1,720,958 research outputs found
Markets connectivity and financial contagion
No full textObiettivo di questo lavoro `e quello di analizzare l’impatto delle
diverse forme di interazione tra gli agenti economici, in relazione alle di-
namiche aggregate che si producono a livello sistemico.
I sistemi economici sono popolati da una moltitudine di agenti, tra loro etero-
genei, che prendono decisioni in contesti di informazione asimmetrica, il che
limita spesso la razionalit`a delle loro decisioni. I mercati non sono altro
che il luogo dove le decisioni individuali prendono la forma delle relazioni.
`E
dunque ammissibile rappresentare l’insieme delle relazioni che gli agenti
sviluppano all’interno di un mercato, attraverso l’uso delle reti, in cui i nodi
sono gli agenti economici e le cui connessioni sono le transazioni che vengono
sviluppate. Sul piano teorico, la rete delle transazioni rappresenta l’anello di
congiunzione tra la dimensione micro e quella macro. Da un lato, `e il luogo
dove si sviluppa l’interazione caotica tra gli agenti; dall’altro, a seconda delle
diverse forme dell’interazione individuale, la rete assume differenti strutture
aggregate, aventi differenti propriet`a sistemiche. In questo senso possiamo
affermare che le strutture aggregate emergono dall’interazione individuale e
che la dimensione macro non coincide con la somma della dimensione micro.
Nei modelli teorici che proponiamo, abbiamo analizzato le relazioni che gli
agenti stabiliscono reciprocamente nei mercati del credito e dell’interbancario.
Partendo dal comune incentivo a trarre profitti dalla propria attivit`a, abbi-
amo sperimentato diversi meccanismi di selezione del lender da parte dei borrowers
. Ognuno di essi caratterizza la distribuzione delle transazioni e quindi
la forma dell’interazione stessa. Siamo passati da un meccanismo di scelta
completamente random ad uno evolutivo legato alle performance individuali
degli agenti. Abbiamo studiato le propriet`a statistiche e di resilienza delle
strutture emergenti, confrontandole anche con l’impatto che producono in
termini di fluttuazioni del ciclo economico. La presenza di agenti eterogenei
ed interagenti crea fenomeni che ben riproducono i cicli macroeconomici em-
pirici. In particolare, evidenziano come il ciclo sia generato dall’eterogeneit`a
degli agenti nel sistema e non dalla magnitudo degli shock esogeni, che colpis-
cono l’economia. Se a ci`o aggiungiamo un meccanismo quale l’acceleratore
finanziario, i modelli presentati riescono anche a riprodurre dinamiche di cas-
cate di bancarotte, fenomeni ben evidenti soprattutto alla luce della presente
crisi economico finanziaria
Collateral rehypothecation, safe asset scarcity, and unconventional monetary policy
No full textWe build a mark-to-market model where commercial banks can enlarge their balance sheets, repledging the
available collateral several times to exchange liquidity through the interbank market. In bad times, the fall of
risky asset price disrupts the length of the repledging chain due to the increase of the haircut and the decrease of external assets’ value. In such a scenario, the central bank can intervene implementing unconventional monetary policies by purchasing a fraction of the banking system’s external assets, both safe treasury bonds, and risky asset-backed securities, to inject liquidity. Our results show that a quantitative easing policy that purchases only safe assets is highly ineffective in restoring the intermediation activity to the pre-crisis level due to its inability
to sustain the risky asset price and the repledging chain of collateral. Instead, focusing on risky assets only, the monetary authority can sustain risky asset prices, avoiding the freezing of the money market
Markets connectivity and financial contagion
No full textIn this paper we investigate the sources of instability in credit and financial systems and the effect of credit linkages on the macroeconomic activity. By developing an agent-based model, we analyze the evolving dynamics of the economy as a complex, adaptive and interactive system, which allows us to explain some key events that occurred during the recent economic and financial crisis. In particular, we study the repercussions of inter-bank connectivity on banks’ performances, bankruptcy waves and business cycle fluctuations. Interbank linkages, in fact, not only allow participants to share risk but also create potential for one bank’s crisis to spread through the network. The purpose of the model is, therefore, to build up the dependence among agents at the micro-level and to estimate their impact on the macro stability
Business fluctuations in a behavioral switching model: Gridlock effects and credit crunch phenomena in financial networks
No full textIn this paper we characterize the evolution over time of a credit network in the most general terms as a system of interacting banks and firms operating in a three-sector economy with goods, credit and interbank market. Credit connections change over time via an evolving fitness measure depending from lenders’ supply of liquidity and borrowers’ demand of credit. Moreover, an endogenous learning mechanism allows agents to switch between a loyal or a shopping-around strategy according to their degree of satisfaction. The crucial question we investigate is how financial bubbles and credit-crunch phenomena emerge from the implemented mechanism
Early warning indicators and macro-prudential policies: a credit network agent based model
No full text
Going Beyond Counting First Authors in Author Co-citation Analysis
Full text linkThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Variations on the Author
Full text link“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
Appropriate Similarity Measures for Author Cocitation Analysis
Full text linkWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
Dispelling the Myths Behind First-author Citation Counts
Full text linkWe conducted a full-scale evaluative citation analysis study of scholars in the XML research field to explore just how different from each other author rankings resulting from different citation counting methods actually are, and to demonstrate the capability of emerging data and tools on the Web in supporting more realistic citation counting methods. Our results contest some common arguments for the continued
use of first-author citation counts in the evaluation of scholars, such as high correlations between author rankings by first-author citation counts and other citation
counting methods, and high costs of using more realistic citation counting methods that are not well-supported by the ISI databases. It is argued that increasingly available digital full text research papers make it possible for citation analysis studies to go beyond what the ISI databases have directly supported and to employ more
sophisticated methods
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