In this paper we build on the network-based financial accelerator model of Delli Gatti et al. (2010), modelling the … case of default, we also consider the loss given default rate (LGDR). We find many results: (i) if leverage increases, the … economy is riskier; (ii) a higher leverage pro-cyclicality has a destabilizing effect; (iii) a pro-cyclical leverage weakens …

In this paper we build on the network-based financial accelerator model of Delli Gatti et al. (2010), modelling the … case of default, we also consider the loss given default rate (LGDR). We find many results: (i) if leverage increases, the … economy is riskier; (ii) a higher leverage pro-cyclicality has a destabilizing effect; (iii) a pro-cyclical leverage weakens …

In this paper we build an agent-based model based on a threefold financial accelerator: (i) leverage accelerator …' capitalization on the stock market decreases, thus the distance-to-default (DD) diminishes and it reinforces the leverage accelerator …; (iii) network-based accelerator - the network structure may propagate the initial shock possibly resulting in an avalanche …

(1) level and risk dynamics. The latter includes (2) tail risk and crisis probability as well as (3) the Volatility … Paradox. Concepts such as (4) illiquidity and liquidity mismatch, (5) endogenous leverage, (6) the Paradox of Prudence, (7 …

This paper presents an agent based model which underlines the importance of credit network and leverage dynamics in … dynamics emerging from the interactions of heterogeneous banks and firms in an endogenous credit network. Banks and firms are … linked through multiple credit relations, which derive from individual target leverage choices: agents choose the more …