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Securitisation and Business Cycle: An Agent-Based Perspective

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  • Mazzocchetti, Andrea
  • Raberto, Marco
  • Teglio, Andrea
  • Cincotti, Silvano

Abstract

We study the effects of loans and mortgages securitisation on business cycles by using a large-scale agent-based stock-flow consistent macroeconomic model and simulator, that we enriched by including a financial vehicle corporation (FVC), that buys loans and mortgages from banks and issues ABSs and MBSs, and a mutual fund, that invests both in ABSs and MBSs. Households own the equity of the mutual fund in the form of equity shares. By means of securitisation, banks conduct regulatory capital arbitrage and reduce risk weighted assets in their balance sheet, in order to lend more loans and mortgages. Results show that different levels of securitisation propensity are able to affect credit and business cycles in different manners. On one side, securitisation increases banks lending activity, influencing positively investment and consumption. On the onther side, the increased amount of credit amplifies the negative shocks, due to higher loans write-offs probability, triggered by the boosted leding activity. Firms' bankruptcies impact the equity of banks, affecting their ability to grant new loans to consumption goods producers (CGPs), which need credit for their production activity, and mortgages to households, which are not able to purchase housing units. CGPs soon go bankrupt and households see their capital income reduced. The predominance of one effect on the other depends on the level of securitisation propensity and the time span considered.

Suggested Citation

  • Mazzocchetti, Andrea & Raberto, Marco & Teglio, Andrea & Cincotti, Silvano, 2017. "Securitisation and Business Cycle: An Agent-Based Perspective," MPRA Paper 76760, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:76760
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    Cited by:

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    7. Botta, Alberto & Caverzasi, Eugenio & Russo, Alberto & Gallegati, Mauro & Stiglitz, Joseph E., 2021. "Inequality and finance in a rent economy," Journal of Economic Behavior & Organization, Elsevier, vol. 183(C), pages 998-1029.
    8. Kirill S. Glavatskiy & Mikhail Prokopenko & Adrian Carro & Paul Ormerod & Michael Harré, 2021. "Explaining herding and volatility in the cyclical price dynamics of urban housing markets using a large-scale agent-based model," SN Business & Economics, Springer, vol. 1(6), pages 1-21, June.
    9. Chen, Siyan & Desiderio, Saul, 2020. "Job duration and inequality," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy (IfW), vol. 14, pages 1-27.
    10. 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.
    11. Kirill S. Glavatskiy & Mikhail Prokopenko & Adrian Carro & Paul Ormerod & Michael Harre, 2020. "Explaining herding and volatility in the cyclical price dynamics of urban housing markets using a large scale agent-based model," Papers 2004.07571, arXiv.org.
    12. Giovanni Dosi & Andrea Roventini, 2017. "Agent-Based Macroeconomics and Classical Political Economy: Some Italian Roots," Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti, Springer;Società Italiana degli Economisti (Italian Economic Association), vol. 3(3), pages 261-283, November.
    13. Bertani, Filippo & Raberto, Marco & Teglio, Andrea & Cincotti, Silvano, 2021. "Digital Innovation and its Potential Consequences: the Elasticity Augmenting Approach," MPRA Paper 105326, University Library of Munich, Germany.
    14. Davide Bazzana, 2020. "Ageing population and pension system sustainability: reforms and redistributive implications," Economia Politica: Journal of Analytical and Institutional Economics, Springer;Fondazione Edison, vol. 37(3), pages 971-992, October.
    15. Ermanno Catullo & Federico Giri & Mauro Gallegati, 2019. "Macro and Micro Prudential Policies: Sweet and Lowdown in a Credit Network Agent Based Model," Working Papers 434, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.

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    More about this item

    Keywords

    Securitisation; Business Cycle; Financial Regulation; Agent-Based Macroeconomics;
    All these keywords.

    JEL classification:

    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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