Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/60105 
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dc.contributor.authorFischer, Thomasen
dc.contributor.authorRiedler, Jesperen
dc.date.accessioned2012-07-24-
dc.date.accessioned2012-07-25T11:00:38Z-
dc.date.available2012-07-25T11:00:38Z-
dc.date.issued2012-
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
dc.language.isoengen
dc.publisher|aZentrum für Europäische Wirtschaftsforschung (ZEW) |cMannheimen
dc.relation.ispartofseries|aZEW Discussion Papers |x12-045en
dc.subject.jelC63en
dc.subject.jelD53en
dc.subject.jelD84en
dc.subject.ddc330en
dc.subject.keywordagent-based modelen
dc.subject.keywordfinancial marketsen
dc.subject.keywordinstabilityen
dc.subject.keywordbalance sheetsen
dc.subject.keywordleverageen
dc.subject.keywordsize distributionen
dc.subject.keywordcredit frictionsen
dc.titlePrices, debt and market structure in an agent-based model of the financial market-
dc.typeWorking Paperen
dc.identifier.ppn719957141en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:zewdip:12045en

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