Work in progress
Davids, du Rand, Georg, Koziol & Schasfoort, 2020 (Working paper)
We develop a Spatial Agent-Based Covid-19 Model (SABCoM). The model contributes to the Covid-19 modelling literature by distinguishing between the district level and city level. The advantage of this approach is that we can study the effect of heterogeneity between districts. This is important in an emerging market context since there are often informal and formal districts that differ both in density and the likely effectiveness of physical distancing policies.
Koziol, 2020 (Working Paper): Stress-testing interconnected portfolios in the South African Banking Sector Paper
This paper calibrates a price-mediated contagion model to the South African banking system. I rank individual banks according to their contribution to systemic risk and show the importance of cash liquidity buffers in reducing risk to fire-sale occurrences. The paper finds a critical threshold price impact parameter, which, if exceeded, makes the banking system highly unstable.
Paper available here
Koziol & Riedler, 2019 (Working paper): Euro Area Quantitative Easing in a Portfolio Balance Model with Heterogeneous Agents and Assets
We present a portfolio model to study the effects of Quantitative Easing on international financial asset returns through the portfolio balance channel. Our two-country model quantifies the effect of a domestic central bank’s asset purchase program on the domestic and foreign term structure of the yield curve, equity returns and the exchange rate.
Paper on SSRN