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首页> 外文期刊>Journal of Economic Dynamics and Control >The effects of interbank networks on efficiency and stability in a macroeconomic agent-based model
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The effects of interbank networks on efficiency and stability in a macroeconomic agent-based model

机译：在基于宏观经济主体的模型中，银行间网络对效率和稳定性的影响

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摘要

We develop a macroeconomic agent-based model that consists of firms, banks, unions and households who interact on labour, goods, credit and interbank markets. The model endogenises pricing decisions by firms, wage setting by unions and interest rate setting by banks on both firm and interbank lending. Banks also set leverage targets and precautionary liquidity buffers on the basis of internal risk models. Our model produces endogenous fluctuations driven by the pricing behaviour of firms and the wage setting behaviour of unions. Fluctuations lead to loan defaults which are exacerbated as lenders reduce lending and charge higher interest rates, inducing a credit crunch. We also study how making the inter-banking network more connected affects the key outcomes of the economy and find that while the flow of funds from surplus banks to firms can be increased, the latter effect is soon dominated by increasing instability in the real sector as firms default at higher rates. While the banking sector experiences fewer defaults as a whole, losses on the interbank market increase as a source of bank defaults. (C) 2018 Elsevier B.V. All rights reserved.
机译：我们建立了一个基于宏观经济主体的模型，该模型由在劳动力，商品，信贷和银行间市场上相互作用的公司，银行，工会和家庭组成。该模型内生了公司的定价决策，工会的工资确定以及银行对公司和银行间贷款的利率确定的内生性。银行还根据内部风险模型设置杠杆目标和预防性流动性缓冲。我们的模型会产生由公司的定价行为和工会的工资设定行为驱动的内生性波动。波动导致贷款违约，随着贷方减少贷款并收取更高的利率，导致信贷紧缩，这加剧了贷款违约。我们还研究了如何使银行间网络之间的联系更加紧密地影响经济的关键成果，并发现，虽然可以增加从盈余银行到公司的资金流量，但后者的影响很快将由实体部门的不稳定性增加所主导。企业违约率更高。虽然整个银行部门的违约总体较少，但由于银行违约的来源，银行间市场的损失却增加了。 （C）2018 Elsevier B.V.保留所有权利。

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