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dc.contributor.authorFischer, Thomasen_US
dc.contributor.authorRiedler, Jesperen_US
dc.date.accessioned2012-07-24en_US
dc.date.accessioned2012-07-25T11:00:38Z-
dc.date.available2012-07-25T11:00:38Z-
dc.date.issued2012en_US
dc.identifier.urihttp://hdl.handle.net/10419/60105-
dc.description.abstractWe develop an agent-based model in which heterogenous and boundedly rational agents interact by trading a risky asset at an endogenously set price. Agents are endowed with balance sheets comprising the risky asset as well as cash on the asset side and equity capital as well as debt on the liabilities side. The introduction of balance sheets and debt into an agent-based setup is relatively new to the literature and allows us to tackle several research questions that are mostly inaccessible following conventional methodology, especially representative agent models. A number of findings emerge when simulating the model. We find that the empirically observable log-normal distribution of bank balance sheet size naturally emerges and that higher levels of leverage lead to a greater inequality among agents. When further analyzing the relationship between leverage and balance sheets, we observe that decreasing credit frictions result in an increasingly procyclical behavior of leverage, which is typical for investment banks. We show how decreasing credit frictions increase volatility but decrease the number of bankruptcies.en_US
dc.language.isoengen_US
dc.publisherZentrum für Europäische Wirtschaftsforschung (ZEW) Mannheimen_US
dc.relation.ispartofseriesZEW Discussion Papers 12-045en_US
dc.subject.jelC63en_US
dc.subject.jelD53en_US
dc.subject.jelD84en_US
dc.subject.ddc330en_US
dc.subject.keywordagent-based modelen_US
dc.subject.keywordfinancial marketsen_US
dc.subject.keywordinstabilityen_US
dc.subject.keywordbalance sheetsen_US
dc.subject.keywordleverageen_US
dc.subject.keywordsize distributionen_US
dc.subject.keywordcredit frictionsen_US
dc.titlePrices, debt and market structure in an agent-based model of the financial marketen_US
dc.typeWorking Paperen_US
dc.identifier.ppn719957141en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:zewdip:12045-
Appears in Collections:Publikationen von Forscherinnen und Forschern des ZEW
ZEW Discussion Papers

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