Témata prací (Výběr práce)Témata prací (Výběr práce)(verze: 290)
Detail práce
Multi-agent Network Models of Financial Stability
Název práce v češtině: Multiagentní síťové modely finanční stability
Název v anglickém jazyce: Multi-agent Network Models of Financial Stability
Klíčová slova: finanční krize, finanční nákaza, finanční podpora, finanční regulace, finanční stabilita, multiagentní modely, riziko likvidity, síťové modely, státní podpora, systémové riziko
Klíčová slova anglicky: agent-based models, bailout, contagion, financial crises, financial regulation, financial stability, liquidity risk, network models, state support, systemic risk
Akademický rok vypsání: 2013/2014
Typ práce: disertační práce
Jazyk práce: angličtina
Ústav: Institut ekonomických studií (23-IES)
Vedoucí / školitel: doc. PhDr. Petr Teplý, Ph.D.
Řešitel: skrytý - zadáno a potvrzeno stud. odd.
Datum přihlášení: 13.11.2015
Datum zadání: 13.11.2015
Datum potvrzení stud. oddělením: 13.11.2015
Datum a čas obhajoby: 21.09.2016 00:00
Místo konání obhajoby: IES
Datum odevzdání elektronické podoby:09.07.2016
Datum odevzdání tištěné podoby:08.07.2016
Datum proběhlé obhajoby: 21.09.2016
Oponenti: prof. BcA. David Tripe
  doc. Ing. Daniel Stavárek, Ph.D.
  doc. PhDr. Ing. et Ing. Petr Jakubík, Ph.D., Ph.D.
Seznam odborné literatury
Acemoglu D., Ozdaglar A., Tahbaz-Salehi A. (2013). Systemic Risk and Stability in Financial Networks. NBER Working Papers 18727. National Bureau of Economic Research Inc.
Acharya, V., Drechsler, I., Schnabl, P. (2014). A pyrrhic victory? Bank bailouts and sovereign credit risk. The Journal of Finance. 69(6), pp. 2689-2739.
Acharya V., Drechsler I., Schnabl P. (2012). A tale of two overhangs. the nexus of financial sector and sovereign credit risks. Banque de France Financial Stability Review April Issue 16
Admati, A., Hellwig, M. (2013). The Bankers’ New Clothes. Princeton: Princeton University Press.
Adrian, T., Shin, H.S. (2010). Liquidity and leverage. Journal of financial intermediation. 19, pp. 418-437
Allen, F., Carletti, E. (2010). An Overview of the Crisis: Causes, Consequences, and Solutions. International Review of Finance. 10(1), pp. 1-26.
Allen, F., Babus, A. (2009). Networks in Finance. Wharton School Publishing, pp. 367-382.
Allen, F., Gale, D. (2000). Financial Contagion. Journal of Political Economy. Vol. 108. No. 1, pp. 1-33.
Altman, E.I. & Saunders, A. (2001). An analysis and critique of the BIS proposal on capital aqedquacy and rating. Journal of Banking and Finance, pp. 25-46.
Arslanalp S., Tsuda T. (2012). Tracking Global Demand for Advanced Economy Sovereign Debt. IMF Working Paper 12/284.
Attinasi M.G., Checherita C., Nickel C. (2009). What Explains the Surge in Euro Area Sovereign Spreads During the Financial Crisis of 2007-09?. ECB Working Paper No. 1131. December.
Battiston S., Delli Gatti D., Gallegati M., Greenwald B., Stiglitz J. E. (2012). Default cascades. When does risk diversification increase stability? Journal of Financial Stability 8(3), pp 138-149.
Bardos, J. (1987-88, Winter). The risk-based capital agreement: A further step towards policy convergence. FRBNY Quarterly Review, pp. 26-34
Barth, J. R., Caprio, G. J., & Levine, R. (2005). Rethinking Bank Regulation: Till Angels Govern. Cambridge University Press.
Berger, A.N. , Herring, R.J. & Szego, G.P. (1995). The role of capital in financial institutions. Journal of Banking and Finance. 19, pp. 393-430.
