Efficient Sampling and Meta-Modeling for Computational Economic Models

Salle, Isabelle; Yıldızoğlu, Murat

doi:10.1007/s10614-013-9406-7

Cited by 67 publications

(50 citation statements)

References 23 publications

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“…21 In summary, the Kriging meta-model "mimics" our original model using a simpler, mathematically-tractable approximation, fitted over a sample of the original model response surface. Kriging is a spatial interpolation method that under fairly general assumptions provides the best linear unbiased predictors for the response of complex, non-linear computer simulation models (Rasmussen andWilliams, 2006, Salle andYildizoglu, 2014). The SVD results indicated a common and small subset of just five important factors for the chosen metrics, excepts as discussed before, mostly through direct effects and not in interaction (linear effects).…”

Section: Sensitivity Analysismentioning

confidence: 84%

What If Supply-Side Policies are Not Enough? The Perverse Interaction of Flexibility and Austerity

et al. 2018

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In this work we develop a set of labour market and fiscal policy experiments upon the labour and credit augmented "Schumpeter meeting Keynes" agent-based model. The labour market is declined under two institutional variants, the "Fordist" and the "Competitive" set-ups meant to capture the historical transition from the Fordist toward the post "Thatcher-Reagan" period. Inside these two regimes, we study the different effects of supply-side active labour market policies (ALMPs) vs. demand-management passive labour market ones (PLMPs). In particular, we analyse the effects of ALMPs aimed at promoting job search, and at providing training to unemployed people. Next, we compare the effects of these policies with unemployment benefits simply meant to sustain income and therefore aggregate demand. Considering the burden of unemployment benefits in terms of public budget, we link such provision with the objectives of the European Stability and Growth Pact. Our results show that (i) an appropriate level of skills is not enough to sustain growth when workers face adverse labour demand; (ii) supply-side policies are not able to reverse the perverse interaction between flexibility and austerity; (iii) PLMPs outperform ALMPs in reducing unemployment and workers' skills deterioration; and (iv) demand-management policies are better suited to mitigate inequality and to improve and sustain long-run growth.

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Section: Sensitivity Analysismentioning

confidence: 84%

What If Supply-Side Policies are Not Enough? The Perverse Interaction of Flexibility and Austerity

et al. 2018

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“…20. The entire methodology we use to map the loss function values to the monetary policy parameters in our non-linear ABM is detailed in Appendix B, and is based on Roustant et al (2010) and Salle and Yıldızoglu (2014).…”

Section: Optimal Monetary Policy Under Itmentioning

confidence: 99%

“…We use a design of experiments (DoE, hereafter) to cover the space of parameters -see, notably, Salle and Yıldızoglu (2014) for a pedagogical statement. Large sampling Cioppa (2002) and provided by Sanchez (2005), which combines space-filling properties and parsimony.…”

Section: Appendix A: Parameters Settingmentioning

confidence: 99%

How transparent about its inflation target should a central bank be?

2018

Self Cite

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Using an agent-based model, this paper revisits the merits for a central bank of announcing its inflation target. The model preserves the main transmission channels of monetary policy used in stochastic dynamic general equilibrium modelsnamely the consumption and the expectation channels, while allowing for agents' heterogeneity in both expectations and behavior. We find that, in a rather stable environment such as the Great Moderation period, announcing the target allows for the emergence of a loop between credibility and success: if the target is credible, inflation expectations remain anchored at the target, which helps stabilize inflation, and, in turn, reinforces the central bank's credibility. We then tune the degree of heterogeneity in agents' behavior and the individual learning process to introduce inflationary pressures, accompanied or not by uncertainty affecting the real transmission channel of monetary policy. Even if learning and heterogeneity would a priori lead to thinking favorably about transparency, we show that this virtuous circle is not robust, as transparency may expose the central bank to a risk of credibility loss. In this case, we discuss the potential benefits from partial announcements.

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“…Recent developments try to mitigate over-parameterization issues resorting to phase-diagrams (Gualdi et al, 2015), Kriging meta-modeling (Salle and Yıldızoglu, 2014;Dosi et al, 2016c;Bargigli et al, 2016), and machine-learning surrogates (Lamperti et al, 2016b). We shall briefly come back to these issues in the concluding remarks.…”

Section: Model Selection and Empirical Validationmentioning

confidence: 99%

Macroeconomic Policy in DSGE and Agent-Based Models Redux: New Developments and Challenges Ahead

Fagiolo

Roventini

2016

SSRN Journal

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in AbstractThe Great Recession seems to be a natural experiment for economic analysis, in that it has shown the inadequacy of the predominant theoretical framework -the New Neoclassical Synthesis (NNS) -grounded on the DSGE model. In this paper, we present a critical discussion of the theoretical, empirical and political-economy pitfalls of the DSGE-based approach to policy analysis. We suggest that a more fruitful research avenue should escape the strong theoretical requirements of NNS models (e.g., equilibrium, rationality, representative agent, etc.) and consider the economy as a complex evolving system, i.e. as an ecology populated by heterogenous agents, whose far-from-equilibrium interactions continuously change the structure of the system. This is indeed the methodological core of agent-based computational economics (ACE), which is presented in this paper. We also discuss how ACE has been applied to policy analysis issues, and we provide a survey of macroeconomic policy applications (fiscal and monetary policy, bank regulation, labor market structural reforms and climate change interventions). Finally, we conclude by discussing the methodological status of ACE, as well as the problems it raises.

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Efficient Sampling and Meta-Modeling for Computational Economic Models

Cited by 67 publications

References 23 publications

What If Supply-Side Policies are Not Enough? The Perverse Interaction of Flexibility and Austerity

What If Supply-Side Policies are Not Enough? The Perverse Interaction of Flexibility and Austerity

How transparent about its inflation target should a central bank be?

Macroeconomic Policy in DSGE and Agent-Based Models Redux: New Developments and Challenges Ahead

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