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Postdoctoral researcher at Institute of Economics, Polish Academy of Sciences and in Macroprudential Research Division at National Bank of Poland. She graduated in Mathematics (Jagiellonian University, Poland) and in Economics (University of Alcala, Spain). In 2017 she obtained Fulbright Advanced Research Award. In the United States, she carried out research on systemic risk and complex systems. Her doctoral dissertation was about the measurement and modeling of systemic risk using simulation methods and complex systems approach (the results to be published by Palgrave Macmillan US). Previously, she gained experience on agent-based modeling while working with Juan Luis Santos on the European Commission FP 7 MOSIPS project (http://www.mosips.eu/).
Mathematics, complex systems, financial modeling, agent-based modeling, econometrics, macroprudential policies, systemic risk, cental banking
One of the most important examples of the use of dynamic stochastic general equilibrium (DSGE)
models 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’ 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.