Financial shocks and their effects on velocity of money in agent-based model

IF 0.4 Q4 ECONOMICS
J. Bohacik
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Abstract

Abstract The interaction of debt and economic performance has been getting more attention over the last few years. However, models making provision for debt are still outnumbered by models completely ignoring it. This paper is the first one to analyze the relationship between household debt (in the form of bank loans) and economic performance (in terms of aggregate income) considering both the impact of wealth and income distribution, and the impact of the MPC distribution under various financial shocks. The outcomes of the model are velocities calculated as ratios of aggregate income to aggregate debt. The paper demonstrates how financial shocks affect the income velocity of money under different distributions of wealth/income and marginal propensity to consume across the population. For this purpose, an original agent-based simulation model with a limited loan supply was designed. Proposed model shocks are shocks to loan demand, loan supply, marginal propensity to consume, macro-prudential regulatory ratios, real estate capital gains, repayment ratios, shocks to the structure of loans provided and to the structure of real estate property transactions. It is shown that the more equal the distributions of wealth/income and of the marginal propensity to consume, the higher is the income velocity of money. From financial shocks, the marginal propensity to consume shock and the shock to the structure of new real estate property purchases have the largest impact on velocity. The shock to regulatory ratios has generally the lowest magnitude.
基于主体模型的金融冲击及其对货币流通速度的影响
摘要近年来,债务与经济绩效的相互作用越来越受到人们的关注。然而,计提债务准备金的模型仍然多于完全忽略债务准备金的模式。本文首次分析了家庭债务(以银行贷款的形式)与经济绩效(以总收入的形式)之间的关系,同时考虑了财富和收入分配的影响,以及在各种金融冲击下MPC分配的影响。该模型的结果是以总收入与总债务的比率计算的速度。本文展示了在不同的财富/收入分布和人口边际消费倾向下,金融冲击如何影响货币的收入速度。为此,设计了一个具有有限贷款供应的基于代理的模拟模型。所提出的模型冲击是对贷款需求、贷款供应、边际消费倾向、宏观审慎监管比率、房地产资本收益、还款比率、提供贷款结构和房地产交易结构的冲击。研究表明,财富/收入分配和边际消费倾向越平等,货币的收入速度就越高。从金融冲击来看,边际消费倾向的冲击和对新建房地产购买结构的冲击对速度的影响最大。冲击与监管比率通常是最低的。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
CiteScore
1.40
自引率
0.00%
发文量
10
审稿时长
38 weeks
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