MAZZOCCHETTI , Andrea

We study the effects of loans and mortgages securitization on business cycles by using a large-scale agent-based stock–flow consistent macroeconomic model and simulator. We enriched the model by including a financial vehicle corporation, which buys loans and mortgages from banks and issues asset-backed securities (ABSs) and mortgage-backed...

The paper presents an agent-based model of a credit economy which includes a securitisation process and a bailout mechanism for bank bankruptcies. Within this framework, banks are able to sell mortgages to a financial vehicle corporation, which finances its activity by creating mortgage-backed securities and selling them to a mutual fund. In...