Interactions between monetary and macroprudential policies

被引:0
作者
Lima, Gustavo Liborio Rocha [1 ]
Ely, Regis Augusto [2 ]
Cajueiro, Daniel Oliveira [1 ,3 ,4 ]
机构
[1] Univ Brasilia, Dept Econ, Brasilia, Brazil
[2] Univ Fed Pelotas, Dept Econ, Pelotas, Brazil
[3] Natl Inst Sci & Technol Complex Syst INCT SC, Rio De Janeiro, Brazil
[4] Machine Learning Lab Finance & Org LAMFO, Brasilia, Brazil
关键词
Stability; Banking; Monetary policy; Prudential policy; Agent-based model; G21; G28; E58; INTERBANK MARKET; SYSTEMIC RISK; CREDIT; STRATEGIES; NETWORKS; PROTOCOL; CHANNEL; MODELS; IMPACT; BANKS;
D O I
10.1080/14697688.2024.2327065
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
This work aims to investigate the behavior of financial agents in a complex setting where they interact and learn about the environment. Using the bottom-up approach of agent-based models, we simulate a situation where banks, depositors, a central bank, firms, and a clearing house compose an artificial financial system under different scenarios regarding monetary and macroprudential policy instances and emerging and developed countries realities. Banks are able to learn from the outcomes and endogenously set the market interest rate. The main conclusions are: with regard to the credit market, (i) policies reinforce each other's effects on credit supply when they are both restrictive. Regarding banks' risk-taking behavior, (ii) expansive monetary policy increases banks' loans and portfolio risk. Finally, (iii) restrictive instances in both policies, while promoting more capital and less risk in the balance sheet, are able to reduce risk to some extent. If combined in the right way, these policies may improve overall system stability.
引用
收藏
页码:481 / 498
页数:18
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