Emergent dynamics of a macroeconomic agent based model with capital and credit

Assenza, Tiziana; Gatti, Domenico Delli; Grazzini, Jakob

doi:10.1016/j.jedc.2014.07.001

Cited by 168 publications

(129 citation statements)

References 22 publications

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“…Because of labor force homogeneity, wages contracted in previous periods that happen to fall below the new wage level w it are automatically updated to it. 2 The necessity to hire new workers, therefore, cause the average wage to rise. The design of this wage-updating rule is consistent with findings reported by numerous surveys of firms' wage-setting policies.…”

Section: The Labor Marketmentioning

confidence: 99%

What moves the Beveridge curve and the Phillips curve: an agent-based analysis

Desiderio

2018

Economics

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Understanding what moves the Phillips curve is important to monetary policy. Because the Phillips curve has experienced over time movements similar to those characterizing the Beveridge curve, the authors jointly analyze the two phenomena. They do that through an agent-based macro model based on adaptive micro-foundations, which works fairly well in replicating a number of stylized facts, including the Beveridge curve, the Phillips curve and the Okun curve. By Monte Carlo experiments they explore the mechanisms behind the movements of the Beveridge curve and the Phillips curve. They discovered that shifts of the Beveridge curve are best explained by the intensity of worker reallocation. Reallocation also shifts the Phillips curve in the same direction, suggesting that it may be the reason behind the similarity of the patterns historically recorded for these two curves.

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Section: The Labor Marketmentioning

confidence: 99%

What moves the Beveridge curve and the Phillips curve: an agent-based analysis

Desiderio

2018

Economics

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“…As stated by Chen et al (2012), 5 See e.g. Dosi et al (2010Dosi et al ( , 2013Dosi et al ( , 2015; Caiani et al (2016); Assenza et al (2015) and Dawid et al (2014a) on business cycle dynamics, Lamperti et al (2017) on growth, green transitions and climate change, Dawid et al (2014b) on regional convergence and Leal et al (2014) on financial markets. The surveys in Roventini (2012, 2017) provides a more exhaustive list.…”

Section: Calibration and Validation Of Agent-based Models: The Case Fmentioning

confidence: 99%

Agent-Based Model Calibration Using Machine Learning Surrogates

2017

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Taking agent-based models (ABM) closer to the data is an open challenge. This paper explicitly tackles parameter space exploration and calibration of ABMs combining supervised machine-learning and intelligent sampling to build a surrogate meta-model. The proposed approach provides a fast and accurate approximation of model behaviour, dramatically reducing computation time. In that, our machine-learning surrogate facilitates large scale explorations of the parameter-space, while providing a powerful filter to gain insights into the complex functioning of agent-based models. The algorithm introduced in this paper merges model simulation and output analysis into a surrogate meta-model, which substantially ease ABM calibration. We successfully apply our approach to the Brock and Hommes (1998) asset pricing model and to the "Island" endogenous growth model (Fagiolo and Dosi, 2003). Performance is evaluated against a relatively large outof-sample set of parameter combinations, while employing different user-defined statistical tests for output analysis. The results demonstrate the capacity of machine learning surrogates to facilitate fast and precise exploration of agent-based models' behaviour over their often rugged parameter spaces. KEY WORDSAgent based model; calibration; machine learning; surrogate; meta-model. JELC15, C52, C63.

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“…Another line of research has tried to increasingly simplify the CATS model in order to compare it with standard macroeconomic ones (Assenza and Delli Gatti, 2013;Assenza et al, 2015). 16 Finally, a new contribution (Caiani et al, 2016) has combined the agent-based and stock-flow-consistent approaches.…”

Section: Extensionsmentioning

confidence: 99%

Agent-Based Macroeconomics and Classical Political Economy: Some Italian Roots

Dosi

Roventini

2017

Ital Econ J

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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. Abstract Terms of use: Documents in EconStor mayIn this work, we discuss how the rich academic milieu left by different Italian political economy traditions after WWII paved the way to the development of a new generation of macroeconomic agent-based models. The K+S (Dosi et al., 2010(Dosi et al., , 2016a, CATS (Delli Gatti et al., 2005, 2011 and EURACE (Cincotti et al., 2010;Teglio et al., 2012) families of agentbased models are at the frontier of an alternative macroeconomic research paradigm which considers the economy as a complex evolving system. The three families of models are presented in details and their empirical performance and policy exercises discussed.

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Emergent dynamics of a macroeconomic agent based model with capital and credit

Cited by 168 publications

References 22 publications

What moves the Beveridge curve and the Phillips curve: an agent-based analysis

What moves the Beveridge curve and the Phillips curve: an agent-based analysis

Agent-Based Model Calibration Using Machine Learning Surrogates

Agent-Based Macroeconomics and Classical Political Economy: Some Italian Roots

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