Handbook of computational economics . Volume 4, Heterogeneous agent modeling

Handbook of computational economics Volume 4, Heterogeneous agent modeling Volume 4, Heterogeneous agent modeling /

Handbook of Computational Economics: Heterogeneous Agent Modeling, Volume Four, focuses on heterogeneous agent models, emphasizing recent advances in macroeconomics (including DSGE), finance, empirical validation and experiments, networks and related applications. Capturing the advances made since t...

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Bibliographic Details
Other Authors: Hommes, Cars, author (author), Hommes, Cars, editor (editor), LeBaron, Blake, editor
Format: eBook
Language:Inglés
Published: Amsterdam, the Netherlands ; Oxford, United Kingdom : North Holland [2018]
Edition:1st edition
Series:Handbook of computational economics ; volume 4
Subjects:
Economics > Mathematical models.
See on Biblioteca Universitat Ramon Llull:https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009630759806719
Table of Contents:
  • Front Cover
  • Handbook of Computational Economics
  • Copyright
  • Contents
  • Contributors
  • Introduction to the Series
  • Introduction to the Handbook of Computational Economics, Volume 4, Heterogeneous Agent Modeling
  • 1 Introduction
  • 2 Macroeconomics
  • 3 Finance
  • 4 Experiments
  • 5 Networks
  • 6 Other
  • Acknowledgments
  • References
  • Part 1 Macroeconomics
  • 1 Heterogeneous Expectations and Micro-Foundations in Macroeconomics
  • 1 Introduction
  • 2 Expectations Operators and Bounded Rationality
  • 2.1 Expectations Operators
  • 2.2 The Economic Environment
  • 2.3 Bounded Optimality
  • 2.3.1 Rational Expectations
  • 2.3.2 The Shadow-Price Approach
  • 2.3.3 The Shadow-Price Approach in the Linearized Model
  • 2.3.4 The Euler Equation Approach in the Linearized Model
  • 2.3.5 The Finite Horizon Approach in the Linearized Model
  • 2.3.6 The In nite Horizon Approach in the Linearized Model
  • 2.3.7 A Nod to Value Functions
  • 2.3.8 A Defense of Anticipated Utility
  • 2.4 Aggregating Household Decision Rules
  • 3 Equilibria with Heterogeneous Expectations
  • 3.1 Extrinsic Heterogeneity
  • 3.2 Rationally Heterogeneous Expectations
  • 3.2.1 Predictor Selection
  • 3.2.2 Heterogeneous Beliefs and Economic Dynamics: Stability Reversal
  • 3.3 Intrinsic Heterogeneity
  • 4 Asset-Pricing Applications
  • 4.1 Regime-Switching Returns
  • 4.2 Bubbles with Rationally Heterogeneous Expectations
  • 4.3 Restricted Perceptions and Endogenous Fluctuations
  • 4.4 Related Literature
  • 5 Monetary Applications
  • 5.1 A Monetary Search Model with Heterogeneous Expectations
  • 5.2 Heterogeneous Beliefs and Bargaining
  • 5.3 Equilibrium with Heterogeneous Beliefs
  • 5.4 Uncertainty and Welfare
  • 5.5 Related Literature
  • 6 DSGE Applications
  • 6.1 Rationally Heterogeneous Expectations and Monetary Policy Rules.
