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Robust-less-fragile: Tackling systemic risk and financial contagion in a macro agent-based model

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  • Pallante, Gianluca
  • Guerini, Mattia
  • Napoletano, Mauro
  • Roventini, Andrea

Abstract

We extend the Schumpeter meeting Keynes (K+S) agent-based model by introducing an evolving interbank network in the money market. Banks are exposed to counterparty risk and evaluate interbank positions using a network valuation (NEVA) clearing mechanism, which ensures systemic risk minimization with minimal assumptions on banks’ behavior. The model can replicate several stylized facts about the topology of the interbank network and the dynamics of banks’ balance sheets. The model encompasses financial contagion and systemic risk, allowing us to study the interactions between micro- and macro-prudential policies. Our results suggest that the introduction of a micro-prudential regulation also accounting for the network structure can reduce the incidence of systemic risk events. We also find that, in presence of a two-pillar regulatory framework – grounded on a Basel III macro-prudential regulation and a NEVA-based micro-prudential one –, there is no trade-off between financial stability and macroeconomic performance. This points towards the possibility of designing a regulatory framework able to achieve financial stability without overly stringent capital requirements.

Suggested Citation

  • Pallante, Gianluca & Guerini, Mattia & Napoletano, Mauro & Roventini, Andrea, 2025. "Robust-less-fragile: Tackling systemic risk and financial contagion in a macro agent-based model," Journal of Financial Stability, Elsevier, vol. 76(C).
  • Handle: RePEc:eee:finsta:v:76:y:2025:i:c:s1572308924001372
    DOI: 10.1016/j.jfs.2024.101352
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    More about this item

    Keywords

    Financial contagion; Systemic risk; Prudential regulation; Agent-based computational economics;
    All these keywords.

    JEL classification:

    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

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