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Tesi etd-06132018-093719


Thesis type
Tesi di laurea magistrale
Author
COLUCCIA, DAVIDE MARIA
URN
etd-06132018-093719
Title
Leverage and the financial accelerator: An Agent-Based perspective
Struttura
ECONOMIA E MANAGEMENT
Corso di studi
ECONOMICS
Commissione
relatore Prof. Roventini, Andrea
Parole chiave
  • financial instability
  • mark-to-market
  • financial accelerator
  • leverage
  • agent-based
Data inizio appello
02/07/2018;
Consultabilità
completa
Riassunto analitico
Upon extensively reviewing the theoretical literature dealing with financial frictions embedded in mainstream macroeconomic models, VaR rules and procyclical leverage and behavioral finance, we present the main stylized facts on business cycles, firm dynamics and the interaction between the financial and the real sectors. In order to explain the recent integration between the latter and the former, we develop a simple macroeconomic model, partially solvable in closed form, featuring a mark-to-market economy stemming from the interactions between heterogeneous interacting agents in the market of bank equity. Last, we develop a more comprehensive Agent-Based macro-model that further features banks following a stylized VaR rule resulting in procyclical leverage. We study the statistical properties of the series generated by the model and find it capable of replicating a noteworthy array of real world empirical regularities.
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