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A basic New Keynesian DSGE model with dispersed information: An agent-based approach

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  • Gobbi, Alessandro
  • Grazzini, Jakob

Abstract

The aim of this paper is to bridge macro agent-based models with mainstream macroeconomic models by agentifying the baseline New Keynesian DSGE model. The model features multiple, boundedly rational, optimizing agents and is analyzed through numerical simulations. We exploit the flexibility of agent-based modeling to explore the effect of dispersed information on the learning process and on macroeconomic outcomes. We find that with dispersed information monetary and fiscal policy acquire the role of public signals.

Suggested Citation

  • Gobbi, Alessandro & Grazzini, Jakob, 2019. "A basic New Keynesian DSGE model with dispersed information: An agent-based approach," Journal of Economic Behavior & Organization, Elsevier, vol. 157(C), pages 101-116.
    • Handle: RePEc:eee:jeborg:v:157:y:2019:i:c:p:101-116
    DOI: 10.1016/j.jebo.2017.12.015
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    Cited by:

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    2. repec:hal:spmain:info:hdl:2441/31dhti786q9k0q2i04klh6no54 is not listed on IDEAS
    3. Delli Gatti, Domenico & Grazzini, Jakob, 2020. "Rising to the challenge: Bayesian estimation and forecasting techniques for macroeconomic Agent Based Models," Journal of Economic Behavior & Organization, Elsevier, vol. 178(C), pages 875-902.
    4. Grimaud, Alex, 2021. "Precautionary saving and un-anchored expectations," MPRA Paper 110651, University Library of Munich, Germany.
    5. Eric Guerci & Nobuyuki Hanaki & Mauro Napoletano, 2019. "Introduction to special issue on “Complex evolving system approach to market dynamics and policy design”," Sciences Po publications info:hdl:2441/4cb1o2msej8, Sciences Po.
    6. repec:hal:spmain:info:hdl:2441/4cb1o2msej8cg9o9ip5ui05vqd is not listed on IDEAS
    7. Shobande Olatunji Abdul & Shodipe Oladimeji Tomiwa, 2019. "New Keynesian Liquidity Trap and Conventional Fiscal Stance: An Estimated DSGE Model," Economics and Business, Sciendo, vol. 33(1), pages 152-169, January.
    8. Shobande Olatunji Abdul, 2020. "Fiscal Rule in Africa," Open Economics, De Gruyter, vol. 3(1), pages 112-120, January.
    9. Gennaro Catapano & Francesco Franceschi & Valentina Michelangeli & Michele Loberto, 2021. "Macroprudential Policy Analysis via an Agent Based Model of the Real Estate Sector," Temi di discussione (Economic working papers) 1338, Bank of Italy, Economic Research and International Relations Area.
    10. Shobande Olatunji Abdul, 2020. "Fiscal Rule in Africa," Open Economics, De Gruyter, vol. 3(1), pages 112-120, January.
    11. Severin Reissl, 2022. "Fiscal multipliers, expectations and learning in a macroeconomic agent‐based model," Economic Inquiry, Western Economic Association International, vol. 60(4), pages 1704-1729, October.
    12. Grimaud, Alex, 2021. "Precautionary saving and un-anchored expectations," MPRA Paper 108931, University Library of Munich, Germany.
    13. Váry, Miklós, 2021. "The long-run real effects of monetary shocks: Lessons from a hybrid post-Keynesian-DSGE-agent-based menu cost model," Economic Modelling, Elsevier, vol. 105(C).

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    More about this item

    Keywords

    DSGE models; Agent-based models; Heterogeneity; Learning; Dispersed information;
    All these keywords.

    JEL classification:

    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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