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Article

Macroprudential Policy in a Heterogeneous Environment—An Application of Agent-Based Approach in Systemic Risk Modelling

1
Institute of Economics, Polish Academy of Sciences, Nowy Swiat St. 72, 00-330 Warsaw, Poland
2
Department of Empirical Analyses of Economic Stability, Cracow University of Economics, Rakowicka St. 27, 31-510 Cracow, Poland
*
Author to whom correspondence should be addressed.
These authors contributed equally to this work.
Entropy 2020, 22(2), 129; https://doi.org/10.3390/e22020129
Received: 29 December 2019 / Revised: 13 January 2020 / Accepted: 17 January 2020 / Published: 21 January 2020
(This article belongs to the Special Issue Complexity in Economic and Social Systems)
Assessment of welfare effects of macroprudential policy seems the most important application of the Dynamic Stochastic General Equilibrium (DSGE) framework of macro-modelling. In particular, the DSGE-3D model, with three layers of default (3D), was developed and used by the European Systemic Risk Board and European Central Bank as a reference tool to formally model the financial cycle as well as to analyze effects of macroprudential policies. Despite the extreme importance of incorporating financial constraints in Real Business Cycle (RBC) models, the resulting DSGE-3D construct still embraces the representative agent idea, making serious analyses of diversity of economic entities impossible. In this paper, we present an alternative to DSGE modelling that seriously departs from the assumption of the representativeness of agents. Within an Agent Based Modelling (ABM) framework, we build an environment suitable for performing counterfactual simulations of the impact of macroprudential policy on the economy, financial system and society. We contribute to the existing literature by presenting an ABM model with broad insight into heterogeneity of agents. We show the stabilizing effects of macroprudential policies in the case of economic or financial distress. View Full-Text
Keywords: systemic risk; macroprudential policy; agent-based modelling; inequality; central-banking systemic risk; macroprudential policy; agent-based modelling; inequality; central-banking
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MDPI and ACS Style

Kaszowska-Mojsa, J.; Pipień, M. Macroprudential Policy in a Heterogeneous Environment—An Application of Agent-Based Approach in Systemic Risk Modelling. Entropy 2020, 22, 129. https://doi.org/10.3390/e22020129

AMA Style

Kaszowska-Mojsa J, Pipień M. Macroprudential Policy in a Heterogeneous Environment—An Application of Agent-Based Approach in Systemic Risk Modelling. Entropy. 2020; 22(2):129. https://doi.org/10.3390/e22020129

Chicago/Turabian Style

Kaszowska-Mojsa, Jagoda, and Mateusz Pipień. 2020. "Macroprudential Policy in a Heterogeneous Environment—An Application of Agent-Based Approach in Systemic Risk Modelling" Entropy 22, no. 2: 129. https://doi.org/10.3390/e22020129

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