Autori: Giri, F., Catullo, E., Gallegati, M.

Editore: Cambridge University Press

Tipologia Prodotto: Articolo in Rivista

DOI: 10.1017/S1365100519000634

Titolo della Rivista: Macroeconomic Dynamics

Numero; Volume: 13

Numero prima e ultima pagina: 81 – 115

Codice ISSN: 1860-7128

Anno di Pubblicazione: 2019



The paper presents an agent-based model reproducing a stylized credit network that evolves endogenously through the individual choices of firms and banks. We introduce in this framework a financial stability authority in order to test the effects of different prudential policy measures designed to improve the resilience of the economic system.
Simulations show that a combination of micro- and macroprudential policies reduce systemic risk but at the cost of increasing banks’ capital volatility. Moreover, the agent-based methodology allows us to implement an alternative meso regulatory framework that takes into consideration the connections between firms and banks. This policy targets only the more connected banks, increasing their capital requirement in order to reduce the diffusion of local shocks. Our results support the idea that the mesoprudential policy is able to reduce systemic risk without affecting the stability of banks’ capital structure.

Keywords: Micro prudential policy; Macro prudential policy; Credit Network; Meso prudential policy; Agent based model

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