基准银行监管制度的基于代理的建模:CBDC的应用

Q4 Mathematics
V. Nechitailo, H. Penikas
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引用次数: 0

摘要

新冠肺炎疫情挑战了现代金融体系的可持续性。国际央行行长们声称银行是稳健的。他们积累了大量的资本缓冲。到2027年,应根据《巴塞尔协议三》的改革,进一步扩大这些缓冲。然而,美国金融当局不顾银行资本充足率要求的连续上升,采取了前所未有的措施。2020年3月底,他们首次将存款准备金率降至零。弗里德里希·冯·哈耶克展示了现代部分准备金银行体系的脆弱性。因此,他与路德维希·冯·米塞斯(von Mises,1978)一起预测了1929年的大萧条,并提前解释了其机制。因此,我们希望利用基于代理的建模技术,将von Hayek的基本原理扩展到之前未研究的资本充足率和准备金率监管的相互作用。我们发现,即使没有资本充足率监管,全额存款准备金制度也比现有制度提供了更稳定的金融环境。资本充足率的提高增加了现代银行业的可持续性,但与全额准备金要求相比,它仍然保持了系统的脆弱性。我们还证明,当后一种环境存在时,资本充足率监管是多余的。我们讨论了我们的研究结果在潜在的中央银行数字货币监管中的应用。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Agent-based modeling for benchmarking banking regulation regimes: Application for the CBDC
COVID-19 pandemic challenges the sustainability of the modern financial system. International central bankers claim that banks are solid. They have accumulated significant capital buffers. Those buffers should be further more augmented by 2027 in line with Basel III reforms. However, disregarding such a consecutive rise in the banking capital adequacy requirements, the US financial authorities undertook an unprecedented step. First time in the country history they lowered the reserve requirement to zero at the end of March 2020. Friedrich von Hayek demonstrated the fragility of the modern fractional reserve banking systems. Together with Ludwig von Mises (von Mises, 1978) he was thus able to predict the Great Depression of 1929 and explain its mechanics much in advance. Thus, we wish to utilize the agent-based modeling technique to extend von Hayek’s rationale to the previously unstudied interaction of capital adequacy and reserve requirement regulation. We find that the full reserve requirement regime even without capital adequacy regulation provides more stable financial environment than the existing one. Rise in capital adequacy adds to modern banking sustainability, but it still preserves the system remarkably fragile compared to the full reserve requirement. We also prove that capital adequacy regulation is redundant when the latter environment is in place. We discuss our findings application to the potential Central Bank Digital Currencies regulation.
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来源期刊
Model Assisted Statistics and Applications
Model Assisted Statistics and Applications Mathematics-Applied Mathematics
CiteScore
1.00
自引率
0.00%
发文量
26
期刊介绍: Model Assisted Statistics and Applications is a peer reviewed international journal. Model Assisted Statistics means an improvement of inference and analysis by use of correlated information, or an underlying theoretical or design model. This might be the design, adjustment, estimation, or analytical phase of statistical project. This information may be survey generated or coming from an independent source. Original papers in the field of sampling theory, econometrics, time-series, design of experiments, and multivariate analysis will be preferred. Papers of both applied and theoretical topics are acceptable.
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