Cafferata, Alessia

Casellina, Simone

Landini, Simone

Uberti, Mariacristina

English

Institutional Research Information System University of Turin

Ponzi and zombies: the risk of over-indebtness ofthe private sectorAlessia CafferataDepartment of Management,University of Turinalessia.cafferata@unito.itSimone CasellinaBank Sector Analyst,European Banking AuthoritySimoneEnrico.Casellina@eba.europa.euSimone LandiniIRES Piemontesimone.landini@unito.itMariacristina UbertiDepartment of Management,University of Turinmariacristina.uberti@unito.itExtended abstract 1Financial and economic crises are not always the same, and only some ofthem have a radical and persistent impact on the economic system and on thewell-being of the community. For this reason it is important to understandwhy only some episodes of crisis generate prolonged and systemic recessions.In this respect, [2, 3] has introduced the idea that in periods of stability,financial actors tend to increase their risk exposure, moving from a stablehedge-dominated structure to an unstable one characterised by speculativefinancial position and Ponzi: stability would be destabilising.1Speaker: Simone Landini. [simone.landini@unito.it].1As a response of the Great Recession and of the most recent Covid-19 eco-nomic crisis, several central banks opted for a liquidity injection as a stimulusfor the economy and to prevent systemic collapse. However, although notwith the same intensity, these non-conventional expansive monetary policieshad been pursued also during the period of “tranquility” between 2014 andthe beginning of 2020, facilitating the access to credit over a wide spectrumof solvability degrees.Starting from the three different relationships presented by Minsky (income-debt-hedge, speculative and Ponzi) for financial units, we develop a simplepartial equilibium agent-based model in which firms, the banking sector, thereal and the financial side of the economy interact. This theoretical frame-work allows to extend the migratory microsimulation models based on theE(ntry)-S(tay)-L(eave) scheme of [1] by considering the economic system, thebusiness cycle and by simulating the heterogeneity in firms’ creditwothiness.KeywordsFinancial instability; Credit worthiness; Agent-based model; Real-financialinteractions; Minsky.References[1] S. Landini, M. Uberti, S. Casellina, Credit risk migration rates mod-elling as open systems II: A simulation model and IFRS9-baseline prin-ciples, Structural Change and Economic Dynamics, 50(2019), 175–189.[2] H. Minsky, John Maynard Keynes, New York: Columbia UniversityPress, 1975.[3] H. Minsky, Can “it” Happen Again? Essays on Instability and Finance.,New York: Sharp, 1982.Title of the session: Nonlinear Economic DynamicsName of the organizer: Fabio Tramontana2

Ponzi and zombies: The risk of over-indebtness of the private sector

https://iris.unito.it/retrieve/handle/2318/1821367/876582/NED%202021%20CafCasLanUbe%20Abstract.pdf

Ponzi and zombies: The risk of over-indebtness of the private sector

Abstract

Similar works

Full text

Available Versions

Institutional Research Information System University of Turin