Analysis of the Influences of Central Bank Financing on Operative Collapses of Financial Institutions Using Agent-Based Simulation

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

Research output: Chapter in Book/Report/Conference proceedingConference contribution

6 Citations (Scopus)

Abstract

Studies on financial crisis have focused on "systemic risk", whereby the collapse of one or more financial institutions has a ripple effect on the financial system itself. To prevent the occurrence or spread of such risks, a variety of discussions and studies have examined the role of central banks. This study deals with a case where central banks play a critical backup role in interbank markets. To realize the study aims, the authors develop an agent-based simulation platform and analyze the influences of central bank financing on operative reaction collapses of financial institutions. The main results are as follows: First, their financing may prevent operative reaction collapses by easing cash-flow situations. Additionally, there exist other risks such as financial institutions becoming excessively dependent for funding on the central bank, and unhealthy institutions remaining alive when they deserve to fail.

Original languageEnglish
Title of host publicationProceedings - 2016 IEEE 40th Annual Computer Software and Applications Conference Workshops, COMPSAC 2016
PublisherIEEE Computer Society
Pages95-104
Number of pages10
Volume2
ISBN (Electronic)9781467388450
DOIs
Publication statusPublished - 2016 Aug 24
Event2016 IEEE 40th Annual Computer Software and Applications Conference, COMPSAC 2016 - Atlanta, United States
Duration: 2016 Jun 102016 Jun 14

Other

Other2016 IEEE 40th Annual Computer Software and Applications Conference, COMPSAC 2016
CountryUnited States
CityAtlanta
Period16/6/1016/6/14

Keywords

  • Agent-based Simulation
  • Asset Liability Management
  • Central Bank
  • Systemic Risk

ASJC Scopus subject areas

  • Software

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    Kikuchi, T., Kunigami, M., Yamada, T., Takahashi, H., & Terano, T. (2016). Analysis of the Influences of Central Bank Financing on Operative Collapses of Financial Institutions Using Agent-Based Simulation. In Proceedings - 2016 IEEE 40th Annual Computer Software and Applications Conference Workshops, COMPSAC 2016 (Vol. 2, pp. 95-104). [7552186] IEEE Computer Society. https://doi.org/10.1109/COMPSAC.2016.63