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

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

Foi usado o modelo baseado em agentes de Barroso (2014) e Lima (2014) para estudar os impactos de uma ampla gama de políticas regulatórias sobre o setor bancário. Esse modelo se baseia em uma versão iterada do modelo de Diamond e Dybvig (1983) e lança mão do esquema de aprendizagem experience-weighted attraction de Camerer e Ho (1999) para modelar o aprendizado adaptativo dos agentes. Dessa forma, conseguimos capturar não somente os impactos diretos da regulação, mas também os que ocorrem através da alteração das estratégias adaptativas dos agentes. Os resultados mostram que uma câmara de compensação interbancária é um bom instrumento para fazer frente ao risco de contágio; as recomendações dos Acordos de Basiléia são efetivas na redução do risco de falência dos bancos; e a adoção de um seguro de depósito pode ser adequada para evitar corridas bancárias. Entretanto, nós também mostramos que essas políticas têm suas desvantagens, podendo tanto reduzir a atividade bancária quanto estimular o risco moral. _______________________________________________________________________________________________ ABSTRACTWe use the agent-based model of Barroso (2014) and Lima (2014) to study the impacts of a broad range of regulation policies over the banking system. The model builds on an iterated version of the Diamond and Dybvig (1983) framework and resorts to the experience-weighted attraction learning scheme of Camerer and Ho (1999) 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 an interbank clearinghouse is a good instrument to face the risk of contagion; the regulatory guidelines of the Basel Accords are effective in reducing the risk 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