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Reconstructing Aggregate Dynamics in Heterogeneous Agents Models. A Markovian Approach

Author

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  • Domenico Delli Gatti
  • Corrado Di Guilmi
  • Mauro Gallegati
  • Simone Landini

Abstract

The restrictive assumptions imposed by the traditional methods of aggregation prevented so far a sound analysis of complex system of feedback between microeconomic variables and macroeconomic outcomes. This issue seems to be crucial in macroeconomic modelling, in particular for the analysis of financial fragility, as conceived in the Keynesian and New Keynesian literature. In the present paper a statistical mechanics aggregation method is applied to a financial fragility model. The result is a consistent representation of the economic system that considers the heterogeneity of firms, their interactive behaviour and the feedback effects between micro, meso and macro level. In this approach, the impact of micro financial variables can be analytically assessed. The whole dynamics is described by a system of dynamic equations that well mimics the evolution of a numerically solved agent based model with the same features.

Suggested Citation

  • Domenico Delli Gatti & Corrado Di Guilmi & Mauro Gallegati & Simone Landini, 2012. "Reconstructing Aggregate Dynamics in Heterogeneous Agents Models. A Markovian Approach," Revue de l'OFCE, Presses de Sciences-Po, vol. 0(5), pages 117-146.
    • Handle: RePEc:cai:reofsp:reof_124_0117
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    Cited by:

    1. Simone Landini & Mauro Gallegati, 2014. "Heterogeneity, interaction and emergence: effects of composition," International Journal of Computational Economics and Econometrics, Inderscience Enterprises Ltd, vol. 4(3/4), pages 339-361.
    2. Jean-Luc Gaffard & Mauro Napoletano, 2012. "Improving the toolbox. New advances in Agent-based and Computational Models," Revue de l'OFCE, Presses de Sciences-Po, vol. 0(5), pages 7-13.
    3. Jean-Luc Gaffard & Mauro Napoletano, 2012. "Introduction - Improving the Toolbox: New Advances in Agent-Based and Computational Models," Post-Print hal-01053562, HAL.
    4. Simone Landini & Mauro Gallegati & Joseph Stiglitz, 2015. "Economies with heterogeneous interacting learning agents," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 10(1), pages 91-118, April.
    5. repec:hal:spmain:info:hdl:2441/53r60a8s3kup1vc9l564k4686 is not listed on IDEAS

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