  • 6.2 Intrinsic Heterogeneity and Monetary Policy Rules
  • 6.3 Heterogeneous Expectations and Liquidity Traps
  • 6.4 Heterogeneity and Business Cycles Ampli cation
  • 6.5 Related Literature
  • 7 Conclusion
  • References
  • 2 Agent-Based Macroeconomics
  • 1 Introduction
  • 1.1 Complexity and Macroeconomics
  • 1.2 The Agent-Based Approach to Macroeconomic Modeling
  • 1.3 Behavior, Expectations, and Interaction Protocols
  • 1.4 Outline of the Chapter
  • 2 Design of Agent-Based Macroeconomic Models
  • 2.1 Families of MABMs
  • 2.2 A Map of this Section
  • 2.3 Households
  • 2.3.1 The Demand for Consumption Goods
  • The Life Cycle/Permanent Income Benchmark
  • The Agent Based Approach to Consumption/Saving Decisions
  • The Choice of the Consumption Budget
  • The Choice of the Goods to Buy
  • 2.3.2 Labor Supply
  • 2.3.3 The Demand for Financial Assets
  • 2.4 Firms
  • 2.4.1 The Supply of Consumption Goods
  • The Dixit-Stiglitz Benchmark
  • Price/Quantity Decisions when Demand Is Unknown
  • The Agent-Based Approach to Price/Quantity Decisions
  • 2.4.2 Technology
  • 2.4.3 Demand and Supply of Capital Goods
  • 2.4.4 The Demand for Labor
  • 2.4.5 The Demand for Credit
  • 2.5 The Bank
  • 2.5.1 Credit Risk and the Interest Rate
  • The Benchmark: Financial Frictions
  • Costly State Veri cation
  • Costly Enforcement
  • Costly Bankruptcy
  • The Agent-Based Approach to Interest Rate Setting
  • 2.5.2 Supply of Loans
  • 3 Comparison of Existing Agent-Based Macroeconomic Models
  • 4 Policy Analysis
  • 4.1 Fiscal Policy
  • 4.2 Monetary Policy
  • 4.3 Financial Regulation and Crisis Resolution Mechanisms
  • 4.4 Labor Market Policy
  • 4.5 Regional Growth, Convergence, and Cohesion Policy
  • 4.6 Taking Stock: What Is the Potential of Agent-Based Macroeconomics for Policy Analysis?
  • 5 Conclusions and Outlook
  • Appendix A Summary of Selected Agent-Based Macroeconomic Models.
  • Appendix B List of Symbols
  • References
  • 3 Endogenous Firm Dynamics and Labor Flows via Heterogeneous Agents
  • 1 Introduction
  • 2 Dynamics of Team Production
  • 2.1 Equilibrium of the Team Production Game
  • Singleton Firms
  • Nash Equilibrium
  • Homogeneous Teams
  • 2.2 Stability of Nash Equilibrium, Dependence on Team Size
  • Unstable Equilibria and Pattern Formation Far from Agent Level Equilibria
  • 3 From One Team to Six Million Firms, Computationally
  • 3.1 Set-up of the Computational Model Using Agents
  • 3.2 A Typical Realization of the Model: Agents Form Firms
  • 3.3 An Aggregate Steady-State Emerges: Properties
  • Number of Firms, Entrance and Exit, and Average Firm Size
  • Typical Effort and Utility Levels
  • Labor Flows
  • 3.4 The Steady-State Population of Firms: Sizes, Productivities, Ages, Survival Rates, Lifetimes, and Growth Rates
  • Firm Sizes (by Employees and Output)
  • Labor Productivity
  • Firm Ages, Survival Rates, and Lifetimes
  • Joint Distribution of Firms by Size and Age
  • Firm Growth Rates
  • 3.5 The Steady-State Population of Agents: Wages Earned, Job Tenure, and Employment as a Function of Firm Size and Age
  • Wage Distribution
  • Job Tenure Distribution
  • Employment as a Function of Firm Size and Age
  • 3.6 Steady-State Job-to-Job Flows: The Labor Flow Network
  • 3.7 Steady-State Agent Welfare
  • 4 Model Variations: Sensitivity and Robustness
  • 5 Summary and Conclusions
  • 5.1 Emergence of Firms, Out of Microeconomic Equilibrium
  • 5.2 From Theories of the Firm to a Theory of Firms
  • 5.3 Economics of Computation and Computational Economics
  • Appendix A Generalized Preference Speci cations
  • Appendix B Generalized Compensation and Nash Stability
  • Appendix C Sensitivity to `Sticky' Effort Adjustment
  • Appendix D Extension: Stabilizing Effect of Agent Loyalty
  • Appendix E Extension: Hiring.