Bhattacharya, K. (2003). How Good is the BankScope Database? A Cross-Validation Exercise With Correction Factors for Market Concentration Measures. Basel. BIS Working Papers No.133.
Blasques F., Bräuning F., Van Lelyveld I. (2015). A dynamic network model of the unsecured interbank lending market. BIS Working Papers No 491/2015.
BOE. (2009). Financial Stability Report: December 2009 (Vol. 26). England: Bank of England.
Boss, M. et al. (2004). The network topology of the interbank market. Quantitative Finance. Vol. 4. No. 6, pp. 677-684.
Borensztein E., Panizza U. (2009). The Costs of Sovereign Default. IMF Staff Papers. 56(4). Pp. 683-741.
Brunnermeier, M. et al. (2009). The Fundamental Principles of Financial Regulation: Geneva Reports on the World Economy. Centre for Economic Policy Research.
Calomiris, C. W., & Haber, S. H. (2014). Fragile by design: the political origins of banking crises and scarce credit. Princeton University: Princeton University Press.
Campolongo F., Marchesi M., De Lisa R. (2011). The Potential Impact of Banking Crises on Public Finances. An Assessment of Selected EU Countries Using Symbol. OECD Journal. Financial Market Trends 2(23). pp73-84.
Caruana J. (2012). Financial and Real Sector Interactions. Enter the Sovereign 'Ex Machina'. BIS Working Papers No. 62. pp 9-19.
Chan-Lau J. (2010). Balance Sheet Network Analysis of Too-Connected-to-Fail Risk in Global and Domestic Banking Systems. IMF Working Paper 10/107.
Cifuentes R., Ferruci G., Shin H. S. (2005). Liquidity risk and contagion. Journal of the European Economic Association 3(2). pp 556-566.
Cochrane, J. (2013). Finance: Function Matters, Not Size. Journal of Economic Perspectives 27 (2). pp 29-50.
Cottarelli C., Jaramillo L. (2012). Walking hand in hand. Fiscal policy and growth in advanced economies. IMF Working Paper 12/137.
Craig V., Dinger V. (2013). Deposit market competition, wholesale funding, and bank risk. Journal of Banking & Finance, 37. pp 3605-3622.
Dermine, J. (2013). Bank regulations after the global financial crisis: good intensions and unintended evil. European Financial Management. 19(4), pp. 658-674
Dewally M., Yingying S. (2014). Liquidity crisis, relationship lending and corporate finance. Journal of Banking and Finance 39. pp. 223-239.
Diamond, D. W. (1984). Financial Intermediation and Delegated Monitoring. UK: Review of Economic Studies, 51 (3), pp. 393-414.
Dias J. (2012). Sovereign Debt Crisis in the European Union. A Minimum Spanning Tree Approach. Physica A-Statistical Mechanics and Its Applications 391(5). pp 2046-2055.
EBA (2011). European Banking Authority 2011 EU-Wide Stress Test Aggregate Report. London. European Banking Authority.
ECB. (2010). Recent Advances in Modelling Systemic Risk Using Network Analysis. European Central Bank.
EIOPA, (2015). Financial Stability Report, EIOPA- FSC- 15-088, December, 2015
Elliott, D. J. (2010). Basel III, the Banks, and the Economy. Washington DC: The Brookings Institution.
Enderlein H., Trebesch C., Von Daniels L. (2012). Sovereign Debt Disputes. A Database on Government Coerciveness During Debt Crises. Journal of International Money and Finance 31(2). pp. 250-266.
Erdös, P., Rényi, A. (1959). On random graphs. Publicationes Mathematicae. 1959, Vol. 6, pp. 290-297.
Estrella A, Schich S (2011). Sovereign and Banking Sector Debt. Interconnections through Guarantees. OECD Journal. Financial Markets Trends, Issue 2.
European Commission (2012). Facts and Figures on State Aid in the EU Member States. Commision staff working document.
Frait, J., Komárková Z. (2011). Financial stability, systemic risk and macro prudential policy. Czech National Bank Financial Stability Report 2010/2011, pp. 96-111.
