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Agent-based models for economic policy design: Two illustrative examples

Westerhoff, Frank; Franke, Reiner - 2012

With the help of two examples, we illustrate the usefulness of agent-based models as a tool for economic policy design. In our first example, we apply a financial market model in which the order flow of speculators, relying on technical and fundamental analysis, generates intricate price...

Persistent link: https://www.econbiz.de/10010310710

From self-fulfilling mistakes to behavioral learning equilibria

Hommes, Cars - 2017

This essay links some of my own work on expectations, learning and bounded rationality to the inspiring ideas of Jean …-Michel Grandmont. In particular, my work on consistent expectations and behavioral learning equilibria may be seen as formalizations of … JMG's ideas of self-fulfilling mistakes. Some of our learning-to-forecast laboratory experiments with human subjects have …

Persistent link: https://www.econbiz.de/10011662516

The ECB's New Multi-Country Model for the euro area: NMCM - with boundedly rational learning expectations

Dieppe, Alistair; González Pandiella, Alberto; Hall, … - 2011

realistic assumption of boundedly rational learning where agents are assumed to use only a limited set of information to form … differences in the adjustment path to the shocks to the economy when agent form expectations using our learning approach compared …

Persistent link: https://www.econbiz.de/10011605362

A Dynamic Analysis of Moving Average Rules

Chiarella, Carl; He, Tony; Hommes, Cars H. - 2005

with high fitness. We characterize the stability and bifurcation properties of the underlying deterministic model via the …

Persistent link: https://www.econbiz.de/10010325427

The Rationality Bias

Hagenhoff, Tim; Lustenhouwer, Joep - 2019

inflation volatility. …

Persistent link: https://www.econbiz.de/10011985164

E many pluribus unum: A behavioural macro-economic agent based model

Tettamanzi, Michele - 2017

In this paper we develop a Hybrid Macroeconomic ABM. The economy is populated with firms heterogeneous in term of financial fragility, measured via the Equity Ratio. Firms are maximizing profit by choosing capital, which can not be raised on the stock market. Therefore they have to rely on a...

Persistent link: https://www.econbiz.de/10012059354

Narrative-driven fluctuations in sentiment: Evidence linking traditional and social media

Macaulay, Alistair; Song, Wenting - 2023

This paper studies the role of narratives for macroeconomic fluctuations. We micro-found narratives as directed acyclic graphs and show how exposure to different narratives can affect expectations in an otherwise standard macroeconomic model. We capture such competing narratives in news media's...

Persistent link: https://www.econbiz.de/10014544559

Stock Price Wealth Effects and Monetary Policy under Imperfect Knowledge

Ifrim, Adrian - 2023

Departures from full-information rational expectation models give rise to stock price wealth effects which introduce inefficient cyclical fluctuations in the economy. Waves of optimism/pessimism affect beliefs and asset prices which influence aggregate demand through expectation-driven wealth...

Persistent link: https://www.econbiz.de/10013488669

Monetary policy, indeterminacy and learning

Evans, George W.; McGough, Bruce - 2003

under private agent learning can in some cases be stable when the observed sunspot has a suitable time series structure. In …

Persistent link: https://www.econbiz.de/10010298274

Escapist policy rules

Bullard, James; Cho, In-Koo - 2003

We study a simple, microfounded macroeconomic system in which the monetary authority employs a Taylor-type policy rule. We analyze situations in which the self-confirming equilibrium is unique and learnable according to Bullard and Mitra (2002). We explore the prospects for the use of 'large...

Persistent link: https://www.econbiz.de/10010298275