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Multi-agent modeling and simulation of a sequential monetary production economy

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Author Info
Marco Raberto (DIBE-CINEF, University of Genoa)
Andrea Teglio (DIBE-CINEF, University of Genoa)
Silvano Cincotti (DIBE- CINEF, University of Genoa)

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Abstract

This 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.

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Paper provided by EconWPA in its series Computational Economics with number 0503002.

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Date of creation: 12 Mar 2005
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Handle: RePEc:wpa:wuwpco:0503002

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Related research
Keywords: Heterogeneous agents; financial markets and the macroeconomy; computer simulation;

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Find related papers by JEL classification:
D92 - Microeconomics - - Intertemporal Choice and Growth - - - Intertemporal Firm Choice and Growth, Investment, or Financing
E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation
E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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    Other versions:
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  5. Fama, Eugene F, 1990. " Stock Returns, Expected Returns, and Real Activity," Journal of Finance, American Finance Association, vol. 45(4), pages 1089-1108, September. [Downloadable!] (restricted)
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  7. Martin Lettau, 2001. "Consumption, Aggregate Wealth, and Expected Stock Returns," Journal of Finance, American Finance Association, vol. 56(3), pages 815-849, 06. [Downloadable!] (restricted)
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  9. Marco Raberto & Silvano Cincotti & Sergio Focardi & Michele Marchesi, 2003. "Traders' Long-Run Wealth in an Artificial Financial Market," Computational Economics, Springer, vol. 22(2), pages 255-272, October. [Downloadable!] (restricted)
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  10. Ferson, Wayne E & Harvey, Campbell R, 1993. "The Risk and Predictability of International Equity Returns," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 6(3), pages 527-66. [Downloadable!] (restricted)
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