Freixas, X., Parigi, B., Rochet, J. C. (2000). Systemic risk, Interbank relations and liquidity provision by the Central Bank. Journal of Money, Credit, and Banking. Vol. 32, No. 3, pp. 611-638.
Freixas, X., Rochet, J.-C. (2008). Microeconomics of Banking (2nd ed.). MIT Press.
Gai, P., Kapadia, S. (2010). Contagion in financial networks. Proceedings of the Royal Society A. 2010. Vol. 466, No. 2120, pp. 2401-2423.
Gale D. M., Kariv S. (2007). Financial Networks. The American Economic Review. 97 (2), pp.99–103.
Georg C. P. (2013). The Effect of the Interbank Network Structure on Contagion and Financial Stability. Journal of Banking and Finance. 77(7), pp.2216 – 2228.
Geršl, A., Jakubík, P. (2010). Procyclicality of the financial system. Czech National Bank, Financial Stability Report 2009/2010, pp. 110-119.
Gersl A., Komarkova Z. (2009). Liquidity risk and banks' bidding behavior : Evidence from the global financial crisis. Czech Journal of Economics and Finance. 59(6), pp.577-592.
Halaj, G., Sorensen, C. K. (2013). Assessing interbank contagion using simulated networks. ECB Working Paper No. 1506, January.
Hannoun, H. (2010). The Basel III Capital Framework: A decisive breakthrough. Basel: BIS.
Hull, J. C. (2008). Options, Futures, and Other Derivatives. 7th ed. Prentice Hall.
IMF. (2009). Global Financial Stability Report: Responding to the Financial Crisis and Measuring Systemic Risks. International Monetary Fund.
Jones, D. (2000). Emerging Problems with the Basel Capital Accord: Regulatory Capital Arbitrage and related issues. Journal of Banking and Finance. 24, pp. 35-58.
Klinger, T., Teply, P. (2014). Systemic risk of the global banking system-an agent-based network model approach. Prague Economic Papers, 23(1), pp.24-41.
Kyle A. S. (1985). Continuous auctions and insider trading. Econometrica. 53(6), pp.1315–1335.
Laeven L., Valencia F. (2012). Systemic Banking Crises. An Update. IMF Working paper 12/163.
Laeven L., Valencia F. (2008). Systemic Banking Crises. A New Database. IMF Working Paper 8/224.
Lall, R. (2010). Reforming Global Banking Rules: Back to the Future? Denmark: DIIS Working Papers (16).
Lall, R. (2009). Why Basel II Failed and Why Basel III is Doomed. UK: GEG Working papers (52). University of Oxford.
Lane, P. R. (2012). The European sovereign debt crisis. The Journal of Economic Perspectives. 26(3), pp.49-67
Lewis, T. G. (2009). Network Science: Theory and Applications. 1st ed. Wiley.
Manasse P., Roubini N. (2009). Rules of Thumb for Sovereign Debt Crises. Journal of International Economics. 78(2), pp.192-205.
Mandel M., Tomsik V. (2014). Monetary policy efficiency in conditions of excess liquidity withdrawal. Prague Economic Papers. 23(1), pp.3-23.
Matejašák, M., Černohorský, J., Teplý, P. (2009). The Impact of Regulation of Banks in the US and the EU-15 Countries. E + M: Ekonomie A Management Vol.3, pp. 58-69.
Mejstřík, M., Pečená, M., Teplý, P. (2009). Basic principles of banking. Karolinum.
Merler S., Pisani-Ferry J. (2012). Hazardous tango: Sovereign-bank interdependence and financial stability in the euro area. Banque de France Financial Stability Review. Issue 16.
Mishkin, F. S. (2004). The Economics of Money, Banking and Financial Markets (7th ed.). USA: Pearson, Addison-Wesley.
Mistrulli, P. E. (2011). Assessing financial contagion in the interbank market: Maximum entropy versus observed interbank lending patterns. Journal of Banking & Finance Vol. 35 No. 5, pp. 1114-1127.
Modigliani, F., Miller, M. H. (1958). The Cost of Capital, Corporation Finance and the Theory of Investment. The American Economic Review , 48 (No. 3), pp. 261-297.
