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New Approaches to Macroeconomic Modeling

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  • Aoki,Masanao

Abstract

This book contributes substantively to state-of-the-art macroeconomic modeling by providing a method for modeling large collections of heterogeneous agents subject to non-pairwise externality called field effects, i.e. feedback of aggregate effects on individual agents or agents using state-dependent strategies. Adopting a level of microeconomic description which keeps track of compositions of fractions of agents by 'types' or 'strategies', time evolution of the microeconomic states is described by (backward) Chapman-Kolmogorov equations. Macroeconomic dynamics naturally arise by expansion of the solution in some power series of the number of participants. Specification of the microeconomic transition rates thus leads to macroeconomic dynamic models. This approach provides a consistent way for dealing with multiple equilibria of macroeconomic dynamics by ergodic decomposition and associated calculations of mean first passage times, and stationary probabilities of equilibria further provide useful information on macroeconomic behavior.

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Bibliographic Info

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This book is provided by Cambridge University Press in its series Cambridge Books with number 9780521637695 and published in 1998.

Order: http://www.cambridge.org/uk/catalogue/catalogue.asp?isbn=9780521637695
Handle: RePEc:cup:cbooks:9780521637695

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Web page: http://www.cambridge.org

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Citations

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Cited by:
  1. Masanao Aoki & Hiroshi Yoshikawa, 2003. "Uncertainty, Policy Ineffectiveness, and Long Stagnation of the Macroeconomy," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo CIRJE-F-197, CIRJE, Faculty of Economics, University of Tokyo.
  2. Thomas Bury, 2012. "Statistical pairwise interaction model of stock market," Papers 1206.4420, arXiv.org, revised Jan 2014.
  3. Wright, Ian, 2009. "Implicit Microfoundations for Macroeconomics," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy, vol. 3(19), pages 1-27.
  4. Desdoigts, Alain, 1999. " Patterns of Economic Development and the Formation of Clubs," Journal of Economic Growth, Springer, Springer, vol. 4(3), pages 305-30, September.
  5. Hisanao Takahashi, 2003. "Ehrenfest Model with Large Jumps in Finance," Papers cond-mat/0311594, arXiv.org.
  6. Carl Chiarella & Corrado Di Guilmi, 2010. "The Financial Instability Hypothesis:a Stochastic Microfoundation Framework," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney 273, Quantitative Finance Research Centre, University of Technology, Sydney.
  7. Alfarano, Simone & Milaković, Mishael, 2008. "Should Network Structure Matter in Agent-Based Finance?," Economics Working Papers 2008,04, Christian-Albrechts-University of Kiel, Department of Economics.
  8. Alfarano, Simone & Milakovic, Mishael, 2009. "Network structure and N-dependence in agent-based herding models," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 33(1), pages 78-92, January.
  9. Shu-Heng Chen & Sai-Ping Li, 2011. "Econophysics: Bridges over a Turbulent Current," Papers 1107.5373, arXiv.org.
  10. Giulia Iori & Vassilis Koulovassilopoulos, 1999. "Patterns of consumption in socio-economic models with heterogeneous interacting agents," Papers cond-mat/9909131, arXiv.org.
  11. Taisei Kaizoji, 2006. "An interacting-agent model of financial markets from the viewpoint of nonextensive statistical mechanics," Papers physics/0601106, arXiv.org, revised Apr 2006.
  12. Power, Gabriel J. & Turvey, Calum G., 2008. "On Term Structure Models of Commodity Futures Prices and the Kaldor-Working Hypothesis," 2008 Conference, April 21-22, 2008, St. Louis, Missouri, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management 37608, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
  13. Masanao Aoki & Hiroshi Yoshikawa, 2012. "Non-self-averaging in macroeconomic models: a criticism of modern micro-founded macroeconomics," Journal of Economic Interaction and Coordination, Springer, vol. 7(1), pages 1-22, May.
  14. Chiarella Carl & Semmler Willi & Mittnik Stefan & Zhu Peiyuan, 2002. "Stock Market, Interest Rate and Output: A Model and Estimation for US Time Series Data," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 6(1), pages 1-39, April.
  15. Ning Ding & Ning Xi & Yougui Wang, 2005. "Effects of Saving and Spending Patterns on Holding Time Distribution," Papers physics/0507149, arXiv.org.
  16. M. Gallegati & A. Palestrini & D. Gatti & E. Scalas, 2006. "Aggregation of Heterogeneous Interacting Agents: The Variant Representative Agent Framework," Journal of Economic Interaction and Coordination, Springer, vol. 1(1), pages 5-19, May.
  17. Josip Stepanic, 2004. "Social Equivalent of Free Energy," Interdisciplinary Description of Complex Systems - scientific journal, Croatian Interdisciplinary Society Provider Homepage: http://indecs.eu, vol. 2(1), pages 53-60.

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