Giorgio Fagiolo, Mattia Guerini, Francesco Lamperti, Alessio Moneta and Andrea Roventini

Author Archive | Giorgio Fagiolo, Mattia Guerini, Francesco Lamperti, Alessio Moneta and Andrea Roventini

working_paper_2017_25_cover

Validation of Agent-Based Models in Economics and Finance

Since the influential survey by Windrum et al. (2007), research on empirical validation of agent-based models in economics has made substantial advances, thanks to a constant flow of high-quality contributions. This Chapter attempts to take stock of such recent literature to offer an updated critical review of existing validation techniques. We sketch a simple theoretical […]

Continue Reading
working_paper_2017_22_cover

Faraway, so Close: Coupled Climate and Economic Dynamics in an Agent-Based Integrated Assessment Model

In this paper we develop the first agent-based integrated assessment model, which offers an alternative to standard, computable general-equilibrium frameworks. The Dystopian Schumpeter meeting Keynes (DSK) model is composed of heterogeneous firms belonging to capital-good, consumption-good and energy sectors. Production and energy generation lead to greenhouse gas emissions, which affect temperature dynamics in a non-linear […]

Continue Reading
working_paper_2017_05_cover

Agent-Based Model Calibration using Machine Learning Surrogates

Taking agent-based models (ABM) closer to the data is an open challenge. This paper explicitly tackles parameter space exploration and calibration of ABMs combining supervised machine-learning and intelligent sampling to build a surrogate meta-model. The proposed approach provides a fast and accurate approximation of model behaviour, dramatically reducing computation time. In that, our machine-learning surrogate […]

Continue Reading
working_paper_2017_03_cover

Causes and Consequences of Hysteresis: Aggregate Demand, Productivity and Employment

In this work we develop an agent-based model where hysteresis in major macroeconomic variables (e.g. GDP, productivity, unemployment) emerges out of the decentralized interactions of heterogeneous firms and workers. Building upon the model in Dosi et al. (2016, 2017), we specify an endogenous process of accumulation of workers’ skills and a state-dependent process of entry, […]

Continue Reading
working_paper_2017_02_cover

Inequality, Redistributive Policies and Multiplier Dynamics in an Agent-Based Model with Credit Rationing

We build an agent-based model populated by households with heterogeneous and time-varying financial conditions in order to study how different inequality shocks affect income dynamics and the effects of different types of fiscal policy responses. We show that inequality shocks generate persistent falls in aggregate income by increasing the fraction of credit-constrained households and by […]

Continue Reading
working_paper_2017_01_cover

The Janus-Faced Nature of Debt: Results from a Data-Driven Cointegrated SVAR Approach

In this paper, we investigate the causal effects of public and private debts on U.S. output dynamics. We estimate a battery of Cointegrated Structural Vector Autoregressive models, and we identify structural shocks by employing Independent Component Analysis, a data-driven technique which avoids ad-hoc identification choices. The econometric results suggest that the impact of debt on […]

Continue Reading
working_paper_2016_25_cover

Complexity and the Economics of Climate Change: a Survey and a Look Forward

We provide a survey of the micro and macro economics of climate change from a complexity science perspective and we discuss the challenges ahead for this line of research. We identify four areas of the literature where complex system models have already produced valuable insights: (i) coalition formation and climate negotiations, (ii) macroeconomic impacts of […]

Continue Reading