Analysis of the influences of negative interest rate on operative collapses of financial institutions using agent-based simulation

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

研究成果: Conference contribution

抄録

Europe and Japan have adopted a negative interest rate policy as part of their monetary easing measures. The difficulty of such a policy is that, despite claimed benefits associated with increased lending demand, concerns exist regarding an increased burden on private financial institutions due to the application of negative interest rates to excess reserves. In this paper, we focus on the risks associated with increased investment of surplus funds for the operations of financial institutions. The authors have proposed an agent model of interlocking specific bankruptcy that arises through a change in the financial situation due to market price fluctuations involving assets held by financial institutions. To extend the model to deal with macro market shock, we describe decision-making regarding funds that are surplus to the operation of financial institutions. Additionally, we analyze the impact on the financial system of price declines involving marketable assets.

本文言語English
ホスト出版物のタイトルIWACIII 2017 - 5th International Workshop on Advanced Computational Intelligence and Intelligent Informatics
出版社Fuji Technology Press Ltd
出版ステータスPublished - 2017 1 1
イベント5th International Workshop on Advanced Computational Intelligence and Intelligent Informatics, IWACIII 2017 - Beijing, China
継続期間: 2017 11 22017 11 5

Other

Other5th International Workshop on Advanced Computational Intelligence and Intelligent Informatics, IWACIII 2017
CountryChina
CityBeijing
Period17/11/217/11/5

ASJC Scopus subject areas

  • Artificial Intelligence
  • Information Systems

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