Advanced Search
MyIDEAS: Login to save this paper or follow this series

Agent-based macroeconomics - a baseline model

Contents:

Author Info

  • Lengnick, Matthias

Abstract

This paper develops a baseline agent-based macroeconomic model and contrasts it with the common dynamic stochastic general equilibrium approach. Although simple, the model can reproduce a lot of the stylized facts of business cycles. The author argues that agent-based modeling is an adequate response to the recently expressed criticism of macroeconomic methodology. It does not depend on the strict assumption of rationality and allows for aggregate behavior that is more than simply a replication of microeconomic optimization decisions. At the same time it allows for absolutely consistent micro foundations. Most importantly, it does not depend on equilibrium assumptions or fictitious auctioneers and does therefore not rule out coordination failures, instability and crisis by definition. --

Download Info

If 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.
File URL: http://econstor.eu/bitstream/10419/45012/1/654079951.pdf
Download Restriction: no

Bibliographic Info

Paper provided by Christian-Albrechts-University of Kiel, Department of Economics in its series Economics Working Papers with number 2011,04.

as in new window
Length:
Date of creation: 2011
Date of revision:
Handle: RePEc:zbw:cauewp:201104

Contact details of provider:
Postal: D-24098 Kiel,Wilhelm-Seelig-Platz 1
Phone: 0431-880 3282
Fax: 0431-880 3150
Web page: http://www.wiso.uni-kiel.de/econ/
More information through EDIRC

Related research

Keywords: agent-based modeling; complex adaptive systems; microfoundations of macroeconomics;

Other versions of this item:

