Article
Version 1
Preserved in Portico This version is not peer-reviewed
An Agent-Based Approach to Interbank Market Lending Decisions and Risk Implications
Version 1
: Received: 1 April 2018 / Approved: 2 April 2018 / Online: 2 April 2018 (10:51:49 CEST)
A peer-reviewed article of this Preprint also exists.
Liu, A.; Mo, C.Y.J.; Paddrik, M.E.; Yang, S.Y. An Agent-Based Approach to Interbank Market Lending Decisions and Risk Implications. Information 2018, 9, 132. Liu, A.; Mo, C.Y.J.; Paddrik, M.E.; Yang, S.Y. An Agent-Based Approach to Interbank Market Lending Decisions and Risk Implications. Information 2018, 9, 132.
Abstract
In this study, we examine the relationship of bank level lending and borrowing decisions and the risk preferences on the dynamics of the interbank lending We develop an agent-based model that incorporates individual bank decisions using the temporal difference reinforcement learning algorithm with empirical data of 6600 S. banks. The model can successfully replicate the key characteristics of interbank lending and borrowing relationships documented in the recent literatur A key finding of this study is that risk preferences at individual bank level can lead to unique interbank market structures which are suggestive of the capacity that the market responds to surprising
Keywords
interbank market; contagion risk; multi-agent system; reinforcement learning agents
Subject
Business, Economics and Management, Economics
Copyright: This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
Comments (0)
We encourage comments and feedback from a broad range of readers. See criteria for comments and our Diversity statement.
Leave a public commentSend a private comment to the author(s)
* All users must log in before leaving a comment