Graduation Year
2020
Document Type
Dissertation
Degree
Ph.D.
Degree Name
Doctor of Philosophy (Ph.D.)
Degree Granting Department
Business
Major Professor
Donald Berndt, Ph.D.
Committee Member
Balaji Padmanabhan, Ph.D.
Committee Member
Wolfgang Jank, Ph.D.
Committee Member
Sagar Samtani, Ph.D.
Committee Member
Jianping Qi, Ph.D.
Keywords
Agent-Based Modelling, Clustering, Financial Crisis, Inter-Bank Lending, Monetary Policy, Money Markets
Abstract
This dissertation presents research that employs agent-based modelling to provide a framework to support simulation as a complement to traditional economic models for policy evaluation. It consists of three studies. The first study employs cluster analysis to capture the different types of banks and the associated business models that define their decision-making. The results from study one will help us get an understanding of how different banks behave and provide an insight into their lending practices. Hence, it would be very helpful in evaluating and analyzing the impact of future policies. Study two develops a fine-grained interbank lending model based on the regulatory balance sheet data. The objective of our model is to implement the mechanisms that result in changes to the balance sheets of the banks in the system. The model will help demonstrate how each individual bank will face unique decisions, which could lead to emergent behavior. Based on FDIC data, the bank class is instantiated as individual banks using real balance sheet data from a selected point in time. The model will be evaluated by validating against past policies and checking whether the agents in the model behave similar to banks in reality. The final study of the dissertation presents the impact of future policies on liquidity that have been released by the Federal Reserve, and will demonstrate how they influence the simulated banks’ and their business models. Study III leverages the output from both studies I and II, to conduct experiments on policies proposed by the Fed regarding Liquidity. This research will not only provide an alternative framework to test and evaluate the monetary policies prescribed by the Federal Reserve, but also provide a platform that can help design and evaluate future ones.
Scholar Commons Citation
Chakraborty, Saurav, "Developing Agent-Based Models to Study Financial Markets" (2020). USF Tampa Graduate Theses and Dissertations.
https://digitalcommons.usf.edu/etd/8922
