We develop an agent based model of traditional banks and asset managers. Our aim is to investigate the channels of contagion of shocks to asset prices within and between the two financial sectors, including the effects of fire sales and their impact on financial institutions' balance sheets. We...

We develop a stock-flow-consistent agent-based model that comprises a realistic mechanism of money creation and parametrize it to fit actually observed data. The model is used to make out-of-sample projections of broad money and credit developments under the commencement/termination of foreign...

We provide a simple and tractable accounting-based stress-testing framework to assess loss dynamics in the banking sector, in a context of leverage targeting. Contagion can occur through direct interbank exposures, and indirect exposures due to overlapping portfolios with the associated price...

We explore the evolution of daily returns of four major US stock market indices during the technology crash of 2000, and the financial crisis of 2007-2009. Our methodology is based on topological data analysis (TDA). We use persistence homology to detect and quantify topological patterns that...

In this paper, we investigate the growing prominence of credit in the systemic banking crisis prediction literature. Through the application of the signal extraction model and multivariate probit panel regression, we evaluate the performance of the absolute change in credit-to-GDP ratio as an...

Following the definition of systemic risk by the Financial Stability Board, the International Monetary Fund and the Bank for International Settlements, this paper proposes a method able to simultaneously address the two dimensions in which this risk materializes: namely the cross-sectional and...

In Q 3-4 2016, Russia's economy entered the phase of cyclical growth from the lowest point of the business cycle, its typical feature being the unstable movement patterns of the main socioeconomic development indicators. Inflation hit its historic low. The ruble's strengthening boosted the...

Comparison of macroeconomic simulation models, particularly agent-based models (ABMs), with more traditional approaches such as VAR and DSGE models has long been identified as an important yet problematic issue in the literature. This is due to the fact that many such simulations have been...

We propose two novel methods to "bring ABMs to the data". First, we put forward a new Bayesian procedure to estimate the numerical values of ABM parameters that takes into account the time structure of simulated and observed time series. Second, we propose a method to forecast aggregate time...

In this paper we introduce a calibration procedure for validating of agent based models. Starting from the well-known financial model of Brock and Hommes 1998, we show how an appropriate calibration enables the model to describe price time series. We formulate the calibration problem as a...