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Integrating Real and Financial Markets in an Agent-Based Economic Model: An Application to Monetary Policy Design

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Author Info

  • Marco Raberto

    ()

  • Andrea Teglio

    ()

  • Silvano Cincotti

    ()

Abstract

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File URL: http://hdl.handle.net/10.1007/s10614-008-9138-2
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Bibliographic Info

Article provided by Society for Computational Economics in its journal Computational Economics.

Volume (Year): 32 (2008)
Issue (Month): 1 (September)
Pages: 147-162

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Handle: RePEc:kap:compec:v:32:y:2008:i:1:p:147-162

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Web page: http://www.springerlink.com/link.asp?id=100248
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Related research

Keywords: Agent-based computational economics; Monetary policy design; Financial markets and the macroeconomy; C63; E44; E52;

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References

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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  1. Clarida, Richard & Galí, Jordi & Gertler, Mark, 1999. "The Science of Monetary Policy: A New Keynesian Perspective," CEPR Discussion Papers 2139, C.E.P.R. Discussion Papers.
  2. Kutschinski, Erich & Uthmann, Thomas & Polani, Daniel, 2003. "Learning competitive pricing strategies by multi-agent reinforcement learning," Journal of Economic Dynamics and Control, Elsevier, vol. 27(11), pages 2207-2218.
  3. Marco Raberto & Silvano Cincott & Sergio M. Focardi & Michele Marchesi, 2002. "Traders’ long-run wealth in an artificial financial market," Computing in Economics and Finance 2002 301, Society for Computational Economics.
  4. Marco Raberto & Silvano Cincotti & Sergio M. Focardi & Michele Marchesi, 2001. "Agent-based simulation of a financial market," Papers cond-mat/0103600, arXiv.org, revised Mar 2001.
  5. LeBaron, Blake, 2006. "Agent-based Computational Finance," Handbook of Computational Economics, in: Leigh Tesfatsion & Kenneth L. Judd (ed.), Handbook of Computational Economics, edition 1, volume 2, chapter 24, pages 1187-1233 Elsevier.
  6. Basu, N & Pryor, R & Quint, T, 1998. "ASPEN: A Microsimulation Model of the Economy," Computational Economics, Society for Computational Economics, vol. 12(3), pages 223-41, December.
  7. Tesfatsion, Leigh S., 2001. "Structure, Behavior, and Market Power in an Evolutionary Labor Market with Adaptive Search," Staff General Research Papers 1914, Iowa State University, Department of Economics.
  8. Taylor, John B., 1993. "Discretion versus policy rules in practice," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 39(1), pages 195-214, December.
  9. Leigh Tesfatsion, 2002. "Agent-Based Computational Economics," Computational Economics 0203001, EconWPA, revised 15 Aug 2002.
  10. Ravenna, Federico & Walsh, Carl E., 2006. "Optimal monetary policy with the cost channel," Journal of Monetary Economics, Elsevier, vol. 53(2), pages 199-216, March.
  11. Raberto, Marco & Teglio, Andrea & Cincotti, Silvano, 2006. "A general equilibrium model of a production economy with asset markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 370(1), pages 75-80.
  12. Kutschinski, Erich & Uthmann, Thomas & Polani, Daniel, 2003. "Learning competitive pricing strategies by multi-agent reinforcement learning," Journal of Economic Dynamics and Control, Elsevier, vol. 27(11-12), pages 2207-2218, September.
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Citations

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Cited by:
  1. Cincotti, Silvano & Raberto, Marco & Teglio, Andrea, 2010. "Credit money and macroeconomic instability in the agent-based model and simulator Eurace," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy, vol. 4(26), pages 1-32.
  2. Dan Farhat, 2012. "Artificial Neural Networks and Aggregate Consumption Patterns in New Zealand," Working Papers 1205, University of Otago, Department of Economics, revised Dec 2012.
  3. Raberto, Marco & Teglio, Andrea & Cincotti, Silvano, 2011. "Debt deleveraging and business cycles: An agent-based perspective," Economics Discussion Papers 2011-31, Kiel Institute for the World Economy.
  4. Isabelle SALLE (GREThA, CNRS, UMR 5113) & Murat YILDIZOGLU (GREThA, CNRS, UMR 5113) & Marc-Alexandre SENEGAS (GREThA, CNRS, UMR 5113), 2012. "Inflation targeting in a learning economy: An ABM perspective," Cahiers du GREThA 2012-15, Groupe de Recherche en Economie Théorique et Appliquée.
  5. Gottfried Haber, 2008. "Monetary and Fiscal Policy Analysis With an Agent-Based Macroeconomic Model," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 228(2+3), pages 276-295, June.
  6. Giorgio Fagiolo & Andrea Roventini, 2012. "Macroeconomic Policy in DSGE and Agent-Based Models," EconomiX Working Papers 2012-17, University of Paris West - Nanterre la Défense, EconomiX.
  7. Johann Burgstaller, 2010. "Bank Lending and Monetary Policy Transmission in Austria," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 230(2), pages 163-185.
  8. Isabelle SALLE & Marc-Alexandre SENEGAS & Murat YILDIZOGLU, 2013. "How Transparent About Its Inflation Target Should a Central Bank be? An Agent-Based Model Assessment," Cahiers du GREThA 2013-24, Groupe de Recherche en Economie Théorique et Appliquée.

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