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

References listed on IDEAS
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.:
as in new window
  1. Isabelle SALLE (GREThA, CNRS, UMR 5113) & Martin ZUMPE (GREThA, CNRS, UMR 5113) & Murat YILDIZOGLU (GREThA, CNRS, UMR 5113) & Marc-Alexandre SENEGAS (GREThA, CNRS, UMR 5113), 2012. "Modelling Social Learning in an Agent-Based New Keynesian Macroeconomic Model," Cahiers du GREThA, Groupe de Recherche en Economie Théorique et Appliquée 2012-20, Groupe de Recherche en Economie Théorique et Appliquée.
  2. Matthias Lengnick & Hans-Werner Wohltmann, 2013. "Agent-based financial markets and New Keynesian macroeconomics: a synthesis," Journal of Economic Interaction and Coordination, Springer, Springer, vol. 8(1), pages 1-32, April.
  3. Dave Colander & Peter Howitt & Alan Kirman & Axel Leijonhufvud & Perry Mehrling, 2008. "Beyond DSGE Models: Toward an Empirically Based Macroeconomics," Middlebury College Working Paper Series, Middlebury College, Department of Economics 0808, Middlebury College, Department of Economics.
  4. Cars H. Hommes, 2005. "Heterogeneous Agent Models in Economics and Finance," Tinbergen Institute Discussion Papers, Tinbergen Institute 05-056/1, Tinbergen Institute.
  5. Michael Woodford, 2007. "How Important is Money in the Conduct of Monetary Policy?," Levine's Working Paper Archive 122247000000001419, David K. Levine.
  6. Emi Nakamura & Jón Steinsson, 2008. "Five Facts about Prices: A Reevaluation of Menu Cost Models," The Quarterly Journal of Economics, MIT Press, MIT Press, vol. 123(4), pages 1415-1464, November.
  7. Ian Wright, 2004. "The Social Architecture of Capitalism," Papers cond-mat/0401053, arXiv.org, revised Mar 2011.
  8. Schelling, Thomas C, 1969. "Models of Segregation," American Economic Review, American Economic Association, American Economic Association, vol. 59(2), pages 488-93, May.
  9. Russo, Alberto & Catalano, Michele & Gaffeo, Edoardo & Gallegati, Mauro & Napoletano, Mauro, 2007. "Industrial dynamics, fiscal policy and R&D: Evidence from a computational experiment," Journal of Economic Behavior & Organization, Elsevier, Elsevier, vol. 64(3-4), pages 426-447.
  10. Giovanni Dosi & Giorgio Fagiolo & Andrea Roventini, 2006. "An Evolutionary Model of Endogenous Business Cycles," Computational Economics, Society for Computational Economics, Society for Computational Economics, vol. 27(1), pages 3-34, February.
  11. Duffy, John, 2006. "Agent-Based Models and Human Subject Experiments," Handbook of Computational Economics, Elsevier, in: Leigh Tesfatsion & Kenneth L. Judd (ed.), Handbook of Computational Economics, edition 1, volume 2, chapter 19, pages 949-1011 Elsevier.
  12. LeBaron, Blake, 2006. "Agent-based Computational Finance," Handbook of Computational Economics, Elsevier, in: Leigh Tesfatsion & Kenneth L. Judd (ed.), Handbook of Computational Economics, edition 1, volume 2, chapter 24, pages 1187-1233 Elsevier.
  13. Sami Al-Suwailem, 2010. "Behavioural Complexity," ASSRU Discussion Papers, ASSRU - Algorithmic Social Science Research Unit 1012, ASSRU - Algorithmic Social Science Research Unit.
  14. Alan Kirman, 2006. "Demand Theory and General Equilibrium: From Explanation to Introspection, a Journey down the Wrong Road," Economics Working Papers, Institute for Advanced Study, School of Social Science 0073, Institute for Advanced Study, School of Social Science.
  15. John P. Judd & Bharat Trehan, 1993. "The cyclical behavior of prices: interpreting the evidence," Working Papers in Applied Economic Theory, Federal Reserve Bank of San Francisco 93-14, Federal Reserve Bank of San Francisco.
  16. Charles Goodhart, 2007. "Whatever became of the Monetary Aggregates?," FMG Special Papers, Financial Markets Group sp172, Financial Markets Group.
  17. Nicholas S. Souleles, 1999. "The Response of Household Consumption to Income Tax Refunds," American Economic Review, American Economic Association, American Economic Association, vol. 89(4), pages 947-958, September.
  18. George T. McCandless, Jr. & Warren E. Weber, 1995. "Some monetary facts," Quarterly Review, Federal Reserve Bank of Minneapolis, Federal Reserve Bank of Minneapolis, issue Sum, pages 2-11.
  19. Paul De Grauwe, 2010. "Top-Down versus Bottom-Up Macroeconomics," CESifo Working Paper Series 3020, CESifo Group Munich.
  20. Carl E. Walsh, 2010. "Monetary Theory and Policy, Third Edition," MIT Press Books, The MIT Press, The MIT Press, edition 3, volume 1, number 0262013770, December.
  21. George A. Akerlof, 2002. "Behavioral Macroeconomics and Macroeconomic Behavior," American Economic Review, American Economic Association, American Economic Association, vol. 92(3), pages 411-433, June.
  22. Janet L. Yellen, 2007. "Implications of behavioral economics for monetary policy," Speech, Federal Reserve Bank of San Francisco 41, Federal Reserve Bank of San Francisco.
  23. Ball, Laurence & Mankiw, N. Gregory, 1994. "A sticky-price manifesto," Carnegie-Rochester Conference Series on Public Policy, Elsevier, Elsevier, vol. 41(1), pages 127-151, December.
  24. Calvo, Guillermo A., 1983. "Staggered prices in a utility-maximizing framework," Journal of Monetary Economics, Elsevier, Elsevier, vol. 12(3), pages 383-398, September.
  25. Carroll, Christopher D & Kimball, Miles S, 1996. "On the Concavity of the Consumption Function," Econometrica, Econometric Society, Econometric Society, vol. 64(4), pages 981-92, July.
  26. Seppecher, Pascal, 2012. "Flexibility Of Wages And Macroeconomic Instability In An Agent-Based Computational Model With Endogenous Money," Macroeconomic Dynamics, Cambridge University Press, Cambridge University Press, vol. 16(S2), pages 284-297, September.
  27. 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, Elsevier, vol. 22(8-9), pages 1235-1274, August.
  28. Randall Wright & Guido Menzio & Aleksander Berentsen, 2008. "Inflation and Unemployment in the Long Run," 2008 Meeting Papers 34, Society for Economic Dynamics.
