Interactions in the New Keynesian DSGE models: The Boltzmann-Gibbs machine and social networks approach
AbstractThe BoltzmannGibbs distribution is currently widely used in economic modeling. One of the applications is integrated with the DSGE (Dynamic Stochastic General Equilibrium) model. However, a question that arises concerns whether the BoltzmannGibbs distribution can be directly applied, without considering the underlying social network structure more seriously, even though the social network structure is an important factor of social interaction. Therefore, this paper proposes two kinds of agent-based DSGE models. The first one belongs to mesoscopic modeling in formulating the social interaction with the BoltzmannGibbs machine, and the other one belongs to microscopic modeling in that it is augmented by the network-based ant machine. By comparing the population dynamics generated by those different agent-based DSGE models, we find that the BoltzmannGibbs machine offers a good approximation of herding behavior. However, it is difficult to envisage the population dynamics produced by the BoltzmannGibbs machine and by the network-based ant machine as having the same distribution, particularly in popular empirical network structures such as small world networks and scale-free networks. Thus, the social interaction behavior may not be replaced by the BoltzmannGibbs distribution. --
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Kiel Institute for the World Economy in its journal Economics: The Open-Access, Open-Assessment E-Journal.
Volume (Year): 6 (2012)
Issue (Month): 26 ()
New Keynesian DSGE models; network-based ant model; networks; BoltzmannGibbs distribution;
Find related papers by JEL classification:
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- D85 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Network Formation
- E12 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Keynes; Keynesian; Post-Keynesian
- E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
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.:
- Lux, Thomas & Schornstein, Sascha, 2002.
"Genetic learning as an explanation of stylized facts of foreign exchange markets,"
Discussion Paper Series 1: Economic Studies
2002,29, Deutsche Bundesbank, Research Centre.
- Lux, Thomas & Schornstein, Sascha, 2005. "Genetic learning as an explanation of stylized facts of foreign exchange markets," Journal of Mathematical Economics, Elsevier, vol. 41(1-2), pages 169-196, February.
- Lux, Thomas & Schornstein, Sascha, 2003. "Genetic learning as an explanation of stylized facts of foreign exchange markets," Economics Working Papers |aEconomics working paper, Christian-Albrechts-University of Kiel, Department of Economics.
- Yu-chin Chen & Pisut Kulthanavit, 2008. "Monetary Policy Design under Imperfect Knowledge: An Open Economy Analysis," Working Papers UWEC-2008-14, University of Washington, Department of Economics.
- Orphanides, Athanasios & Williams, John C., 2007.
"Robust monetary policy with imperfect knowledge,"
Working Paper Series
0764, European Central Bank.
- John C Williams & Athanasios Orphanides, 2005. "Robust Monetary Policy with Imperfect Knowledge," Computing in Economics and Finance 2005 400, Society for Computational Economics.
- Athanasios Orphanides & John C. Williams, 2007. "Robust monetary policy with imperfect knowledge," Finance and Economics Discussion Series 2007-33, Board of Governors of the Federal Reserve System (U.S.).
- Athanasios Orphanides & John C. Williams, 2007. "Robust monetary policy with imperfect knowledge," Working Paper Series 2007-08, Federal Reserve Bank of San Francisco.
- Branch, William A. & McGough, Bruce, 2009. "A New Keynesian model with heterogeneous expectations," Journal of Economic Dynamics and Control, Elsevier, vol. 33(5), pages 1036-1051, May.
- Iori, G. & Masi, G. D. & Precup, O. V. & Gabbi, G. & Caldarelli, G., 2005.
"A network analysis of the Italian oversight money market,"
05/05, Department of Economics, City University London.
- Iori, Giulia & De Masi, Giulia & Precup, Ovidiu Vasile & Gabbi, Giampaolo & Caldarelli, Guido, 2008. "A network analysis of the Italian overnight money market," Journal of Economic Dynamics and Control, Elsevier, vol. 32(1), pages 259-278, January.
- Giorgio Fagiolo & Javier Reyes & Stefano Schiavo, 2007.
"International Trade and Financial Integration : a Weighted Network Analysis,"
Sciences Po publications
2007-11, Sciences Po.
- Stefano Schiavo & Javier Reyes & Giorgio Fagiolo, 2010. "International trade and financial integration: a weighted network analysis," Quantitative Finance, Taylor & Francis Journals, vol. 10(4), pages 389-399.
- Giorgio Fagiolo & Javier Reyes & Stefano Schiavo, 2007. "International Trade and Financial Integration: A Weighted Network Analysis," LEM Papers Series 2007/16, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Giorgio Fagiolo & Javier Reyes & Stefano Schiavo, 2007. "International Trade and Financial Integration: a Weighted Network Analysis," Documents de Travail de l'OFCE 2007-11, Observatoire Francais des Conjonctures Economiques (OFCE).
- Kirman, Alan, 1993. "Ants, Rationality, and Recruitment," The Quarterly Journal of Economics, MIT Press, vol. 108(1), pages 137-56, February.
- Paul Grauwe, 2010. "The scientific foundation of dynamic stochastic general equilibrium (DSGE) models," Public Choice, Springer, vol. 144(3), pages 413-443, September.
- Brock, William A. & Hommes, Cars H., 1998.
"Heterogeneous beliefs and routes to chaos in a simple asset pricing model,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 22(8-9), pages 1235-1274, August.
- Bask, Mikael, 2007. "Long swings and chaos in the exchange rate in a DSGE model with a Taylor rule," Research Discussion Papers 19/2007, Bank of Finland.
- repec:att:wimass:9530 is not listed on IDEAS
- Matthias Lengnick & Hans-Werner Wohltmann, 2013.
"Agent-based financial markets and New Keynesian macroeconomics: a synthesis,"
Journal of Economic Interaction and Coordination,
Springer, vol. 8(1), pages 1-32, April.
- Lengnick, Matthias & Wohltmann, Hans-Werner, 2011. "Agent-based financial markets and New Keynesian macroeconomics: A synthesis," Economics Working Papers 2011,09, Christian-Albrechts-University of Kiel, Department of Economics.
- Lengnick, Matthias & Wohltmann, Hans-Werner, 2010. "Agent-based financial markets and New Keynesian macroeconomics: A synthesis," Economics Working Papers 2010,10, Christian-Albrechts-University of Kiel, Department of Economics.
- Brock, W.A. & Hommes, C.H., 1996.
"A Rational Route to Randomness,"
9530r, Wisconsin Madison - Social Systems.
- Alfarano, Simone & Milakovic, Mishael, 2009. "Network structure and N-dependence in agent-based herding models," Journal of Economic Dynamics and Control, Elsevier, vol. 33(1), pages 78-92, January.
- Fabio Milani, 2009. "Adaptive Learning and Macroeconomic Inertia in the Euro Area," Journal of Common Market Studies, Wiley Blackwell, vol. 47, pages 579-599, 06.
- S. Redner, 1998. "How popular is your paper? An empirical study of the citation distribution," The European Physical Journal B - Condensed Matter and Complex Systems, Springer, vol. 4(2), pages 131-134, July.
- Alfarano, Simone & Milaković, Mishael & Raddant, Matthias, 2009. "Network hierarchy in Kirman's ant model: fund investment can create systemic risk," Economics Working Papers 2009,09, Christian-Albrechts-University of Kiel, Department of Economics.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (ZBW - German National Library of Economics).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.