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Multi-agent Network Models of Financial Stability
Klinger, Tomáš ; Teplý, Petr (advisor) ; Tripe, David (referee) ; Stavárek, Daniel (referee) ; Jakubík, Petr (referee)
The thesis focuses on 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 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...
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Systemic risk and sovereign crises: modelling interconnections in the financial system
Klinger, Tomáš ; Teplý, Petr (advisor) ; Jakubík, Petr (referee)
This thesis focuses on the link between financial system and sovereign debt crises through sovereign support to banks on one hand and banks' exposures to weak sovereigns on the other. After illustrating the main relationships on the recent financial crisis, we construct an agent-based network model of an artificial financial system allowing us to analyse the effects of state support on systemic stability and the feedback loops of risk transfer back into the financial system. First, the model is tested with various parameter settings in Monte Carlo simulations and second, it 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.
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Systemic risk and sovereign crises: modelling interconnections in the financial system
Klinger, Tomáš ; Teplý, Petr (advisor) ; Jakubík, Petr (referee)
This thesis focuses on the link between financial system and sovereign debt crises through sovereign support to banks on one hand and banks' exposures to weak sovereigns on the other. After illustrating the main relationships on the recent financial crisis, we construct an agent-based network model of an artificial financial system allowing us to analyse the effects of state support on systemic stability and the feedback loops of risk transfer back into the financial system. First, the model is tested with various parameter settings in Monte Carlo simulations and second, it 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.
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Agent-based models of cooperative games
Sedláček, Adam ; Burian, Jan (advisor) ; Dlouhý, Martin (referee)
The diploma thesis describes design and creation of agent-based model of cooperative games and its subsequent analysis. The created model combines assumptions of game the-ory with other findings; it examines the dynamics of coalition formation and the influence of external and internal factors on this formation. The first theoretical part introduces the game theory and clarifies basic principles and con-cepts of N - player cooperative games. It evaluates the benefits and disadvantages of solu-tions introduced by this theory. The thesis further deals with multi-agent systems focused on agent-based models as an analytical and computational method for analyzing complex systems. There are also explained basic principles of agent-based modeling, including ap-proaches of their creation. Furthermore, there are presented distinctions between different types of agents, environments and models. The second practical part specifies assumptions and principles that are essential for the created multi-agent model. The diploma thesis describes the development of agent-based model of cooperative games by itself, including its characteristics and behavior. Final analysis of the created model clarifies impact of individual variables on the coalition for-mation process and confirms its ability to investigate given area.
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Reactive Multi-agent models in economics
Burian, Jan ; Pstružina, Karel (advisor) ; Berka, Petr (referee) ; Pospíchal, Jiří (referee)
Multi-agent models are software models of real systems, which are compounded of a large amount of active autonomous units -- agents. The main theme of this study is the application of multi-agent models in economics. In the first part of this study I synthesized information from many sources and created a proposal of methodology of multi-agent modeling in social sciences. This methodology is illustrated by a detailed analysis of a well-known model of ethnocentric behavior. I focused on the issue of complexity a self-organization a observed the development of different kinds of structural complexity. Another important issue I'm dealing with is the relation between multi-agent models and analytical models used by the mainstream economy The second part contains three applications of multi-agent models in economy. All described models are research models -- the aim is to get insight into the fundamental laws controlling the dynamics of the system. Research models should be as simple as possible -- than we can understand how the behavior of the system is resulting from the interaction of agents. All models represent an alternative to some typical economic situation. The alternative consists mainly in abandoning of the assumption of full rationality of agents. I focused on models with reactive agents, which don't dispose any memory (or only an indirect form of memory) and have no ability of complex symbolical representation of the environment. Reactivity of agents doesn't necessarily mean an unwanted limitation. It could be properly used to model different kinds of bounded rationality. The model of transaction costs on financial markets is based on another model, which showed how the instability of the financial market could result from interactions of agents with bounded rationality. The instability of the financial markets contradicts the Effective Markets Hypothesis. I modified and extended this model with the mechanism of transaction cost. The model shows that higher transaction costs lead to greater stability of the market, they decrease the volume of trade and to some extent they can increase the efficiency of the modeled market. The model of evolution of aversion to risk and ambiguity is inspired by psychological and neurological experiments whose results contradict the Expected Utility Hypothesis. Model shows that there exists very simple mechanism which leads to evolution of risk and ambiguity aversion. This aversion evolves because of situations when the agent can repeatedly decide between two choices, one brings him low but risk free utility, second brings him higher utility which involves the risk that the agent will lose its ability to get any utility in the future (e.g. it will die). The model shows that sexual reproduction strengthens this mechanism. If this mechanism has also evolved in humans, it can influence their behavior and lead to "irrational" behavior contradicting the Expected utility hypothesis. The model of monopsony on the labor market analyses the situation in which the employer could cut the wages to the existential minimum of workers. In such a case are the workers paradoxically to increase the labor supply when the wages are decreasing. The model further analyses the influence of consumer loans on the profit of the employer, unemployment and welfare. The model shows that the increasing of the probability of consumer loans increases the profits, increases unemployment, decreases well-fare and in some situations it enables the employer to decrease the wages to the existential minimum. The model also suggests that for very low wages the decrease of minimum wage could lead to increase of unemployment. From the results recommendations could be obtained both for the profit maximizing employer and for the workers resisting the wage cuts.
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