論文

査読有り
2020年4月17日

Impact Analysis of Financial Regulation on Multi-Asset Markets Using Artificial Market Simulations

Journal of Risk and Financial Management
  • Masanori Hirano
  • ,
  • Kiyoshi Izumi
  • ,
  • Takashi Shimada
  • ,
  • Hiroyasu Matsushima
  • ,
  • Hiroki Sakaji

13
4
開始ページ
75
終了ページ
記述言語
英語
掲載種別
研究論文(学術雑誌)
DOI
10.3390/jrfm13040075
出版者・発行元
MDPI

In this study, we assessed the impact of capital adequacy ratio (CAR) regulation in the Basel regulatory framework. This regulation was established to make the banking network robust. However, a previous work argued that CAR regulation has a destabilization effect on financial markets. To assess impacts such as destabilizing effects, we conducted simulations of an artificial market, one of the computer simulations imitating real financial markets. In the simulation, we proposed and used a new model with continuous double auction markets, stylized trading agents, and two kinds of portfolio trading agents. Both portfolio trading agents had trading strategies incorporating Markowitz’s portfolio optimization. Additionally, one type of portfolio trading agent was under regulation. From the simulations, we found that portfolio optimization as each trader’s strategy stabilizes markets, and CAR regulation destabilizes markets in various aspects. These results show that CAR regulation can have negative effects on asset markets. As future work, we should confirm these effects empirically and consider how to balance between both positive and negative aspects of CAR regulation.

リンク情報
DOI
https://doi.org/10.3390/jrfm13040075 本文へのリンクあり
Web of Science
https://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcAuth=JSTA_CEL&SrcApp=J_Gate_JST&DestLinkType=FullRecord&KeyUT=WOS:000533889000016&DestApp=WOS_CPL
URL
https://www.mdpi.com/1911-8074/13/4/75 本文へのリンクあり
ID情報
  • DOI : 10.3390/jrfm13040075
  • ISSN : 1911-8066
  • eISSN : 1911-8074
  • Web of Science ID : WOS:000533889000016

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