  • Appendix F Extension: Effort Monitoring and Worker Termination
  • References
  • References for Appendices
  • 4 Heterogeneous Agents in the Macroeconomy: Reduced-Heterogeneity Representations
  • 1 Introduction
  • 2 The Economic Problem and Notations
  • 2.1 The Model
  • 2.2 Equilibrium De nition and Intuition to Reduce the State Space
  • 3 No-Trade Equilibria
  • 3.1 No-Trade Equilibria with Transitory Shocks
  • 3.1.1 Assumptions
  • 3.2 Preserving Time-Varying Precautionary Saving in the Linear Model
  • 3.3 No-Trade Equilibrium with Permanent Shocks
  • 4 Small-Heterogeneity Models
  • 4.1 Models Based on Assumptions About Labor Supply
  • 4.1.1 Assumptions
  • 4.1.2 Equilibrium Structure
  • 4.1.3 The System
  • 4.1.4 Algorithm: Finding the Value of L
  • 4.1.5 Simulations
  • 4.1.6 References and Limits
  • 4.2 Models Based on Linearity in the Period Utility Function
  • 4.2.1 Assumptions
  • 4.2.2 Equilibrium Structure
  • 4.2.3 Using Reduced Heterogeneity to Model Wealth Inequality over the Business Cycle
  • 4.2.4 Other References and Remarks
  • 4.3 Models Based on a "Family" Assumption
  • 4.3.1 Assumptions
  • 4.3.2 Equilibrium Structure
  • 4.3.3 Algorithm and Simulations
  • 4.3.4 Example of Quantitative Work
  • 4.4 Assessment of Small-Heterogeneity Models
  • 5 Truncated-History Models
  • 5.1 Assumptions
  • 5.2 Equilibrium Structure
  • 5.3 Equations of the Model
  • 5.4 Algorithm for the Steady State
  • 5.5 Dynamics
  • 5.6 Choosing the Preference Shifters ξeN
  • 5.7 Numerical Example
  • 6 Optimal Policies
  • 7 Comparison with Other Approach Using Perturbation Methods
  • 8 Heterogeneous Expectations
  • 9 Concluding Remarks
  • References
  • Part 2 Finance
  • 5 Heterogeneous Agent Models in Finance
  • 1 Introduction
  • 2 HAMs of Single Asset Market in Discrete-Time
  • 2.1 Market Mood and Adaptive Behavior
  • 2.2 Volatility Clustering: Calibration and Mechanisms.
  • 2.3 Information Uncertainty and Trading Heterogeneity
  • 2.4 Switching of Agents, Fund Flows, and Leverage
  • 3 HAMs of Single Asset Market in Continuous-Time
  • 3.1 A Continuous-Time HAM with Time Delay
  • 3.2 Pro tability of Momentum and Contrarian Strategies
  • 3.3 Optimal Trading with Time Series Momentum and Reversal
  • 4 HAMs of Multi-Asset Markets and Financial Market Interlinkages
  • 4.1 Stock Market Comovement and Policy Implications
  • 4.2 Heterogeneous Beliefs and Evolutionary CAPM
  • 4.2.1 A Dynamic Multi-Asset Model
  • 4.2.2 Price Dynamics Under Consensus Belief
  • 4.2.3 Fitness and Strategy Switching
  • 4.2.4 Fundamentalists and Trend Followers
  • 4.2.5 Dynamic Model and Stability Properties
  • 4.2.6 Nonlinear Risk-Return Patterns
  • 4.3 Interacting Stock Market and Foreign Exchange Market
  • 5 HAMs and House Price Dynamics
  • 5.1 An Equilibrium Framework with Heterogeneous Investors
  • 5.1.1 Heterogeneous Expectations, Fundamentals, and Temporary Bubbles
  • 5.1.2 Heterogeneous Beliefs, Boom-Bust Cycles, and Supply Conditions
  • 5.2 Disequilibrium Price Adjustments
  • 6 HAMs and Market Microstructure
  • 6.1 Stylized Facts in Limit Order Markets
  • 6.2 Information and Learning in Limit Order Market
  • 6.3 High Frequency Trading
  • 6.4 HAMs and Microstructure Regulation
  • 7 Conclusion and Future Research
  • References
  • 6 Models of Financial Stability and Their Application in Stress Tests
  • 1 Introduction
  • 2 Two Approaches to Modeling Systemic Risk
  • 3 A View of the Financial System
  • 3.1 Balance Sheet Composition
  • 3.2 Balance Sheet Dynamics
  • 4 Leverage and Endogenous Dynamics in a Financial System
  • 4.1 Leverage and Balance Sheet Mechanics
  • 4.2 Leverage Constraints and Margin Calls
  • 4.3 Procyclical Leverage and Leverage Cycles
  • 5 Contagion in Financial Networks
  • 5.1 Financial Linkages and Channels of Contagion.
  • 5.2 Counterparty Loss Contagion.

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