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An Agent-based Model of Contagion in Financial Networks

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  • Leonardo dos Santos Pinheiro
  • Flavio Codeco COelho

Abstract

This work develops an agent-based model for the study of how the leverage through the use of repurchase agreements can function as a mechanism for the propagation and amplification of financial shocks in a financial system. Based on the analysis of financial intermediaries in the repo and interbank lending markets during the 2007-08 financial crisis we develop a model that can be used to simulate the dynamics of financial contagion.

Suggested Citation

  • Leonardo dos Santos Pinheiro & Flavio Codeco COelho, 2017. "An Agent-based Model of Contagion in Financial Networks," Papers 1703.07513, arXiv.org.
    • Handle: RePEc:arx:papers:1703.07513
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    References listed on IDEAS

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