Interactive Macroeconomics: Stochastic Aggregate Dynamics with Heterogeneous and Interacting Agents PDF
Preview Interactive Macroeconomics: Stochastic Aggregate Dynamics with Heterogeneous and Interacting Agents
(cid:105) (cid:105) “Half-Title” — 2016/12/23 — 17:49 — page i — #1 (cid:105) (cid:105) Interactive Macroeconomics One of the major topics in macroeconomic theory is the coordination mechanism through which a large number of agents exchange goods in decentralizedeconomies. Themainstreamtheoryofefficientmarketsfailsto provide an internal coherent framework and rules out, by construction, the interactionamongheterogeneousagents. A rigorous micro-foundation for macro models can overcome this limitationandprovidemorereliablepolicyprescriptions. Thisbookdevelops an innovative approach to the analysis of agent based models. Interaction between heterogeneous agents is analytically modelled by means of stochastic dynamic aggregation techniques, based on the master equation approach. The book is divided into four parts: the first presents the stochastic aggregationandmacro-dynamicsinferencemethods, basedonthestochastic evolution of the microeconomic units; the second applies these inferential techniques on macroeconomic agent-based models; the third provides conclusions and stimulates further developments; the last part contains technicalappendices. This book offers a systematic and integrated treatment of original concepts and tools, together with applications, for the development of an alternative micro-foundation framework. In order to promote a widespread adoptionamongtheprofessionandbygraduatestudents,everynon-standard mathematicaltoolorconceptisintroducedwithasuitablelevelofdetail. All the logical passages and calculations are explicit in order to provide a self-contained treatment that does not require prior knowledge of the technicalliterature. Downloaded from https://www.cambridge.org/core. Columbia University Libraries, on 19 Aug 2017 at 18:33:13, subject to the Cambridge Core terms of use, available at https://www.cambridge.org/core/terms. https://doi.org/10.1017/9781108182898 (cid:105) (cid:105) (cid:105) (cid:105) (cid:105) (cid:105) “Half-Title” — 2016/12/23 — 17:49 — page ii — #2 (cid:105) (cid:105) Corrado Di Guilmi. Senior Lecturer at the University of Technology Sydney. His research interests include agent-based modelling, complex systemtheoryandpost-Keynesianeconomics. SimoneLandini. ResearcheratIRESPiemonte,Turin.Hisresearchinterests include mathematical methods for social, economic and regional sciences, politicalandfinancialeconomics,agentbasedmodelling. MauroGallegati.ProfessorofAdvancedMacroeconomicsattheUniversita´ Politecnica delle Marche, Ancona. His research interests include heterogeneous interacting agents, business fluctuations and, nonlinear dynamics,modelsoffinancialfragility,andsustainableeconomics,economic history,historyofeconomicanalysis,appliedeconomicsandeconophysics. Downloaded from https://www.cambridge.org/core. Columbia University Libraries, on 19 Aug 2017 at 18:33:13, subject to the Cambridge Core terms of use, available at https://www.cambridge.org/core/terms. https://doi.org/10.1017/9781108182898 (cid:105) (cid:105) (cid:105) (cid:105) (cid:105) (cid:105) “Series*Page” — 2016/12/23 — 17:51 — page iii — #1 (cid:105) (cid:105) Physics of Society: Econophysics and Sociophysics This book series is aimed at introducing readers to the recent developments in physics inspired modelling of economic and social systems. Socio-economic systems are increasingly being identified as ‘interacting many-body dynamical systems’ very much similar to the physical systems, studied over several centuries now. Econophysics and sociophysics as interdisciplinary subjects view the dynamics of markets and society in general as those of physical systems. This will be a series of books written by eminent academicians, researchers and subject experts in the field of physics, mathematics, finance, sociology, managementandeconomics. Thisnewseriesbringsoutresearchmonographsandcoursebooksuseful forthestudentsandresearchersacrossdisciplines,bothfromphysicaland socialsciencedisciplines,includingeconomics. Series Editors: Bikas K. Chakrabarti Mauro Gallegati ProBfieksasso rK, .S Cahhaa kIrnasbtiaturttie of Nuclear Physics, ProMfeasusroor Gofa Ellecgoantoimics, Polytechnic KoPlkroaftae,s sIonrd,i aSaha Institute of Nuclear Physics,UnPivroefresistsyo ro fo fM Eacrochneo,m Itiaclsy, Polytechnic Kolkata, India University of Marche, Italy Alan Kirman H. Eugene Stanley Alan Kirman H. Eugene Stanley Professor