Lending Sociodynamics and Drivers of the Financial Business Cycle
AffiliationUniv Arizona, Coll Opt Sci
Financial Instability hypothesis
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PublisherAMER INST MATHEMATICAL SCIENCES-AIMS
CitationLending Sociodynamics and Drivers of the Financial Business Cycle 2017, 1 (3):219 Quantitative Finance and Economics
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AbstractWe extend sociodynamic modeling of the financial business cycle to the Euro Area and Japan. Using an opinion-formation model and machine learning techniques we find stable model estimation of the financial business cycle using central bank lending surveys and a few selected macroeconomic variables. We find that banks have asymmetric response to good and bad economic information, and that banks adapt to their peers' opinions when changing lending policies.
NoteOpen Access Journal.
VersionFinal published version