Wealth, cost, and misperception: Empirical estimation of three interaction channels in a financial–macroeconomic agent-based model

Financial–macroeconomic agent-based models offer a promising avenue for understanding complex economic interactions, but their empirical estimation is challenging, particularly when the relevant data are observed at different frequencies. We address this gap by developing a mixed-frequency adaptation of the simulated method of moments that evaluates macroeconomic and financial moment conditions at their native quarterly and daily frequencies within a single objective function. Applying it to a stylized integrated agent-based model on U.S. data from 1954 to 2025, we quantify three key interaction channels between the financial and real sectors. The stock market influences the real economy through the wealth effect on consumption and the cost effect on firms’ financing. Conversely, the real economy influences the stock market through a price-misperception effect that shapes fundamental valuations. Our results provide the first model-based empirical evidence that all three channels are statistically significant, offering novel insights into macro-financial dynamics.