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An Agent-Based Macroeconomic Model with Endogenous Intertemporal Decision Rules

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  • Adalbert Mayer

    (Washington College)

Abstract

This paper uses an evolutionary algorithm to create endogenous intertemporal decision rules in an agent-based macroeconomic model. This approach addresses the Lucas critique in an agent-based model and links agent-based macroeconomic modeling to the standard DSGE framework. It can replicate the intertemporal decision rules given by the rational expectations solution to a representative agent growth model; at the same time, it is possible to model alternative information sets used to form the intertemporal decision rules. The dynamics in response to shocks depend in a non-trivial way on the interplay of expectations formation and the microstructure of the interaction between individual agents.

Suggested Citation

  • Adalbert Mayer, 2022. "An Agent-Based Macroeconomic Model with Endogenous Intertemporal Decision Rules," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 48(4), pages 548-579, October.
    • Handle: RePEc:pal:easeco:v:48:y:2022:i:4:d:10.1057_s41302-022-00221-2
    DOI: 10.1057/s41302-022-00221-2
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    More about this item

    Keywords

    Agent-based macroeconomics; Evolutionary algorithm; Expectations formation;
    All these keywords.

    JEL classification:

    • E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications
    • C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General

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