An Agent-based Model of Contagion in Financial Networks

Leonardo dos Santos Pinheiro and Flavio Codeco COelho

Papers from arXiv.org

Abstract: This work develops an agent-based model for the study of how the leverage through the use of repurchase agreements can function as a mechanism for the propagation and amplification of financial shocks in a financial system. Based on the analysis of financial intermediaries in the repo and interbank lending markets during the 2007-08 financial crisis we develop a model that can be used to simulate the dynamics of financial contagion.

Date: 2017-03
New Economics Papers: this item is included in nep-cmp, nep-fmk and nep-hme
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1703.07513

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