emeritus of Economics, William Fairfield Warren Professor emeritus of Economics, William Fairfield Warren University of AixMarseille III, Distinguished Professor Boston University of AixMarseille III, Distinguished Professor Boston Marseille, France University, Boston, USA Marseille, France University, Boston, USA Editorial Board Members: Frédéric Abergel Hideaki Aoyama Frédéric Abergel Hideaki Aoyama Professor of Mathematics Centrale Supélec, Professor, Department of Physics, Kyoto Professor of Mathematics Centrale Supélec, Professor, Department of Physics, Kyoto Chatenay Malabry, France University, Kyoto, Japan Chatenay Malabry, France University, Kyoto, Japan Anirban Chakraborti Satya Ranjan Chakravarty Anirban Chakraborti Satya Ranjan Chakravarty Professor of Physics Dean, School Professor of Economics Indian Professor of Physics Dean, School Professor of Economics Indian of Computational and Integrative Statistical Institute, Kolkata, India of Computational and Integrative Statistical Institute, Kolkata, India Sciences, Jawaharlal Nehru Sciences, Jawaharlal Nehru Shu-Heng Chen University, New Delhi, India Shu-Heng Chen University, New Delhi, India Professor of Economics and Professor of Economics and Arnab Chatterjee Computer Science Director, Arnab Chatterjee Computer Science Director, TCS Innovation Labs Delhi, AIECON Research Center, National TCS Innovation Labs Delhi, AIECON Research Center, National India Chengchi University, Taipei, Taiwan India Chengchi University, Taipei, Taiwan Downloaded from https://www.cambridge.org/core. Columbia University Libraries, on 19 Aug 2017 at 18:33:13, subject to the Cambridge Core terms of use, available at https://www.cambridge.org/core/terms. https://doi.org/10.1017/9781108182898 (cid:105) (cid:105) (cid:105) (cid:105) (cid:105) (cid:105) “Series*Page” — 2016/12/23 — 17:51 — page iv — #2 (cid:105) (cid:105) Domenico DelliGatti Cars Hommes Professor of Economics Catholic Professor of Economics Amsterdam University, Milan, Italy School of Economics, University of Amsterdam Director, Center for Kausik Gangopadhyay Nonlinear Dynamics in Economics Professor of Economics Indian and Finance (CeNDEF), Amsterdam, Institute of Management, Netherlands Kozhikode, India Giulia Iori Taisei Kaizoji Professor of Economics School of Professor of Economics Department Social Science, City University, of Economics and Business, London, United Kingdom International Christian University, Tokyo, Japan Kimmo Kaski Professor of Physics Dean, School János Kertész of Science, Aalto University, Espoo, Finland Professor of Physics Center for Network Science, Central European University, Akira Namatame Budapest, Hungary Professor of Computer Science and Economics Department of Computer Parongama Sen Science, Professor of Physics University of Calcutta, National Defense Academy, Yokosuka, Kolkata, India Japan Victor Yakovenko Sitabhra Sinha Professor of Physics University of Professor of Physics Institute of Maryland, Mathematical Science, Chennai, College Park, USA India Physics of Society: Published Titles • Limit Order Books by Fre´de´ric Abergel, Marouane Anane, Anirban Chakraborti,AymenJedidiandIoaneMuniToke Physics of Society: Forthcoming Titles • Macro-Econophysics: New Studies on Economic Networks and Synchronization by Hideaki Aoyama, Yoshi Fujiwara, Yuichi Ikeda, HiroshiIyetomi,WataruSoumaandHiroshiYoshikawa • A Statistical Physics Perspective on Socio Economic Inequalities by ArnabChatterjeeandVictorYakovenko Downloaded from https://www.cambridge.org/core. Columbia University Libraries, on 19 Aug 2017 at 18:33:13, subject to the Cambridge Core terms of use, available at https://www.cambridge.org/core/terms. https://doi.org/10.1017/9781108182898 (cid:105) (cid:105) (cid:105) (cid:105) (cid:105) (cid:105) “Prelims” — 2016/12/23 — 17:50 — page v — #1 (cid:105) (cid:105) Interactive Macroeconomics Stochastic Aggregate Dynamics with Heterogeneous and Interacting Agents Corrado Di Guilmi Simone Landini Mauro Gallegati Downloaded from https://www.cambridge.org/core. Columbia University Libraries, on 19 Aug 2017 at 18:33:13, subject to the Cambridge Core terms of use, available at https://www.cambridge.org/core/terms. https://doi.org/10.1017/9781108182898 (cid:105) (cid:105) (cid:105) (cid:105) (cid:105) (cid:105) “Imprint” — 2016/12/23 — 17:50 — page vi — #1 (cid:105) (cid:105) UniversityPrintingHouse,CambridgeCB28BS,UnitedKingdom OneLibertyPlaza,20thFloor,NewYork,NY10006,USA 477WilliamstownRoad,PortMelbourne,vic3207,Australia 4843/24,2ndFloor,AnsariRoad,Daryaganj,Delhi-110002,India 