  29. Sander Van Der Hoog & Christophe Deissenberg & Herbert Dawid, 2008. "Production and Finance in EURACE," Working Papers, HAL halshs-00339758, HAL.
  30. 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, Springer, vol. 1(1), pages 5-19, May.
  31. Alan P. Kirman, 1992. "Whom or What Does the Representative Individual Represent?," Journal of Economic Perspectives, American Economic Association, American Economic Association, vol. 6(2), pages 117-136, Spring.
  32. Arthur, W. Brian, 2006. "Out-of-Equilibrium Economics and Agent-Based Modeling," Handbook of Computational Economics, Elsevier, in: Leigh Tesfatsion & Kenneth L. Judd (ed.), Handbook of Computational Economics, edition 1, volume 2, chapter 32, pages 1551-1564 Elsevier.
  33. E. Gaffeo & M. Catalano & F. Clementi & D. Delli Gatti & M. Gallegati & A. Russo, 2006. "Reflections on Modern Macroeconomics: Can We Travel Along a Safer Road?," Papers physics/0608148, arXiv.org.
  34. Gottfried Haber, 2008. "Monetary and Fiscal Policy Analysis With an Agent-Based Macroeconomic Model," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 228(2+3), pages 276-295, June.
  35. Edoardo Gaffeo & Domenico Delli Gatti & Saul Desiderio & Mauro Gallegati, 2008. "Adaptive Microfoundations for Emergent Macroeconomics," Eastern Economic Journal, Palgrave Macmillan, vol. 34(4), pages 441-463.
  36. Domenico Gatti & Edoardo Gaffeo & Mauro Gallegati, 2010. "Complex agent-based macroeconomics: a manifesto for a new paradigm," Journal of Economic Interaction and Coordination, Springer, Springer, vol. 5(2), pages 111-135, December.
  37. Christopher A. Sims, 1992. "Interpreting the Macroeconomic Time Series Facts: The Effects of Monetary Policy," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1011, Cowles Foundation for Research in Economics, Yale University.
  38. Cover, James Peery, 1992. "Asymmetric Effects of Positive and Negative Money-Supply Shocks," The Quarterly Journal of Economics, MIT Press, MIT Press, vol. 107(4), pages 1261-82, November.
  39. Robert Axtell, 2007. "What economic agents do: How cognition and interaction lead to emergence and complexity," The Review of Austrian Economics, Springer, Springer, vol. 20(2), pages 105-122, September.
  40. Paul Grauwe, 2011. "Animal spirits and monetary policy," Economic Theory, Springer, Springer, vol. 47(2), pages 423-457, June.
  41. Kirman, Alan, 1993. "Ants, Rationality, and Recruitment," The Quarterly Journal of Economics, MIT Press, MIT Press, vol. 108(1), pages 137-56, February.
  42. Giovanni Dosi & Giorgio Fagiolo & Andrea Roventini, 2008. "The microfoundations of business cycles: an evolutionary, multi-agent model," Journal of Evolutionary Economics, Springer, Springer, vol. 18(3), pages 413-432, August.
  43. Philip Arestis, 2009. "New Consensus Macroeconomics: A Critical Appraisal," Economics Working Paper Archive, Levy Economics Institute wp_564, Levy Economics Institute.
  44. Robert E. Lucas Jr., 2003. "Macroeconomic Priorities," American Economic Review, American Economic Association, American Economic Association, vol. 93(1), pages 1-14, March.
  45. Paul De Grauwe, 2010. "Top-Down versus Bottom-Up Macroeconomics," CESifo Economic Studies, CESifo, CESifo, vol. 56(4), pages 465-497, December.
  46. Finn E. Kydland & Edward C. Prescott, 1990. "Business cycles: real facts and a monetary myth," Quarterly Review, Federal Reserve Bank of Minneapolis, Federal Reserve Bank of Minneapolis, issue Spr, pages 3-18.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Patrascu Diana – Ramona, 2013. "The Representative Economic Agent – An Epistemological Approach," Annals - Economy Series, Constantin Brancusi University, Faculty of Economics, vol. 2, pages 42-46, April.
  2. Giovanni Dosi & Giorgio Fagiolo & Mauro Napoletano & Andrea Roventini & Tania Treibich, 2014. "Fiscal and monetary policies in complex evolving economies," Documents de Travail de l'OFCE, Observatoire Francais des Conjonctures Economiques (OFCE) 2014-05, Observatoire Francais des Conjonctures Economiques (OFCE).
  3. Salle, Isabelle & Yıldızoğlu, Murat & Sénégas, Marc-Alexandre, 2013. "Inflation targeting in a learning economy: An ABM perspective," Economic Modelling, Elsevier, Elsevier, vol. 34(C), pages 114-128.
  4. Doshchyn, Artur & Giommetti, Nicola, 2013. "Learning, Expectations, and Endogenous Business Cycles," MPRA Paper 49617, University Library of Munich, Germany.
  5. Giorgio Fagiolo & Andrea Roventini, 2012. "Macroeconomic Policy in DSGE and Agent-Based Models," EconomiX Working Papers 2012-17, University of Paris West - Nanterre la Défense, EconomiX.
  6. Ricetti, Luca & Russo, Alberto & Gallegati, Mauro, 2013. "Unemployment benefits and financial leverage in an agent based macroeconomic model," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy, Kiel Institute for the World Economy, vol. 7(42), pages 1-44.
  7. Mellár, Tamás & Hau, Orsolya & Sebestyén, Tamás, 2013. "Láthatóvá tehető-e a láthatatlan kéz? Egy ágensalapú piaci modell tapasztalatai
    [Can the invisible hand be rendered visible? Experiences of an agent-based market model]
    ," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(9), pages 992-1024.
  8. repec:spo:wpecon:info:hdl:2441/f6h8764enu2lskk9p6go0e900 is not listed on IDEAS
  9. Isabelle SALLE & Marc-Alexandre SENEGAS & Murat YILDIZOGLU, 2013. "How Transparent About Its Inflation Target Should a Central Bank be? An Agent-Based Model Assessment," Cahiers du GREThA, Groupe de Recherche en Economie Théorique et Appliquée 2013-24, Groupe de Recherche en Economie Théorique et Appliquée.
  10. Muliere, Pietro & Suverato, Davide, 2014. "Income and Wealth Distributions in a Population of Heterogeneous Agents," Discussion Papers in Economics, University of Munich, Department of Economics 20928, University of Munich, Department of Economics.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:zbw:cauewp:201104. See general information about how to correct material in RePEc.

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.