Agent-based Keynesian macroeconomics [Elektronische Ressource] : an evolutionary model embedded in an agent-based computer simulation / vorgelegt von Marc Oeffner

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• Publié par: julius-maximilians-universitat_wurzburg
• Publié le: 01 janvier 2008
• Nombre de lectures: 35
• Poids de l'ouvrage: 41 Mo

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AGENT–BASED KEYNESIAN MACROECONOMICS
—
AN EVOLUTIONARY MODEL EMBEDDED IN AN
AGENT–BASED COMPUTER SIMULATION
INAUGURAL DISSERTATION
zur Erlangung der Doktorwu¨rde
der Wirtschaftswissenschaftlichen Fakult¨at
der Bayerischen Julius–Maximilians–Universit¨at Wu¨rzburg
vorgelegt von
Diplom–Kaufmann
Marc Oeffner
aus Hammelburg
Wu¨rzburg, September 2008Betreuer:
Prof. Dr. Peter Bofinger
iiTo Eva–Maria.
iiiTable of Contents
Table of Contents iv
List of Tables vi
List of Figures viii
List of Abbreviations xi
Danksagung xii
Introduction 1
1 A Road Map to an Agent–Based Computational Macro Model 5
1.1 What is Agent–Based Computational Macroeconomics? . . . . . . . . . . . . . . . . 6
1.1.1 Conceptual Building Blocks . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
1.1.2 Objectives . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
1.1.3 Ingredients . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14
1.1.4 Methodology vs. IT–Based Tool . . . . . . . . . . . . . . . . . . . . . . . . . 16
1.2 Virtues of Agent–Based Computational Macroeconomics . . . . . . . . . . . . . . . . 19
1.3 Validation Framework . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34
1.3.1 Conceptual Model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38
1.3.2 Face Validation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39
1.3.3 Sensitivity Analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40
1.3.4 Calibration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46
1.3.5 Statistical Validation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 48
1.4 Conclusion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49
2 Conceptual Model of Agent Island 50
2.1 Overview . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 55
2.1.1 Theoretical Roots and Antecedents . . . . . . . . . . . . . . . . . . . . . . . . 55
2.1.2 Markets, Transactions and Financing Contracts . . . . . . . . . . . . . . . . . 59
2.1.3 Time and Sequence Structure . . . . . . . . . . . . . . . . . . . . . . . . . . . 62
2.2 Model of Agent Island . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 67
2.2.1 Households . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 67
2.2.2 Consumer Goods Firms and Markets . . . . . . . . . . . . . . . . . . . . . . . 94
iv2.2.3 Capital Goods Firms and Markets . . . . . . . . . . . . . . . . . . . . . . . . 113
2.2.4 Monetary Circuit and the Central Bank . . . . . . . . . . . . . . . . . . . . . 121
2.2.5 Macro Perspective . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 143
2.3 Conclusion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 158
3 Validation of the Model of Agent Island 160
3.1 Peripheral and Main Settings of the Model . . . . . . . . . . . . . . . . . . . . . . . 162
3.1.1 Settings of the Peripheral Parameters . . . . . . . . . . . . . . . . . . . . . . 164
3.1.2 Domains of the Main Parameters . . . . . . . . . . . . . . . . . . . . . . . . . 170
3.2 Initial Analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 178
3.2.1 Defaults . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 178
3.2.2 Homogenous Case without Stochastic Supply Shocks . . . . . . . . . . . . . . 180
3.2.3 Homogenous vs. Heterogenous Sectors . . . . . . . . . . . . . . . . . . . . . . 183
3.2.4 Summary of the Results . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 188
3.3 Sensitivity Analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 189
3.3.1 Defaults . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 189
3.3.2 Presentation Tools . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 191
3.3.3 Preliminary Considerations . . . . . . . . . . . . . . . . . . . . . . . . . . . . 192
3.3.4 Analysis of the Baseline Model . . . . . . . . . . . . . . . . . . . . . . . . . . 195
3.3.5 Analysis of the Model with Ponzi Scheme lenders . . . . . . . . . . . . . . . . 215
3.3.6 Summary of the Results . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 228
3.4 Final Validation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 230
3.4.1 Level I Calibration: Stylized Facts of the Business Cycle . . . . . . . . . . . . 232
3.4.2 Level II Calibration: Keynesian Business Cycle Equilibrium . . . . . . . . . . 247
