Learning through short-run macroeconomic forecasts in a micro-to-macro model

Abstract

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. Firms in the (Swedish) Micro-to-Macro Model MOSES learn about their environment through internai adaptive expectations and through short -ron externai forecasts produced by Statistical Bureaus. The statistical Bureaus apply different macroeconomic modeis, that theyestimate on data generated by MOSES. Firms are learning about their degree of trust in the forecasts of both Statistical Bureaus using Bayesian rules. In our experiments with learning through external forecasts firms are either forced to use only one source of macroeconomic information or allowed to choose between them. With these experiments we can simulate a more or less centrally controlled economy. Experiments demonstrate that the more of variety of sources of information allowed the better macroeconomic performance. Terms of use: Documents in

Why Complex, Data Demanding and Difficult to Estimate Agent Based Models? Lessons from a Decades Long Research Program

“…32 This could be seen as an example of Kirzner's (1997) discoverer entrepreneur that contrary to Schumpeter's disturber entrepreneur, discovers profit opportunities. In the version of the Reference model that Antonov and Trofimov (1993) used, discovery was simply a matter of the financial market filtering out of successful (ex post profitable) business experiments, and forcing others down or out (exit). After the innovation and learning modules of Ballot & Taymaz (1998 had been installed, entrepreneurship is both Kirznerian, in that new business entrants act on expected market profit opportunities and learn how to improve in whatever they are doing, and Schumpeterian, in that entering businesses exercise a disturbing competitive challenge to incumbents, constantly forcing them to improve, and some to exit (Eliasson, 2017b).…”

“…A corollary questionis under what institutional circumstances a free experimental trial and error process will have a positive long run outcome in expectation. On thisAntonov & Trofimov (1993) demonstrated on the Reference model that forcing all agents in the model economy onto a centralised planning mode (a "centralised forecast") was not the optimal policy in the evolutionary and unpredictable economic environment of the Reference model, with constantly changing and unpredictable structures. Allowing each agent to form individually conceived views of the future, and designing their business experiments accordingly, meant that agents stumbled onto successful innovative action that would have gone missing for ever in the irreversible evolutionary environment of the Reference model.32 The number of failed business experiments increased as well as firm exits, but the long run macro growth outcome was larger than in the centrally mandated policy experiments.This better long run outcome was thus achieved at the social cost of more mistaken business decisions (firm exits), a result repeated on a later version of the Reference model in Eliasson et al Decades Long Research Program(2005).…”

The nature of economic change and management in a new knowledge based information economy

“…It can be seen as part of the experimental innovation process generating business mistakes but also positive innovations that would never have been tried and discovered in a more regulated economic environment. Antonov and Trofimov (1993) demonstrate through experiments on a simulation model that centralized information processing according to one perception (model) of the economy only reduces innovations and growth over the longer time. Reasonably free experimentation, on the other hand, enhances economic growth because new opportunities are discovered that have been ''censored'' by the centrally imposed interpretation model.…”

“…Hence, we can generate the data for outsiders to watch. Outsiders, however, have to guess on the specification of the model to understand its structure (Antonov and Trofimov, 1993). Let me use that model to illustrate two critical points.…”

“…Now economic theory enters. Antonov and Trofimov (1993), for instance, estimated a traditional Keynesian and neoclassical macro model on the data generated by the micro-to-macro model. These two linear approximations to the full model were constantly updated, as new data were being generated by the MOSES model and the firms in the MOSES model used the predictions of the econometric model approximations of MOSES in their planning.…”