Multi-agent modeling and simulation of a sequential monetary production economy
AbstractThis paper presents a heterogeneous agent model of a sequential monetary production economy. A deterministic dynamic flow model is employed. The model is characterized by three classes of agents: a single homogeneous representative consumer, heterogeneous firms and a banking sector. There are three asset classes (or debts): a single homogeneous physical good, money and debt securities. The homogeneous commodity is produced by firms and, if saved, increases their capital stock. Firms issue debts to finance growth. Firms are homogeneous as regarding production technology but are heterogeneous relative to expected in°ation. Consumers provide labor force and make the decision of consumption and saving of their income. They own all the equities of firms and banks. The banking sector collects consumer savings and provides credit supply to firms. The main result of the model is that real economic variables are strongly affected by the level of credit supply in relation to the level of savings.
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 InfoPaper provided by EconWPA in its series Computational Economics with number 0503002.
Date of creation: 12 Mar 2005
Date of revision:
Note: Type of Document - pdf
Contact details of provider:
Web page: http://18.104.22.168
Heterogeneous agents; financial markets and the macroeconomy; computer simulation;
Other versions of this item:
- Marco Raberto & Silvano Cincotti, 2004. "Multi-agent modeling and simulation of a sequential monetary production economy," Computing in Economics and Finance 2004 260, Society for Computational Economics.
- D92 - Microeconomics - - Intertemporal Choice and Growth - - - Intertemporal Firm Choice and Growth, Financing, Investment, and Capacity
- E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
This paper has been announced in the following NEP Reports:
- NEP-ALL-2005-04-16 (All new papers)
- NEP-CMP-2005-04-16 (Computational Economics)
- NEP-MAC-2005-04-16 (Macroeconomics)
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.:
- Campbell, John Y., 1987.
"Stock returns and the term structure,"
Journal of Financial Economics,
Elsevier, vol. 18(2), pages 373-399, June.
- Sydney Ludvigson & Martin Lettau, 1999.
"Consumption, aggregate wealth and expected stock returns,"
77, Federal Reserve Bank of New York.
- Martin Lettau, 2001. "Consumption, Aggregate Wealth, and Expected Stock Returns," Journal of Finance, American Finance Association, vol. 56(3), pages 815-849, 06.
- Lettau, Martin & Ludvigson, Sydney, 1999. "Consumption, Aggregate Wealth and Expected Stock Returns," CEPR Discussion Papers 2223, C.E.P.R. Discussion Papers.
- Cincotti, Silvano & M. Focardi, Sergio & Marchesi, Michele & Raberto, Marco, 2003. "Who wins? Study of long-run trader survival in an artificial stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 324(1), pages 227-233.
- Nasseh, Alireza & Strauss, Jack, 2000. "Stock prices and domestic and international macroeconomic activity: a cointegration approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 40(2), pages 229-245.
- Delli Gatti, Domenico & Gallegati, Mauro & Giulioni, Gianfranco & Palestrini, Antonio, 2003.
"Financial fragility, patterns of firms' entry and exit and aggregate dynamics,"
Journal of Economic Behavior & Organization,
Elsevier, vol. 51(1), pages 79-97, May.
- Domenico Delli Gatti, Mauro Gallegati, Gianfranco Giulioni, Antonio Palestrini, -DISCUSSANT: Thomas Brenner, 2000. "Financial Fragility, Patterns Of Firms' Entry And Exit And Aggregate Dynamics," Computing in Economics and Finance 2000 282, Society for Computational Economics.
- Fama, Eugene F, 1990. " Stock Returns, Expected Returns, and Real Activity," Journal of Finance, American Finance Association, vol. 45(4), pages 1089-1108, September.
- 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.
- Marco Raberto & Silvano Cincotti & Sergio Focardi & Michele Marchesi, 2003. "Traders' Long-Run Wealth in an Artificial Financial Market," Computational Economics, Society for Computational Economics, vol. 22(2), pages 255-272, October.
- Greenwald, Bruce C & Stiglitz, Joseph E, 1993.
"Financial Market Imperfections and Business Cycles,"
The Quarterly Journal of Economics,
MIT Press, vol. 108(1), pages 77-114, February.
- Bruce C. Greenwald & Joseph E. Stiglitz, 1993. "Financial Market Imperfections and Business Cycles," NBER Working Papers 2494, National Bureau of Economic Research, Inc.
- Ferson, Wayne E & Harvey, Campbell R, 1993. "The Risk and Predictability of International Equity Returns," Review of Financial Studies, Society for Financial Studies, vol. 6(3), pages 527-66.
- Chen, Nai-Fu, 1991. " Financial Investment Opportunities and the Macroeconomy," Journal of Finance, American Finance Association, vol. 46(2), pages 529-54, June.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (EconWPA).
If references are entirely missing, you can add them using this form.