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

研究成果: Article査読

1 被引用数 (Scopus)

抄録

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.

本文言語English
ページ(範囲)1026-1036
ページ数11
ジャーナルJournal of Advanced Computational Intelligence and Intelligent Informatics
22
7
DOI
出版ステータスPublished - 2018 11 1

ASJC Scopus subject areas

  • Human-Computer Interaction
  • Computer Vision and Pattern Recognition
  • Artificial Intelligence

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