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文章基本信息

  • 标题:Lending Sociodynamics and Drivers of the Financial Business Cycle
  • 本地全文:下载
  • 作者:Siti Nurjanah ; Maggy T.Suhartono ; Ratih Dewanti-Hariyadi
  • 期刊名称:Quantitative Finance and Economics
  • 电子版ISSN:2573-0134
  • 出版年度:2017
  • 卷号:1
  • 期号:3
  • 页码:219-252
  • DOI:10.3934/QFE.2017.3.219
  • 语种:English
  • 出版社:AIMS Press
  • 摘要:We extend sociodynamic modeling of the financial business cycle to the Euro Area and Japan. Using an opinion-formation model and machine learning techniques we find stable model estimation of the financial business cycle using central bank lending surveys and a few selected macroeconomic variables. We find that banks have asymmetric response to good and bad economic information, and that banks adapt to their peers' opinions when changing lending policies.
  • 关键词:economic instability;Financial Instability hypothesis;Sociodynamics;opinion formation;systemic risk;Random Forest;Fokker-Planck equation
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