Mattia Guerini, Alessio Moneta, Mauro Napoletano and Andrea Roventini

Author Archive | Mattia Guerini, Alessio Moneta, Mauro Napoletano and Andrea Roventini


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 […]

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No Man Is an Island: The Impact of Heterogeneity and Local Interactions on Macroeconomic Dynamics

We develop an agent-based model in which heterogeneous firms and households interact in labor and good markets according to centralized or decentralized search and matching protocols. As the model has a deterministic backbone and a full-employment equilibrium, it can be directly compared to Dynamic Stochastic General Equilibrium (DSGE) models. We study the effects of negative […]

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A Method for Agent-Based Models Validation

This paper proposes a new method for empirically validate simulation models that gen- erate artificial time series data comparable with real-world data. The approach is based on comparing structures of vector autoregression models which are estimated from both artificial and real-world data by means of causal search algorithms. This relatively simple procedure is able to […]

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