abstract: "One of the most important examples of the use of dynamic stochastic general\
  \ equilibrium (DSGE)\nmodels in research on macro-prudential policies is the DSGE\
  \ model with 3 layers of default (3D) used by the European Systemic Risk Board and\
  \ European Central Bank. The main goal of the 3D model was to create a framework\
  \ for analysing positive and normative effects of macro-prudential policies as well\
  \ as to analyse welfare effects within the social planner framework. However, this\
  \ framework does not include the heterogeneity of agents that would change the optimal\
  \ values of macroprudential tools and the conclusions about distributional effects\
  \ of these policies. We present an alternative tool to DSGE, namely agent-based\
  \ simulation (ABM), that can be used to carry out counterfactual simulation of the\
  \ impact of macroprudential policies on the economy, financial system and society.\
  \ By developing a sophisticated database of agents\u2019 attributes and an agent-based\
  \ simulation, we contribute to the existing literature of agent-based modelling\
  \ through detailed and relatively broad insight into heterogeneity of agents. We\
  \ show the stabilizing effects of macroprudential policies on an unstable heterogeneous\
  \ economy and financial system, as well as we analyse the distributional effects\
  \ of these policies in the approach that goes beyond the social planner framework."
authors:
- affiliation: Institute of Economics, Polish Academy of Sciences
  email: jagoda.kaszowska@gmail.com
  family-names: Kaszowska
  given-names: Jagoda Anna
  orcid: https://orcid.org/0000-0001-6261-5084
cff-version: 1.2.0
identifiers:
- type: url
  value: https://www.comses.net/codebases/0d270356-82a4-4d84-b061-3c597c16f81b/releases/1.0.0/
keywords:
- agent-based model
- agent heterogeneity
- alternative to DSGE 3D
- central banking
- endogeneous systemic risk
- income and wealth inequality
- macroprudential policies
- Minsky moment
- welfare effects
license: Apache-2.0
message: If you use this software, please cite it using the metadata from this file.
title: Macroprudential Policy in a Heterogeneous Environment - An Application of Agent-Based
  Approach in Systemic Risk Modelling
type: software
url: https://www.comses.net/codebases/0d270356-82a4-4d84-b061-3c597c16f81b/releases/1.0.0/
version: 1.0.0
