Quantitative Easing and Channels of Systemic Risk

Project Start:02/2016
Researchers:Allan Davids, Co-Pierre Georg, Tina Koziol, Jesper Riedler
Category: Financial Markets, Macro Finance
Funded by:Volkswagen Stiftung

The effects of unconventional monetary policy are transmitted both via banks and markets on which many different actors interact, including banks and non-bank financial intermediaries. Understanding how abundant liquidity provision via quantitative easing interacts with the various channels of systemic risk is of utmost importance to ensure policy coherence and safeguard financial stability. The project team is developing an agent-based model of the financial system to study the effects of unconventional monetary policy on financial stability. The model features various channels of systemic risk, including interbank contagion and asset fire-sales.