Emergence of a core-periphery structure in a simple dynamic model of the interbank market

Abstract

Registro de acceso restringido Este recurso no está disponible en acceso abierto por política de la editorial. No obstante, se puede acceder al texto completo desde la Universitat Jaume I o si el usuario cuenta con suscripción. Registre d'accés restringit Aquest recurs no està disponible en accés obert per política de l'editorial. No obstant això, es pot accedir al text complet des de la Universitat Jaume I o si l'usuari compta amb subscripció. Restricted access item This item isn't open access because of publisher's policy. The full--text version is only available from Jaume I University or if the user has a running suscription to the publisher's contents.

An Agent-Based Approach to Interbank Market Lending Decisions and Risk Implications

“…The optimal policy can be learned implicitly using Q learning. More closely connected to our model is the work done by [19]. In this paper, Ref.…”

“…A multi-agent system consists of autonomous agents with independent behavioral rules, connections to other agents, and a exotic environment [28]. Providing a platform for endogenously learning the network formation, multi-agent systems have been applied on network topologies and contagion risk among banks [17][18][19]. Ref.…”

“…In this paper, Ref. [19] built a dynamic multi-agent learning system in which banks within the system will experience regular deposit shocks and they have to act accordingly in order to remain solvent. They rely on the fundamental reinforcement learning concept to select their counterparties by updating the trust factor between banks.…”

“…We, therefore, develop a multi-agent model in which bank agents are capable of learning using a reinforcement learning scheme based on their performance goals and the changing macro environment. This model presents connections among banks from a systemic perspective, which solves the lack of dynamics in network formation models of the existing literature [17][18][19].…”

Partially Overlapping Ownership and Contagion in Financial Networks

“…Several papers have investigated the core-periphery structure in the context of financial networks, both from a theoretical and dynamic perspective. Lux [15] develops a simple dynamic model of an interbank market where banks initially choose trading partners randomly due to idiosyncratic liquidity shocks. He shows that with heterogeneity in balance sheets and a simple reinforcement learning scheme governing potential trading counterparts, the system quickly converges to a core-periphery network structure.…”