Financial instability and exchange rate dynamics in an agent-based model

• Ano de defesa: 2024
• Autor(a) principal: Rodrigues, Lucca Henrique Gustafson
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: eng
• Instituição de defesa: Biblioteca Digitais de Teses e Dissertações da USP
• Palavras-chave em Português: Agent-based models; Balance sheet effect; Economias emergentes; Efeito balanço; Emerging economies; Financial fragility; Fragilidade financeira; Minsky; Modelos baseados em agentes
• Link de acesso: https://www.teses.usp.br/teses/disponiveis/12/12138/tde-03072024-164111/

Exchange rates can be an important source of financial and economic instability. The dissertation develops a novel demand-led agent-based model to understand the joint dynamics between firm-level foreign indebtedness and exchange rate movements. In particular, we study the balance sheet effect, understood as a foreign liabilities after an exchage rate shock, with potential negative consequences to economic activity. We find that the impact on the real economy will depend on the relative strength between the financial and trade channels, but we always observe the negative financial consequences.