79AnsonRoad,#06–04/06,Singapore079906 CambridgeUniversityPressispartoftheUniversityofCambridge. ItfurtherstheUniversity’smissionbydisseminatingknowledgeinthepursuitof education,learningandresearchatthehighestinternationallevelsofexcellence. www.cambridge.org Informationonthistitle: www.cambridge.org/9781107198944 (cid:13)c Authors2017 Thispublicationisincopyright. Subjecttostatutoryexception andtotheprovisionsofrelevantcollectivelicensingagreements, noreproductionofanypartmaytakeplacewithoutthewritten permissionofCambridgeUniversityPress. Firstpublished2017 PrintedinIndia AcataloguerecordforthispublicationisavailablefromtheBritishLibrary ISBN978-1-107-19894-4Hardback Additionalresourcesforthispublicationatwww.cambridge.org/9781107198944 CambridgeUniversityPresshasnoresponsibilityforthepersistenceoraccuracy ofURLsforexternalorthird-partyinternetwebsitesreferredtointhispublication, anddoesnotguaranteethatanycontentonsuchwebsitesis,orwillremain, accurateorappropriate. Downloaded from https://www.cambridge.org/core. Columbia University Libraries, on 19 Aug 2017 at 18:33:13, subject to the Cambridge Core terms of use, available at https://www.cambridge.org/core/terms. https://doi.org/10.1017/9781108182898 (cid:105) (cid:105) (cid:105) (cid:105) (cid:105) (cid:105) “Prelims” — 2016/12/23 — 17:50 — page vii — #3 (cid:105) (cid:105) Tomyfamilyandfriends,fortheirsupport. Inparticulartomyfriend Massimo,whocouldwriteafollowupofthisbookforallthetimesthatI talkedtohimaboutit. ToCarlChiarella,whohelpedmeunderstandingwhatIwasdoing. ToK.P.,K.R.andF.Z.whoweresomehowthereatthetimeofwriting. CDG. Allamiafamiglia,amiocuginoStefano. Agliamici,aManfred. SL. Traaltiebassi,lavitasenzaditenonmiappartiene. MG Downloaded from https://www.cambridge.org/core. Columbia University Libraries, on 19 Aug 2017 at 18:34:30, subject to the Cambridge Core terms of use, available at https://www.cambridge.org/core/terms. https://doi.org/10.1017/9781108182898 (cid:105) (cid:105) (cid:105) (cid:105) (cid:105) (cid:105) “Prelims” — 2016/12/23 — 17:50 — page viii — #4 (cid:105) (cid:105) Downloaded from https://www.cambridge.org/core. Columbia University Libraries, on 19 Aug 2017 at 18:34:30, subject to the Cambridge Core terms of use, available at https://www.cambridge.org/core/terms. https://doi.org/10.1017/9781108182898 (cid:105) (cid:105) (cid:105) (cid:105) (cid:105) (cid:105) “Prelims” — 2016/12/23 — 17:50 — page ix — #5 (cid:105) (cid:105) Contents Figures xiii Tables xv Preface xvii 1 Introduction 1.1 WhyareWeHere? 1 1.2 AggregationandInteraction 7 1.3 TheRoadAhead 12 1.4 StructureoftheBook 21 1.4.1 Threepossiblereadingpaths 22 Part I Methodological Notes and Tools 2 TheStateSpaceNotion 2.1 Introduction 29 2.2 TheStateSpaceNotion 31 3 TheMasterEquation 3.1 Introduction 46 3.2 TheMasterEquation: AGeneralIntroduction 49 3.2.1 Themechanicsinside 49 3.2.2 OnthemeaningoftheME 53 3.3 TheMarkovHypothesis 55 Downloaded from https://www.cambridge.org/core. Columbia University Libraries, on 19 Aug 2017 at 18:35:40, subject to the Cambridge Core terms of use, available at https://www.cambridge.org/core/terms. https://doi.org/10.1017/9781108182898 (cid:105) (cid:105) (cid:105) (cid:105) (cid:105) (cid:105) “Prelims” — 2016/12/23 — 17:50 — page x — #6 (cid:105) (cid:105) x Contents 3.3.1 Thesimplestcase 55 3.3.2 Ageneralization 57 3.3.3 Stationarysolution 60 3.4 MomentsDynamics 62 3.4.1 Basicsonmoments 62 3.4.2 Exactdynamicestimators 64 3.4.3 Mean-fielddynamicestimators 66 3.5 ConcludingRemarks 67 Part II Applications to HIA Based Models APremiseBeforeApplications 71 4 FinancialFragilityandMacroeconomicDynamicsI:Heterogeneity andInteraction 4.1 Introduction 73 4.2 AFinancialFragilityABM 75 4.2.1 Goalofthemodel 76 4.2.2 Mainassumptions 78 4.2.3 Statesoffinancialsoundness 80 4.2.4 Themicroeconomicbehaviuor 81 4.2.5 Theoptimalprogramingrule 84 4.2.6 Macroeconomiceffectsandparametrization 88 4.3 MacroeconomicInferenceofStochasticDynamics 97 4.3.1 TheMEappliedtotheABM 97 4.3.2 TheMEtransitionratesfromtheABM 101 4.3.3 TheMEsolutiontotheABM 105 4.4 ResultsofMonteCarloSimulations 108 4.4.1 Thesimulationprocedure 108 4.4.2 Economicscenariosandinference 111 4.5 ConcludingRemarks 131 5 FinancialFragilityandMacroeconomicDynamicsII:Learning 5.1 Introduction 133 Downloaded from https://www.cambridge.org/core. Columbia University Libraries, on 19 Aug 2017 at 18:35:40, subject to the Cambridge Core terms of use, available at https://www.cambridge.org/core/terms. https://doi.org/10.1017/9781108182898 (cid:105) (cid:105) (cid:105) (cid:105)
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