Mody, A., Sandri, D. (2012). The eurozone crisis: how banks and sovereigns came to be joined at the hip. Economic Policy. 27(70), pp.199-230.
Muller, J. (2006). Interbank Credit Lines as a Channel of Contagion. Journal of Financial Services Research. Vol. 29 No. 1, pp. 37-60.
Nier, E. et al. (2007). Network models and financial stability. Journal of Economic Dynamics and Control. Vol. 31 No. 6, pp. 2033-2060.
Noack, A. (2007). Unified Quality Measures for Clusterings, Layouts, and Orderings of Graphs, and Their Application as Software Design Criteria (PhD Thesis). Brandenburg University of Technology.
Oliver Wyman. (2011). The Financial Crisis of 2015: An Avoidable History. State of the Financial Services Industry. New York: Oliver Wyman, Marsh and Mc Lennan Companies
Panetta, F. et al. (2009). An assessment of financial sector rescue programmes. Basel: BIS Working Papers No. 48, July.
Petrovic, A. Tutsch, R. (2009). National Rescue Measures in Response to the Current Financial Crisis. ECB Legal Working Paper Series No. 8, July.
Pisani-Ferry J. (2012). The euro crisis and the new impossible trinity. Bruegel Policy Contribution 2012/01.
Popov A., Horen N.V. (2013). The imact of sovereign debt exposure on bank lending. DNB Working paper. No.382. June 2013.
Puig M.G., Rivero S.S. and Singh M.K. (2015). Sovereigns and banks in the euro area: a tale of two crisis, Research institute of Applied Economics, IREA.
Reinhart C. M., Rogoff K. (2009). This Time Is Different. Eight Centuries of Financial Folly. 1st ed. Princeton University : Princeton University Press.
Rippel, M., Teplý, P. (2011). Operational Risk - Scenario Analysis. Prague Economic Papers No.1, pp. 23-39.
Roll, R. (1986). The Hubris Hypothesis of Corporate Takeovers. The Journal of Business, 59 (2), pp. 197-216.
Schooner, H. M., Taylor, M. W. (2009). Global Bank Regulation: Principles and Policies. Academic Press Inc.
Schelling, T. C. (1969). Models of Segregation. The American Economic Review. 59(2), pp. 488-493.
Sheng, A. (2010). Financial Crisis and Global Governance: A Network Analysis. Commission on Growth and Development, Globalization and Growth: Implications for a Post-Crisis World, pp. 69-93.
Shin H. S., (2010), Macro prudential Policies beyond Basel III. Policy Memo. Princeton University: Princeton University Press.
Shin, H. S. (2008). Risk and Liquidity in a System Context. Journal of Financial Intermediation. Vol. 17 No. 3, pp. 315-329.
Sutorova B., Teply P. (2013). The impact of Basel III on lending rates of EU banks. Czech Journal of Finance. 63(3), pp.226–243.
Sutorova B., Teply P. (2014). The level of capital and the value of EU banks under Basel III. Prague Economic Papers. 23(2), pp.143–161.
Tarullo, D. K. (2008). Banking on Basel: The Future of International Financial Regulation. Peterson Institute for International Economics.
Teply, P., Vrabel, M., Cernohorska, L. (2012). The VT Index as an Indicator of Market Liquidity Risk in Slovakia. Journal of Economics. 60(3).
Teplý, P. (2010). The Key Challenges of The New Bank Regulations. (66), Paris: World Academy of Science, Engineering and Technology, pp. 383-386.
Teplý, P. Diviš, K, Černohorská, P. (2007). Implications of the New Basel Capital Accord for European Banks. E+M Journal, Vol. 1/2007, pp. 59-65.
Tesfatsion, L. & Judd, K. N. (2006). Handbook of Computational Economics. Elsevier B.V., Upper, C. (2011). Simulation methods to assess the danger of contagion in interbank markets. Journal of Financial Stability. Vol. 7(3), pp. 111-125.
Upper, C., Worms, A. (2004). Estimating Bilateral Exposures in the German Interbank Market: Is There a Danger of Contagion? European Economic Review. Vol. 48 No. 4, pp. 827-849.
