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Master's Dissertation
DOI
10.11606/D.100.2014.tde-23012015-113905
Document
Author
Full name
Junji Katto
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
São Paulo, 2014
Supervisor
Committee
Ferreira, Fernando Fagundes (President)
Ivanauskas, Terry Macedo
Silva, Michel Alexandre da
Title in Portuguese
Análise da dinâmica da transmissão da política monetária através do canal de crédito utilizando modelagem baseada em agentes
Keywords in Portuguese
Modelagem Baseada em Agentes
Sistemas Complexos
Transmissão da política monetária
Abstract in Portuguese
O presente trabalho tem como objetivo analisar a dinâmica da transmissão da política monetária através dos canais de crédito (Canal de Empréstimo Bancário e Canal dos Balanços Patrimoniais), utilizando conceitos e ferramentas da área de Sistemas Complexos para simular uma economia representada por diferentes setores em que os agentes estão interconectados através de relacionamentos de crédito. O presente modelo baseia-se no trabalho de Gatti et al. (2009). A novidade foi introduzir um mecanismo de transmissão da política monetária através de um mercado interbancário e de uma taxa básica de juros permitindo analisar os impactos na economia através dos canais de crédito. O resultado da simulação mostra que o impacto das políticas monetárias no âmbito microeconômico podem se desenvolver como resultado da interação complexa desses agentes heterogêneos através de relacionamentos de crédito ao longo do tempo, e as variáveis no âmbito macroeconômico, como a taxa básica de juros, afetam o próprio sistema através de um processo de retroalimentação ou feedback.
Title in English
Analysis of the monetary policy transmission through the credit channel using agent-based modeling
Keywords in English
Agent-Based Modeling
Complex Systems
Monetary Policy Transmission
Abstract in English
This study aims to analyze the dynamics of the monetary policy transmission through the credit channels (Bank Lending Channel and Balance Sheets Channel), using concepts and tools from the Complex Systems field to simulate an economy represented by different sectors in which agents are interconnected via credit relationships. This model is based on the work of Gatti et al. (2009) that used agent-based modeling. The novelty was to introduce a transmission mechanism of monetary policy through an interbank market and a primary interest rate, allowing the analysis of the impacts on the economy through the credit channels. The simulation results show that the impact of monetary policy on microeconomic level can be developed as a result of the complex interaction of these heterogeneous agents via credit relationships over time, and the variables in the macroeconomic context, such as the primary interest rate, affect the system through a feedback process.
 
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JKatto_corrigida.pdf (3.81 Mbytes)
Publishing Date
2015-02-11
 
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