A multi-agent methodology to assess the effectiveness of systemic risk-adjusted capital requirements
We propose a multi-agent approach to compare the effectiveness of macroprudential capital requirements, where banks are embedded in an artificial macroeconomy. Capital requirements are derived from alternative systemic risk metrics that reflect both the vulnerability and impact of financial institut...
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| Veröffentlicht in: | Dynamic analysis in complex economic environments |
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| Format: | UnknownFormat |
| Sprache: | eng |
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2021
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Tag hinzufügen | Zusammenfassung: | We propose a multi-agent approach to compare the effectiveness of macroprudential capital requirements, where banks are embedded in an artificial macroeconomy. Capital requirements are derived from alternative systemic risk metrics that reflect both the vulnerability and impact of financial institutions. Our objective is to explore how systemic risk measures could be translated into capital requirements and test them in a comprehensive framework. Based on our counterfactual scenarios, we find that macroprudential capital requirements derived from vulnerability measures of systemic risk can improve financial stability without jeopardizing output and credit supply. Moreover, macroprudential regulation applied to systemic important banks might be counterproductive for systemic groups of banks. |
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| ISBN: | 9783030529697 |