Too dynamic to fail: empirical support for an autocatalytic model of Minsky’s financial instability hypothesis

详细信息    查看全文

• 作者：Nataša Golo ; David S. Brée ; Guy Kelman…
• 关键词：Finance ; Macroeconomics ; Minsky’s accelerator ; Trade credit
• 刊名：Journal of Economic Interaction and Coordination
• 出版年：2016
• 出版时间：October 2016
• 年：2016
• 卷：11
• 期：2
• 页码：247-271
• 全文大小：1,582 KB
• 刊物主题：Economic Theory; Game Theory/Mathematical Methods; Computer Appl. in Social and Behavioral Sciences; Theoretical, Mathematical and Computational Physics; Finance/Investment/Banking;
• 出版者：Springer Berlin Heidelberg
• ISSN：1860-7128
• 卷排序：11

文摘

Solomon and Golo (Account Econ Law 3(3):167–260, 2013) have recently proposed an autocatalytic (self-reinforcing) feedback model which couples a macroscopic system parameter (the interest rate), a microscopic parameter that measures the distribution of the states of the individual agents (the number of firms in financial difficulty) and a peer-to-peer network effect (contagion across supply chain financing). In this model, each financial agent is characterized by its resilience to the interest rate. Above a certain rate the interest due on the firm’s financial costs exceeds its earnings and the firm becomes susceptible to failure (ponzi). For the interest rate levels under a certain threshold level, the firm loans are smaller then its earnings and the firm becomes ‘hedge.’ In this paper, we fit the historical data (2002–2009) on interest rate data into our model, in order to predict the number of the ponzi firms. We compare the prediction with the data taken from a large panel of Italian firms over a period of 9 years. We then use trade credit linkages to discuss the connection between the ponzi density and the network percolation. We find that the ‘top-down’–‘bottom-up’ positive feedback loop accounts for most of the Minsky crisis accelerator dynamics. The peer-to-peer ponzi companies contagion becomes significant only in the last stage of the crisis when the ponzi density is above a critical value. Moreover the ponzi contagion is limited only to the companies that were not dynamic enough to substitute their distressed clients with new ones. In this respect the data support a view in which the success of the economy depends on substituting the static ‘supply-network’ picture with an interacting dynamic agents one.