• ISSN: 2010-023X
    • Frequency: Bimonthly
    • DOI: 10.18178/IJTEF
    • Editor-in-Chief: Prof.Tung-Zong (Donald) Chang
    • Executive Editor: Ms. Cherry L. Chen
    • Abstracting/ Indexing: Engineering & Technology Digital Library, ProQuest, Crossref, Electronic Journals Library, DOAJ , EBSCO, and Ulrich's Periodicals Directory
    • E-mail: ijtef@ejournal.net
IJTEF 2014 Vol.5(5): 401-404 ISSN: 2010-023X
DOI: 10.7763/IJTEF.2014.V5.406

Agent-Based Approach for Interbank Liquidity Issue

I. Lucas, N. Schomberg, and V. Turpyn
Abstract—The succession of financial crisis in last decades has refocused the debate on banking regulation approach. Furthermore, recent crisis has highlighted the importance of “systemic risks” and especially, the leading role of institutions interconnectedness. In order to better understand how banks individual decision rules impact interbank market and how global Central Banks decision could impact individual liquidity position of institutions this paper provides a method with an agent-based approach to model interbank market and its liquidity issues. The agent-based model is marked by a set of behavioral descriptions related to daily interbank cash flows and refinancing process composed by two channels: lending, assets trading and loans selling. Applied to the European interbank network, different scenarios analyzed how individual decision rules impact on system’s stability.

Index Terms—Systemic risk, financial contagion, liquidity risk, interbank market, agent based model.

I. Lucas and V. Turpyn are with the Financial Engineering Department, ECE Paris 37 quai de grenelle, Paris, France (e-mail: iris.lucas75@mail.com).
N. Schomberg is with the Information System Department, ECE Paris 37 quai de grenelle, Paris, France (e-mail: schomber@ece.fr).

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Cite: I. Lucas, N. Schomberg, and V. Turpyn, "Agent-Based Approach for Interbank Liquidity Issue," International Journal of Trade, Economics and Finance vol.5, no.5, pp. 401-404, 2014.

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