Lending Sociodynamics and Drivers of the Financial Business Cycle
Affiliation
Univ Arizona, Coll Opt SciIssue Date
2017Keywords
economic instabilityFinancial Instability hypothesis
Sociodynamics
opinion formation
systemic risk
Random Forest
Fokker-Planck equation
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AMER INST MATHEMATICAL SCIENCES-AIMSCitation
Lending Sociodynamics and Drivers of the Financial Business Cycle 2017, 1 (3):219 Quantitative Finance and EconomicsRights
© 2017 the Authors, licensee AIMS Press. This is an open access article distributed under the terms of the Creative Commons Attribution License.Collection Information
This item from the UA Faculty Publications collection is made available by the University of Arizona with support from the University of Arizona Libraries. If you have questions, please contact us at repository@u.library.arizona.edu.Abstract
We 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.Note
Open Access Journal.ISSN
2573-0134Version
Final published versionAdditional Links
http://www.aimspress.com/article/10.3934/QFE.2017.3.219Scopus Count
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Except where otherwise noted, this item's license is described as © 2017 the Authors, licensee AIMS Press. This is an open access article distributed under the terms of the Creative Commons Attribution License.