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  • 标题:An Agent-Based Approach to Interbank Market Lending Decisions and Risk Implications
  • 本地全文:下载
  • 作者:Anqi Liu ; Cheuk Yin Jeffrey Mo ; Mark E. Paddrik
  • 期刊名称:Information
  • 电子版ISSN:2078-2489
  • 出版年度:2018
  • 卷号:9
  • 期号:6
  • 页码:132
  • DOI:10.3390/info9060132
  • 语种:English
  • 出版社:MDPI Publishing
  • 摘要:In this study, we examine the relationship of bank level lending and borrowing decisions and the risk preferences on the dynamics of the interbank lending market. We develop an agent-based model that incorporates individual bank decisions using the temporal difference reinforcement learning algorithm with empirical data of 6600 U.S. banks. The model can successfully replicate the key characteristics of interbank lending and borrowing relationships documented in the recent literature. A key finding of this study is that risk preferences at the individual bank level can lead to unique interbank market structures that are suggestive of the capacity with which the market responds to surprising shocks.
  • 关键词:interbank market; contagion risk; multi-agent system; reinforcement learning agents interbank market ; contagion risk ; multi-agent system ; reinforcement learning agents
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