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Monetary Policy Transmission In A Macroeconomic Agent-Based Model

Author

Listed:
  • JOERI SCHASFOORT

    (Faculty of Economics and Business, University of Groningen, Nettelbosje 2, Groningen, 9747 AE, The Netherlands)

  • ANTOINE GODIN

    (Agence Francaise de Developpement, 5 Rue Roland-Barthes, 75012 Paris, France3Centre d' Economic de l'Université de, Paris Nord UMR CNRs 7234, Université Paris 13, Sorbonne Paris Cité, France)

  • DIRK BEZEMER

    (Faculty of Economics and Business, University of Groningen, Nettelbosje 2, Groningen, 9747 AE, The Netherlands)

  • ALESSANDRO CAIANI

    (Marche Polytechnic, Ancona, Italy)

  • STEPHEN KINSELLA

    (Economics Department, Kemmy Business School, University of Limerick, Limerick, Co. Limerick, Ireland)

Abstract

In this paper we explore the variety of monetary policy transmission channels in an agent-based macroeconomic model. We identify eight transmission channels and present a model based on [Caiani et al., J. Econ. Dyn. Contr. 69 (2016) 375–480], extended with an interbank market. We then analyze model simulation results of interest rate shocks in terms of GDP and inflation for four of the transmission channels. We find these effects to be small, in line with the view that monetary policy is a weak tool to control inflation.

Suggested Citation

  • Joeri Schasfoort & Antoine Godin & Dirk Bezemer & Alessandro Caiani & Stephen Kinsella, 2017. "Monetary Policy Transmission In A Macroeconomic Agent-Based Model," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 20(08), pages 1-35, December.
    • Handle: RePEc:wsi:acsxxx:v:20:y:2017:i:08:n:s0219525918500030
    DOI: 10.1142/S0219525918500030
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    1. Roberto Veneziani & Luca Zamparelli & Michalis Nikiforos & Gennaro Zezza, 2017. "Stock-Flow Consistent Macroeconomic Models: A Survey," Journal of Economic Surveys, Wiley Blackwell, vol. 31(5), pages 1204-1239, December.
    2. Mattia Guerini & Francesco Lamperti & Mauro Napoletano & Andrea Roventini & Tania Treibich, 2022. "Unconventional monetary policies in an agent-based model with mark-to-market standards," Review of Evolutionary Political Economy, Springer, vol. 3(1), pages 73-107, April.
    3. Barde, Sylvain, 2020. "Macroeconomic simulation comparison with a multivariate extension of the Markov information criterion," Journal of Economic Dynamics and Control, Elsevier, vol. 111(C).
    4. Emiliano Brancaccio & Mauro Gallegati & Raffaele Giammetti, 2022. "Neoclassical influences in agent‐based literature: A systematic review," Journal of Economic Surveys, Wiley Blackwell, vol. 36(2), pages 350-385, April.
    5. Barde, Sylvain, 2024. "Bayesian estimation of large-scale simulation models with Gaussian process regression surrogates," Computational Statistics & Data Analysis, Elsevier, vol. 196(C).
    6. Reale, Jessica, 2024. "Interbank Decisions and Margins of Stability: an Agent-Based Stock-Flow Consistent Approach," Journal of Economic Dynamics and Control, Elsevier, vol. 160(C).
    7. Andrea Boitani & Lorenzo Di Domenico & Giorgio Ricchiuti, 2024. "Monetary policy and inequality: an heterogenous agents’ approach," DISCE - Working Papers del Dipartimento di Economia e Finanza def133, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).

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