Reconstructing aggregate dynamics in heterogeneous agents models a markovian approach

Delli Gatti, D; Di Guilmi, C; Gallegati, M; Landini, S

Reconstructing aggregate dynamics in heterogeneous agents models a markovian approach

Delli Gatti, D Di Guilmi, C

Gallegati, M Landini, S

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Publication Type:: Journal Article
Citation:: Revue de l'OFCE, 2012, 124 (5), pp. 117 - 146
Issue Date:: 2012-11-02

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Field	Value	Language
dc.contributor.author	Delli Gatti, D	en_US
dc.contributor.author	Di Guilmi, C https://orcid.org/0000-0001-7786-039X	en_US
dc.contributor.author	Gallegati, M	en_US
dc.contributor.author	Landini, S	en_US
dc.date.issued	2012-11-02	en_US
dc.identifier.citation	Revue de l'OFCE, 2012, 124 (5), pp. 117 - 146	en_US
dc.identifier.issn	1265-9576	en_US
dc.identifier.uri	http://hdl.handle.net/10453/114354
dc.description.abstract	The restrictive assumptions imposed by the traditional methods of aggregation prevented so far a sound analysis of complex system of feedback between microeconomic variables and macroeconomic outcomes. This issue seems to be crucial in macroeconomic modelling, in particular for the analysis of financial fragility, as conceived in the Keynesian and New Keynesian literature. In the present paper a statistical mechanics aggregation method is applied to a financial fragility model. The result is a consistent representation of the economic system that considers the heterogeneity of firms, their interactive behaviour and the feedback effects between micro, meso and macro level. In this approach, the impact of micro financial variables can be analytically assessed. The whole dynamics is described by a system of dynamic equations that well mimics the evolution of a numerically solved agent based model with the same features.	en_US
dc.relation.ispartof	Revue de l'OFCE	en_US
dc.relation.isbasedon	10.3917/reof.124.0117	en_US
dc.subject.classification	Economics	en_US
dc.title	Reconstructing aggregate dynamics in heterogeneous agents models a markovian approach	en_US
dc.type	Journal Article
utslib.citation.volume	5	en_US
utslib.citation.volume	124	en_US
utslib.for	140102 Macroeconomic Theory	en_US
utslib.for	14 Economics	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Economics Discipline
utslib.copyright.status	closed_access
pubs.issue	5	en_US
pubs.publication-status	Published	en_US
pubs.volume	124	en_US

Abstract:

The restrictive assumptions imposed by the traditional methods of aggregation prevented so far a sound analysis of complex system of feedback between microeconomic variables and macroeconomic outcomes. This issue seems to be crucial in macroeconomic modelling, in particular for the analysis of financial fragility, as conceived in the Keynesian and New Keynesian literature. In the present paper a statistical mechanics aggregation method is applied to a financial fragility model. The result is a consistent representation of the economic system that considers the heterogeneity of firms, their interactive behaviour and the feedback effects between micro, meso and macro level. In this approach, the impact of micro financial variables can be analytically assessed. The whole dynamics is described by a system of dynamic equations that well mimics the evolution of a numerically solved agent based model with the same features.

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http://hdl.handle.net/10453/114354