Systemic Financial Risk Indicators and Securitised Assets: an Agent-Based Framework
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- Andrea Mazzocchetti & Eliana Lauretta & Marco Raberto & Andrea Teglio & Silvano Cincotti, 2020. "Systemic financial risk indicators and securitised assets: an agent-based framework," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 15(1), pages 9-47, January.
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Cited by:
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"The productivity and unemployment effects of the digital transformation: an empirical and modelling assessment,"
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- Bertani, Filippo & Raberto, Marco & Teglio, Andrea, 2020. "The Productivity and Unemployment Effects of the Digital Transformation: an Empirical and Modelling Assessment," MPRA Paper 98233, University Library of Munich, Germany.
- Eliana Lauretta & Sajid M. Chaudhry & Daniel Santamaria, 2023. "Unveiling the black swan of the finance‐growth Nexus: Assumptions and preliminary evidence of virtuous and unvirtuous cycles," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 3749-3773, October.
- Irene Monasterolo & Nepomuk Dunz & Andrea Mazzocchetti & Régis Gourdel, 2022. "Derisking the low-carbon transition: investors’ reaction to climate policies, decarbonization and distributive effects," Review of Evolutionary Political Economy, Springer, vol. 3(1), pages 31-71, April.
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More about this item
Keywords
sytemic financial risk indicators; securitisation; housing market; agent-based models;All these keywords.
JEL classification:
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
- R31 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Housing Supply and Markets
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CFN-2018-11-12 (Corporate Finance)
- NEP-CMP-2018-11-12 (Computational Economics)
- NEP-HME-2018-11-12 (Heterodox Microeconomics)
- NEP-RMG-2018-11-12 (Risk Management)
Statistics
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