3.4.3 Iteration of Level I and Level II . . . . . . . . . . . . . . . . . . . . . . . . . . 252
3.4.4 Plausibility Check . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 258
3.5 Conclusion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 271
Concluding Remarks 272
A Test of Equality of Means and Variances (Section 3.3) 275
B Nearly Orthogonal Latin Hypercube (Section 3.4) 299
C CD 303
Bibliography 305
vList of Tables
1.1 Comparison of methodologies – neoclassical vs. evolutionary economics . . . . . . . 17
2.1 Savings/Consumption theories and their relation to the present model . . . . . . . . 76
2.2 Empirical results of the influence of both income growth rates and real interest rates
on aggregate savings rates . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 83
2.3 Columns of the supply matrix in the capital goods market . . . . . . . . . . . . . . . 117
2.4 Flow–of–funds accounting matrix on the sectoral level . . . . . . . . . . . . . . . . . 148
2.5 Difference between ex ante and ex post flow–of–funds accounting matrix on the sec-
toral level . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 154
2.6 Keynesian deflationary vs. inflationary gap . . . . . . . . . . . . . . . . . . . . . . . 156
3.1 Model settings within this section . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 179
3.2 Scenarios that produce stable results in the homogenous case . . . . . . . . . . . . . 186
3.3 Scenarios that produce stable results in the heterogenous case . . . . . . . . . . . . . 187
3.4 Experimental domain/input variable space . . . . . . . . . . . . . . . . . . . . . . . . 190
3.5 Marginal costs of consumer goods firm j . . . . . . . . . . . . . . . . . . . . . . . . . 206
3.6 Significance of factors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 228
3.7 Settings of the not investigated main parameters . . . . . . . . . . . . . . . . . . . . 232
3.8 Reference data represented by the central moments (of first and second order) of
inflation and output gap time series; Germany, United States, United Kingdom and
Japan, data from 1980 to 2007; Source: IMF, World Economic Outlook . . . . . . . 234
3.9 Parameter information concerning the calibration experiments . . . . . . . . . . . . . 235
3.10 20 best calibration results out of 724 investigated simulation runs in the baseline case 237
3.11 20 best calibration results out of 867 investigated simulation runs in the Ponzi case . 238
3.12 Resulting scenarios of the level II calibration . . . . . . . . . . . . . . . . . . . . . . 248
3.13 Resulting scenarios of the iteration of level I and II . . . . . . . . . . . . . . . . . . . 253
viA.1 Test ofequality ofmeans andvariancesof inflationtime seriesin47 simulationreruns
with homogenous agents . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 275
A.2 Test ofequality ofmeans andvariancesof inflationtime seriesin47 simulationreruns
with heterogenous agents . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 281
A.3 Test of equality of means and variances of output gap time series in 47 simulation
reruns with homogenous agents . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 287
A.4 Test of equality of means and variances of output gap time series in 47 simulation
reruns with heterogenous agents . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 292
B.1 Nearly Orthogonal Latin Hypercube (Part I) . . . . . . . . . . . . . . . . . . . . . . 300
B.2 Nearly Orthogonal Latin Hypercube (Part II) . . . . . . . . . . . . . . . . . . . . . . 301
B.3 Nearly Orthogonal Latin Hypercube (Part III) . . . . . . . . . . . . . . . . . . . . . 302
viiList of Figures
1.1 Interaction profile represented by the information flow . . . . . . . . . . . . . . . . . 31
1.2 Validation framework; Source: Klu¨gl, 2008 . . . . . . . . . . . . . . . . . . . . . . . . 35
41.3 Scatterplot matrices of (i) a full 5 factorial design (left panel) vs. (ii) an Orthogonal
Latin Hypercube design with 4 continuous factors (right panel) . . . . . . . . . . . . 44
2.1 Markets and transactions on Agent Island . . . . . . . . . . . . . . . . . . . . . . . . 60
2.2 Financing contracts on Agent Island . . . . . . . . . . . . . . . . . . . . . . . . . . . 61
2.3 Intra–period sequence of decisions and actions . . . . . . . . . . . . . . . . . . . . . . 64
2.4 Quasi intertemporal budget constraint and borrowing constraint . . . . . . . . . . . 89
2.5 Growth rates of private households’ interest–bearing financial assets and nominal
interest rates; Germany, data from 1951 to 1998; Sources: Bundesbank and IMF,
International Financial Statistics . . . . . . .