Lending Sociodynamics and Drivers of the Financial Business Cycle

Quantitative Finance and Economics

卷:1

Hengyu Kuang¹ 

[1] Economics Department, University of California Berkeley, Berkeley, CA 94720, USA;

关键词: economic instability;    Financial Instability hypothesis;    Sociodynamics;    opinion formation;    systemic risk;    Random Forest;    Fokker-Planck equation;   

DOI  :  10.3934/QFE.2017.3.219

来源: DOAJ

【 摘 要 】

We extend sociodynamic modeling of the financial business cycle to the Euro Area andJapan. Using an opinion-formation model and machine learning techniques we find stable modelestimation of the financial business cycle using central bank lending surveys and a few selectedmacroeconomic variables. We find that banks have asymmetric response to good and bad economicinformation, and that banks adapt to their peers’ opinions when changing lending policies.

【 授权许可】

Unknown