C. H. Hommes, D. Massaro, P. Heemeiijer, T. Assenza
Summary: The way in which individual expectations shape aggregate macroeconomic variables is crucial for the transmission and effectiveness of monetary policy. We study the individual expectations formation process and the interaction with monetary policy, within a standard New Keynesian model, by means of laboratory experiments with human subjects. We find that a more aggressive monetary policy […]
Categories: Working Papers
A. Cornea, C. H. Hommes, D. Massaro
Summary: In this paper we develop and estimate a behavioral model of inflation dynamics with monopolistic competition, staggered price setting and heterogeneous firms. In our stylized framework there are two groups of price setters, fundamentalists and naive. Fundamentalists are forward-looking in the sense that they believe in a present-value relationship between inflation and real marginal costs, […]
Categories: Working Papers
G. Tedeschi, M. Gallegati, R. Grilli
Summary: In this paper we investigate the sources of instability in credit and financial systems and the effect of credit linkages on the macroeconomic activity. By developing an agent-based model, we analyze the evolving dynamics of the economy as a complex, adaptive and interactive system, which allows us to explain some key elements occurred during the […]
Categories: Working Papers
L. Gulyás, R. O. Legéndi
R.-Legendi-L.-Gulyas-Replication-of-the-MacroABM-model.pdf download View | Download
Summary: Agent-based approaches are getting more and more attention recently. In our current work we replicated the initial model of Domenico Delli Gatti et al. described in their work entitled Macroeconomics from the Bottom-up. We address the question of validating and verifying simulations in general, also in the context of economic modelling, and summarize the lessons […]
Categories: Working Papers
M. Kurz, M. Motolese
M.-Kurz-M.-Motolese-The-Role-of-Diverse-Beliefs-in-Asset-Pricing-and-Equity-Premia.pdf download View | Download
Summary: Why do risk premia vary over time? We examine this problem theoretically and empirically by studying the effect of market belief on risk premia. Individual belief is taken as a fundamental, primitive, state variable. Market belief which is the distribution of individual beliefs is observable, it is central to the empirical evaluation and we show […]
Categories: Working Papers
J.-P. Bouchaud
J-P.-Bouchaud-Crises-and-collective-socio-economic-phenomena1.pdf download View | Download
Summary: Financial and economic history is strewn with bubbles and crashes, booms and busts, crises and upheavals of all sorts. Understanding the origin of these events is arguably one of the most important problems in economic theory. In this paper, we review recent efforts to include heterogeneities and interactions in models of decision. We argue that […]
Categories: Working Papers
J. D. Farmer
Summary: The path to better understanding the economy requires treating the economy as the complex system that it really is. We need more realistic behavioral models, but even more important, we need to capture the most important components of the economy and their most important interactions, and make realistic models of institutions. The complex systems approach […]
Categories: Working Papers
H. Aoyama, H. Iyetomi, L. Marotta, M. Gallegati, R. N. Mantegna, S. Miccichè, Y. Fujiwara
Summary: Contributed talk at the Workshop “Interlinkages and Systemic Risk”, Ancona, July 4-5 (2013).
Categories: Working Papers
G. Iori, M. Tumminello, R. N. Mantegna, S. Miccichè, V. Hatzopoulos
Summary: Interbank markets allow credit institutions to exchange capital for purposes of liquidity management. These markets are among the most liquid markets in the financial system. However, liquidity of interbank markets dropped during the 2007-2008 financial crisis, and such a lack of liquidity influenced the entire economic system. In this paper, we analyze transaction data from […]
Categories: Working Papers