Abstract
Europe and Japan have both adopted negative interest rate policies as part of their monetary easing measures. However, despite the benefits that are claimed to be associated with increased lending demand, significant concerns exist regarding an increased burden on private financial institutions as a result of the application to their excess reserves. In this paper, we focus on the risks associated with increased investment of surplus funds for the operation of financial institutions. We propose an agent-based model for interlocking specific bankruptcy based on changes in financial situations as a result of market price fluctuations involving assets held by financial institutions. To extend the proposed model to handle macro market shocks, we describe decision making regarding funds that are surplus to the operation of financial institutions. Additionally, we analyze the impact of price declines involving marketable assets on financial systems.
| Original language | English |
|---|---|
| Pages (from-to) | 1026-1036 |
| Number of pages | 11 |
| Journal | Journal of Advanced Computational Intelligence and Intelligent Informatics |
| Volume | 22 |
| Issue number | 7 |
| DOIs | |
| Publication status | Published - 2018 Nov 1 |
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Keywords
- Agent-based model
- Asset liability management
- Negative interest rate policy
- Systemic risk
ASJC Scopus subject areas
- Human-Computer Interaction
- Computer Vision and Pattern Recognition
- Artificial Intelligence
Cite this
Agent-based simulation of financial institution investment strategy under easing monetary policy for operative collapses. / Kikuchi, Takamasa; Kunigami, Masaaki; Yamada, Takashi; Takahashi, Hiroshi; Terano, Takao.
In: Journal of Advanced Computational Intelligence and Intelligent Informatics, Vol. 22, No. 7, 01.11.2018, p. 1026-1036.Research output: Contribution to journal › Article
}
TY - JOUR
T1 - Agent-based simulation of financial institution investment strategy under easing monetary policy for operative collapses
AU - Kikuchi, Takamasa
AU - Kunigami, Masaaki
AU - Yamada, Takashi
AU - Takahashi, Hiroshi
AU - Terano, Takao
PY - 2018/11/1
Y1 - 2018/11/1
N2 - Europe and Japan have both adopted negative interest rate policies as part of their monetary easing measures. However, despite the benefits that are claimed to be associated with increased lending demand, significant concerns exist regarding an increased burden on private financial institutions as a result of the application to their excess reserves. In this paper, we focus on the risks associated with increased investment of surplus funds for the operation of financial institutions. We propose an agent-based model for interlocking specific bankruptcy based on changes in financial situations as a result of market price fluctuations involving assets held by financial institutions. To extend the proposed model to handle macro market shocks, we describe decision making regarding funds that are surplus to the operation of financial institutions. Additionally, we analyze the impact of price declines involving marketable assets on financial systems.
AB - Europe and Japan have both adopted negative interest rate policies as part of their monetary easing measures. However, despite the benefits that are claimed to be associated with increased lending demand, significant concerns exist regarding an increased burden on private financial institutions as a result of the application to their excess reserves. In this paper, we focus on the risks associated with increased investment of surplus funds for the operation of financial institutions. We propose an agent-based model for interlocking specific bankruptcy based on changes in financial situations as a result of market price fluctuations involving assets held by financial institutions. To extend the proposed model to handle macro market shocks, we describe decision making regarding funds that are surplus to the operation of financial institutions. Additionally, we analyze the impact of price declines involving marketable assets on financial systems.
KW - Agent-based model
KW - Asset liability management
KW - Negative interest rate policy
KW - Systemic risk
UR - http://www.scopus.com/inward/record.url?scp=85057159219&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=85057159219&partnerID=8YFLogxK
U2 - 10.20965/jaciii.2018.p1026
DO - 10.20965/jaciii.2018.p1026
M3 - Article
AN - SCOPUS:85057159219
VL - 22
SP - 1026
EP - 1036
JO - Journal of Advanced Computational Intelligence and Intelligent Informatics
JF - Journal of Advanced Computational Intelligence and Intelligent Informatics
SN - 1343-0130
IS - 7
ER -