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JACIII Vol.22 No.7 pp. 1026-1036
doi: 10.20965/jaciii.2018.p1026
(2018)

Paper:

Agent-Based Simulation of Financial Institution Investment Strategy Under Easing Monetary Policy for Operative Collapses

Takamasa Kikuchi*, Masaaki Kunigami**, Takashi Yamada***, Hiroshi Takahashi*, and Takao Terano**

*Graduate School of Business Administration, Keio University
4-1-1 Hiyoshi, Kohoku-ku, Yokohama, Kanagawa 223-8526, Japan

**Tokyo Institute of Technology
2-12-1 Ookayama, Meguro-ku, Tokyo 152-8550, Japan

***Yamaguchi University
1677-1 Yoshida, Yamaguchi City, Yamaguchi 753-8511, Japan

Received:
February 20, 2018
Accepted:
August 6, 2018
Published:
November 20, 2018
Keywords:
systemic risk, negative interest rate policy, agent-based model, asset liability management
Abstract

Europe and Japan have both adopted negative interest rate policies as part of their monetary easing measures. However, despite the benefits that are claimed to be associated with increased lending demand, significant concerns exist regarding an increased burden on private financial institutions as a result of the application to their excess reserves. In this paper, we focus on the risks associated with increased investment of surplus funds for the operation of financial institutions. We propose an agent-based model for interlocking specific bankruptcy based on changes in financial situations as a result of market price fluctuations involving assets held by financial institutions. To extend the proposed model to handle macro market shocks, we describe decision making regarding funds that are surplus to the operation of financial institutions. Additionally, we analyze the impact of price declines involving marketable assets on financial systems.

Cite this article as:
T. Kikuchi, M. Kunigami, T. Yamada, H. Takahashi, and T. Terano, “Agent-Based Simulation of Financial Institution Investment Strategy Under Easing Monetary Policy for Operative Collapses,” J. Adv. Comput. Intell. Intell. Inform., Vol.22, No.7, pp. 1026-1036, 2018.
Data files:
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Last updated on Dec. 13, 2018