Complex Dynamics and Financial Fragility in an Agent Based Model
AbstractWe model an agent-based economy in which heterogeneous agents (firms and a bank) interact in the financial markets. The heterogeneity is due to the balance sheet conditions and to size. In our simulations, at the aggregate level, output displays changes in trend and volatility giving rise to complex dynamics. The average solvency and liquidity ratios peak during recessions as empirical analysis shows. At the firm level the model generates: (i) firm sizes left-skewed distributed, (ii) growth rates Laplace distributed. Furthermore, small idiosyncratic shocks can generate large aggregate fluctuations.
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Bibliographic InfoPaper provided by Society for Computational Economics in its series Computing in Economics and Finance 2003 with number 86.
Date of creation: 01 Aug 2003
Date of revision:
financial fragility; complex dynamics; agent based models;
Other versions of this item:
- Mauro Gallegati & Gianfranco Giulioni & Nozomi Kichiji, 2003. "Complex Dynamics And Financial Fragility In An Agent-Based Model," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 6(03), pages 267-282.
- E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
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- Gatti, Domenico Delli & Di Guilmi, Corrado & Gallegati, Mauro & Giulioni, Gianfranco, 2007. "Financial Fragility, Industrial Dynamics, And Business Fluctuations In An Agent-Based Model," Macroeconomic Dynamics, Cambridge University Press, vol. 11(S1), pages 62-79, November.
- Batuo Enowbi, Michael & Kupukile, Mlambo, 2012. "Financial instability, financial openness and economic growth in african countries," MPRA Paper 43340, University Library of Munich, Germany.
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- Carlo Bianchi & Pasquale Cirillo & Mauro Gallegati & Pietro Vagliasindi, 2007.
"Validating and Calibrating Agent-Based Models: A Case Study,"
Society for Computational Economics, vol. 30(3), pages 245-264, October.
- Pasquale Cirillo & Carlo Bianchi & Mauro Gallegati & Pietro Vagliasindi, 2006. "Validating and Calibrating Agent-based Models: a Case Study," Computing in Economics and Finance 2006 277, Society for Computational Economics.
- Bianchi, Carlo & Cirillo, Pasquale & Gallegati, Mauro & Vagliasindi, Pietro A., 2008. "Validation in agent-based models: An investigation on the CATS model," Journal of Economic Behavior & Organization, Elsevier, vol. 67(3-4), pages 947-964, September.
- Gatti, Domenico Delli & Guilmi, Corrado Di & Gaffeo, Edoardo & Giulioni, Gianfranco & Gallegati, Mauro & Palestrini, Antonio, 2005. "A new approach to business fluctuations: heterogeneous interacting agents, scaling laws and financial fragility," Journal of Economic Behavior & Organization, Elsevier, vol. 56(4), pages 489-512, April.
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