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异质环境下的宏观审慎政策——基于主体的方法在系统性风险建模中的应用

Macroprudential Policy in a Heterogeneous Environment-An Application of Agent-Based Approach in Systemic Risk Modelling.

作者信息

Kaszowska-Mojsa Jagoda, Pipień Mateusz

机构信息

Institute of Economics, Polish Academy of Sciences, Nowy Swiat St. 72, 00-330 Warsaw, Poland.

Department of Empirical Analyses of Economic Stability, Cracow University of Economics, Rakowicka St. 27, 31-510 Cracow, Poland.

出版信息

Entropy (Basel). 2020 Jan 21;22(2):129. doi: 10.3390/e22020129.

DOI:10.3390/e22020129
PMID:33285903
原文链接:https://pmc.ncbi.nlm.nih.gov/articles/PMC7516539/
Abstract

Assessment of welfare effects of macroprudential policy seems the most important application of the Dynamic Stochastic General Equilibrium (DSGE) framework of macro-modelling. In particular, the DSGE-3D model, with three layers of default (3D), was developed and used by the European Systemic Risk Board and European Central Bank as a reference tool to formally model the financial cycle as well as to analyze effects of macroprudential policies. Despite the extreme importance of incorporating financial constraints in Real Business Cycle (RBC) models, the resulting DSGE-3D construct still embraces the idea, making serious analyses of diversity of economic entities impossible. In this paper, we present an alternative to DSGE modelling that seriously departs from the assumption of the representativeness of agents. Within an Agent Based Modelling (ABM) framework, we build an environment suitable for performing counterfactual simulations of the impact of macroprudential policy on the economy, financial system and society. We contribute to the existing literature by presenting an ABM model with broad insight into heterogeneity of agents. We show the stabilizing effects of macroprudential policies in the case of economic or financial distress.

摘要

评估宏观审慎政策的福利效应似乎是宏观建模的动态随机一般均衡（DSGE）框架最重要的应用。特别是，欧洲系统性风险委员会和欧洲中央银行开发并使用了具有三层违约（3D）的DSGE - 3D模型，作为正式模拟金融周期以及分析宏观审慎政策效果的参考工具。尽管在实际经济周期（RBC）模型中纳入金融约束极为重要，但由此产生的DSGE - 3D结构仍然秉持这一理念，使得对经济实体多样性进行深入分析成为不可能。在本文中，我们提出了一种替代DSGE建模的方法，该方法严重背离了代表性主体的假设。在基于主体的建模（ABM）框架内，我们构建了一个适合对宏观审慎政策对经济、金融体系和社会的影响进行反事实模拟的环境。我们通过提出一个对主体异质性有广泛洞察的ABM模型，为现有文献做出了贡献。我们展示了在经济或金融困境情况下宏观审慎政策的稳定作用。

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