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Tesi etd-10292021-175837


Tipo di tesi
Tesi di laurea magistrale
Autore
GRAZZINI, NICOLA
URN
etd-10292021-175837
Titolo
Financial Stability and Macroeconomic Policy in an Agent-Based Model with a Secondary Market for Government Bonds
Dipartimento
ECONOMIA E MANAGEMENT
Corso di studi
ECONOMICS
Relatori
relatore Prof. Roventini, Andrea
Parole chiave
  • agent-based modelling
  • banking sector
  • financial stability
  • macro-prudential regulation
  • monetary policy
  • policy-mix
Data inizio appello
09/12/2021
Consultabilità
Non consultabile
Data di rilascio
09/12/2061
Riassunto
The purpose of this research is to investigate the interactions between monetary and macro-prudential policies in an environment characterized by financial instability. In order to do so, we have used the agent-based methodology by integrating the most recent developments in the literature on the topic and expanding a pre-existing quarterly macroeconomic model belonging to the 'Keynes meeting Schumpeter' family, with another daily financial ABM, which aims at simulating an endogenous secondary market for government bonds, using a structure referring to the works of Westerhoff (2008) and Lengnick-Wohltmann (2013). This make possible to effectively model and incorporate in our analysis various channels between the real- and the financial- sides of the economy and highlight the important role of the banking system in these phenomena, in line with the ‘macro-finance’ literature. After proposing a Triple-mandate Taylor rule that takes into account also the price of government bonds, we carry out policy exercises searching for the best policy-mix in this context.
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