Upper, Ch. (2011). Simulation methods to assess the danger of contagion in interbank markets. Journal of Financial Stability. Vol. 7 No. 3, pp. 111-125.
Van Lelyveld, I., Liedorp, F. (2006). Interbank Contagion in the Dutch Banking Sector: A Sensitivity Analysis. International Journal of Central Banking. Vol. 2, pp. 99-133.
Vodova, P. (2013). Liquid assets in banking. what matters in the Visegrad countries? E + M Ekonomie A Management. 16(3), pp.113-129
Předběžná náplň práce
Tato práce pojednává o mezinárodní bankovní regulaci a na vazby mezi krizemi finančního systému a dluhovými krizemi jednotlivých států. Po ilustraci hlavních vztahů na nedávné finanční krizi zkonstruujeme několik multiagentních síťových modelů finančního systému pro testování jeho stability při různých nastaveních jeho parametrů.
V první části se zaměřujeme na důvody regulace bank a popisujeme vývoj mezinárodní bankovní regulace včetně aktuálně představených dokumentů známých jako Basel III. Hlavním závěrem této části je skutečnost, že regulace je z velké míry ovlivňována samotnými bankami a ne vždy slouží k zajištění stability finančního systému.
Ve druhé části zkonstruujeme multiagentní model, který umožňuje simulovat dopady negativních šoků při různých nastaveních parametrů bankovního systému a regulatorního prostředí. Naše simulace ukazují zaprvé, že dostatečná míra kapitálu je nezbytná pro zajištění systémové stability, zadruhé, že jakmile se systém octne v systémové krizi, diskreční zásahy mají jen velmi malý účinek a zatřetí poukazují na užitečnost regulace likvidity.
Ve třetí části model rozšíříme tak, aby umožnil analyzovat efekty státní podpory na systémovou stabilitu a efekty zpětné vazby, při kterých se riziko přenáší ze států zpět na bankovní systém. Dále testujeme různé parametrizace modelu pomocí Monte Carlo simulací.
Ve čtvrté části je model zkalibrován pomocí jedinečné sady dat složené z různých zdrojů. Klíčové výsledky naší analýzy jsou následující: Zaprvé, v krátkodobém horizontu veškerá opatření na podporu bank zlepšují systémovou stabilitu. Za druhé, v delším časovém horizontu závisí účinky státní podpory na parametrizaci modelu, ale stále existují nastavení, za kterých státní pomoc výrazně zmírňuje systémovou krizi. A konečně, existují rozdíly mezi účinky různých typů podpůrných opatření.
Předběžná náplň práce v anglickém jazyce
The thesis focuses on the international banking regulation and on the nexus between financial sovereign crises. After illustrating the main mechanisms on the recent financial crisis, we construct several multi-agent network models of a financial system for testing its stability under different setting of parameters.
In the first part, we focus on the rationale for banking regulation and we describe its development including the recently introduced Basel III measures. The main conclusion of this part is that regulation is to a large extent influenced by the banks and it does not always secure financial system stability.
In the second part, we build an agent-based model which enables us to simulate the impacts of various types of negative shocks given various settings of the banking system and the regulatory environment, including the capital and liquidity measures. Our simulations show firstly that sufficient capital buffers are crucial for systemic stability, secondly that the discretionary measures have little effect once a crisis breaks out and thirdly that liquidity measures are a relevant regulatory tool.
In the third part, the model is extended so that it allows for testing effects of state support on systemic stability is tested with various parameter settings in Monte Carlo simulations and for testing of feedback loops in which the risk is transferred from the sovereigns back to the financial system. Different parameter settings are tested in Monte Carlo simulations.
In the fourth part, the model is calibrated to the real world data using a unique dataset put together from various sources. Our analyses yield the following key results: Firstly, in the short term, all the support measures improve the systemic stability. Secondly, in the longer run, the effects of state support depend on several parameters but still there are settings in which it significantly mitigates the systemic crisis. Finally, there are differences among the effects of the different types of support measures.
Univerzita Karlova | Informační systém UK