Seminar

Past

Financial Stability Workshop - DeTail: macroprudential policy assessment in a parsimonious agent-based model

Eugen Tereanu

  • Date7 November 2024
  • Time 14h30 - 16h00
  • Room BDF, Paris

Résumé

We build a parsimonious, credit driven agent based model which consistently integrates the balance sheets of multiple firms, households and banks to then simulate the effects of releasable macroprudential capital buffers (e.g. CCyB). Starting from the framework in Gross (2022) which generates well-behaved endogenous cycles built on the key assumptions of interest bearing debt and nominal wage rigidity, our extended framework additionally integrates a mortgage financed housing market, credit restrictions and multiple banks under both time invariant and time varying prudential policies. Our simulations specifically focus on the relative contribution of different prudential policies and assess the model behaviour and impact of policy rules on the tails of the distribution of different variables of interest such as corporate, household and bank default rates as well as credit and house prices. The simulations also distinguish between good and bad economic times to shed light on the asymmetric benefits and costs of capital based macroprudential policies.

Other seminars

Past

Financial stability workshop - "Strategic Interaction Among AI Agents: Evidence from Payment Systems"

  • Seminar

  • Banque de France - TSE Financial Stability Workshops

  • Date 6 November 2026

  • Place salle 4 espace conférences

  • Speaker or organiser Janet Jiang (Banque du Canada)

Détails

Past

Financial Stability Workshop - “Digital Ownership: The Tokenization of Real-World Assets”

  • Seminar

  • Banque de France - TSE Financial Stability Workshops

  • Date 17 September 2026

  • Place salle F148

  • Speaker or organiser Gilles Chemla (Imperial College, London)

Détails

Past

A Theory of Bank Liquidity Requirements

  • Seminar

  • Banque de France - TSE Financial Stability Workshops

  • Date 17 October 2024

  • Place Salle 3 - Espace Conférence

  • Speaker or organiser Florian Heider

Détails