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Heterogeneity and Aggregation in a Financial Accelerator Model

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  • Assenza, T.

    () (Universiteit van Amsterdam)

  • Delli Gatti, D.
  • Gallegati, M.

Abstract

In this paper we present a macroeconomic model in which changes in the variance (and higher moments of the distribution) of firm's financial conditions - i.e. "distributive shocks" - are bound to play a crucial role in the determination of output fluctuations. Firms differ by degree of financial robustness, which affects (optimal) investment in a bankruptcy risk context (Ã la Greenwald-Stiglitz). As to households, for the sake of simplicity, we assume that they are homogeneous in every respect so that we can adopt the representative agent hypothesis. We can explore the properties of the macro-dynamic model either via the study of the two-dimensional map defining the laws of motion of the average equity ratio and of the variance of the distribution or via simulations in a multiagent framework.

Suggested Citation

  • Assenza, T. & Delli Gatti, D. & Gallegati, M., 2007. "Heterogeneity and Aggregation in a Financial Accelerator Model," CeNDEF Working Papers 07-13, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  • Handle: RePEc:ams:ndfwpp:07-13
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    References listed on IDEAS

    as
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    7. Gatti, Domenico Delli & Guilmi, Corrado Di & Gaffeo, Edoardo & Giulioni, Gianfranco & Gallegati, Mauro & Palestrini, Antonio, 2005. "A new approach to business fluctuations: heterogeneous interacting agents, scaling laws and financial fragility," Journal of Economic Behavior & Organization, Elsevier, vol. 56(4), pages 489-512, April.
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    13. Delli Gatti, Domenico & Gallegati, Mauro & Giulioni, Gianfranco & Palestrini, Antonio, 2003. "Financial fragility, patterns of firms' entry and exit and aggregate dynamics," Journal of Economic Behavior & Organization, Elsevier, vol. 51(1), pages 79-97, May.
    14. 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;Society for Economic Science with Heterogeneous Interacting Agents, vol. 1(1), pages 5-19, May.
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    Cited by:

    1. Nadja König & Ingrid Größl, 2014. "Catching up with the Joneses and Borrowing Constraints: An Agent-based Analysis of Household Debt," Macroeconomics and Finance Series 201404, University of Hamburg, Department of Socioeconomics.
    2. Severin Reissl, 0. "Heterogeneous expectations, forecasting behaviour and policy experiments in a hybrid Agent-based Stock-flow-consistent model," Journal of Evolutionary Economics, Springer, vol. 0, pages 1-49.

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