexit deepened this risk (Polyzos et al, 2020). Despite claims and reassurances from EU policymakers that the financial condition in the Eurozone was tranquil, stock markets were strongly interconnected with rumors and negative information.…”

Section: Discussionmentioning

confidence: 99%

Spillover effects between Greece and Cyprus: a DCC model on the interdependence of small economies

Samitas

Kampouris

Polyzos

et al. 2020

Investment Management and Financial Innovations

Self Cite

View full text Add to dashboard Cite

This paper discusses the volatility spillovers between the Greek debt crisis and the Cypriot financial crisis. Cyprus was in the spotlight of financial markets due to significant problems stemming from the banking sector, which were dealt with by EU regulators with a bail-in on bank deposits. The current analysis aims to shed light on the reasons behind implementing this novel approach to bank distress. The study uses a Dynamic Conditional Correlation model on the returns of the stock markets of the two countries, which shows strong spillover effects during the period leading up to the 2013 Cypriot crisis, but a significant decrease of these effects from then on. The results confirm the close interdependence of the Greek and Cypriot economies before 2013 and show that this interdependence was limited from that point onwards. This would indicate that since the risk of contagion to the Eurozone had diminished, regulators could test the bail-in solution in Cyprus in 2015. The current work contributes to the discussion on the interdependence of European economies. The paper’s findings can also be applied to other emerging European economies.

show abstract

“…We use ML procedures to build a happiness function, similarly to Polyzos et al (2020). Firstly, we use an eager learning naïve Bayes probabilistic classifier to create three groups of households based on their preferences (financial stability, public goods and neutral).…”

Section: Methodsmentioning

confidence: 99%

“…Similarly, to Polyzos et al (2020), the output variables are the weights w k that have been assigned to financial stability and public goods in the happiness function of each individual household, as follows: where H is the resulting happiness level (as reported individually); wi are the weights assigned to each of the inputs (financial stability and public goods spending); and φ are the remaining components of the happiness functions, which we assume to be uniform for all households. The parameters are estimated using maximum likelihood.…”

Section: Methodsmentioning

confidence: 99%

“…We follow Polyzos et al (2020) and construct an unweighted average of the response values of households to the questions under the Gallup-Sharecare Global Well-Being Index, normalising the input values to account for different ranges index. The full set of questions (which represent input variables for our classifier) can be found in Gallup (2018).…”

Section: Datamentioning

confidence: 99%

See 1 more Smart Citation

Islamic banking, efficiency and societal welfare: a machine-learning, agent-based study

Polyzos

Samitas

Syriopoulos

2022

IMEFM

Self Cite

View full text Add to dashboard Cite

Purpose This paper models the benefits of Islamic banking on the efficiency of the banking sector and on societal happiness. This paper aims to examine how the adoption of Islamic banking to various degrees affects economics outcomes. Design/methodology/approach This study uses machine-learning tools to build a happiness function and integrate it in an agent-based model to test for the direct and indirect welfare effects of implementing Islamic banking principles. Findings This study shows that even though Islamic banking systems tend to reduce economic activity, financial stability and societal happiness is improved. Additionally, a banking sector using Islamic principles across all its members is better equipped to handle banking crises because contagion to both economic activity and societal welfare is greatly reduced. At the same time, adoption of the profit-and-loss sharing (PLS) paradigm by banks may also slow down economic growth. Research limitations/implications The findings extend existing literature on the advantages of Islamic banking, by quantifying the welfare benefits of the PLS paradigm on happiness and financial stability. Originality/value To the best of the authors’ knowledge, this paper is the first to combine agent-based modelling with machine learning tools to examine the benefits of the Islamic banking model on financial stability, social welfare and unemployment.

show abstract

Who is unhappy for Brexit? A machine-learning, agent-based study on financial instability

Cited by 15 publications

References 61 publications

Cyclicality of capital adequacy ratios in heterogeneous environment: A nonlinear panel smooth transition regression explanation

Cyclicality of capital adequacy ratios in heterogeneous environment: A nonlinear panel smooth transition regression explanation

Spillover effects between Greece and Cyprus: a DCC model on the interdependence of small economies

Islamic banking, efficiency and societal welfare: a machine-learning, agent-based study

Contact Info

Product

Resources

About