Agent-based simulation of financial institution investment strategy under easing monetary policy for operative collapses

Takamasa Kikuchi, Masaaki Kunigami, Takashi Yamada, Hiroshi Takahashi, Takao Terano

Research output: Contribution to journalArticle

1 Citation (Scopus)

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 languageEnglish
Pages (from-to)1026-1036
Number of pages11
JournalJournal of Advanced Computational Intelligence and Intelligent Informatics
Volume22
Issue number7
DOIs
Publication statusPublished - 2018 Nov 1

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Macros
Decision making

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 journalArticle

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