Um arcabouço computacional para estudo do setor bancário através de modelos baseados em agentes

Dissertação (mestrado)—Universidade de Brasília, Faculdade de Economia, Administração e Contabilidade, Departamento de Economia, 2014.Este trabalho descreve a concepção e a construção de um arcabouço computacional para estudo do setor bancário através de modelos baseados em agentes. A estrutura do arcabouço baseia-se em uma versão iterada do modelo Diamond-Dybvig, com um número arbitrário de agentes de diferentes tipos, como instituições financeiras, firmas, depositantes e bancos centrais. Inspirado pelo paradigma de sistemas complexos adaptativos, o estudo focaliza a auto-organização e as propriedades emergentes decorrentes das interações entre agentes heterogêneos, dotados de racionalidade limitada, implementada usando a abordagem Experienced-Weighted Attraction. Por fim, apresentam-se exemplos demonstrando as capacidades do arcabouço, com aplicações envolvendo seguro de depósitos, emprestador de última instância, mercado interbancário com câmara de pagamentos, bancos grandes demais para quebrar, risco de crédito e requerimento de capital. ______________________________________________________________________________ ABSTRACTThis paper design and construct a computational framework for the study of the banking sector through agent-based models. The structure of the framework is based on an iterated version of the Diamond-Dybvig model with an arbitrary number of agents of different types, such as financial institutions, firms, central banks and depositors. Inspired by the paradigm of complex adaptive systems, this study focuses on the self-organization and emergent properties arising from the interactions between heterogeneous agents, who are endowed with bounded rationality, implemented using the Experienced-Weighted Attraction approach. Finally, examples are shown, demonstrating the capabilities of the framework, with applications involving deposit insurance, lender of last resort, interbank market with clearing house, banks too big to fail, credit risk and capital requirement

Interbank network and regulation policies: an analysis through agent-based simulations with adaptive learning

We develop an agent-based model to study the impacts of a broad range of regulation policies over the banking system. It builds on an iterated version of the \citet{DiamondDybvig1983} framework and resorts to the experience-weighted attraction learning scheme of \citet{CamererHo1999} to model agents' adaptive learning. Thereby, we can capture not only the direct impacts of regulation policies, but also the ones that take part through shifting agents' adaptive strategies. Our results show that the introduction of an interbank clearinghouse is a good instrument to face the risk of contagion; the regulatory guidelines of the Basel Accord are effective in reducing the probability of bank failure; and the adoption of a deposit insurance can be adequate to avoid bank runs. However, we also show that these policies have drawbacks, and can either reduce bank activity or stimulate moral hazard

Interbank network and regulation policies: an analysis through agent-based simulations with adaptive learning

We develop an agent-based model to study the impacts of a broad range of regulation policies over the banking system. It builds on an iterated version of the \citet{DiamondDybvig1983} framework and resorts to the experience-weighted attraction learning scheme of \citet{CamererHo1999} to model agents' adaptive learning. Thereby, we can capture not only the direct impacts of regulation policies, but also the ones that take part through shifting agents' adaptive strategies. Our results show that the introduction of an interbank clearinghouse is a good instrument to face the risk of contagion; the regulatory guidelines of the Basel Accord are effective in reducing the probability of bank failure; and the adoption of a deposit insurance can be adequate to avoid bank runs. However, we also show that these policies have drawbacks, and can either reduce bank activity or stimulate moral hazard