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Network calibration and metamodeling of a financial accelerator agent based model
dc.contributor.author | Bargigli, Leonardo | |
dc.contributor.author | RICCETTI, LUCA | |
dc.contributor.author | Russo, Alberto | |
dc.contributor.author | Gallegati, Mauro | |
dc.date.accessioned | 2020-05-14T08:42:36Z | |
dc.date.available | 2020-05-14T08:42:36Z | |
dc.date.issued | 2020-03-13 | |
dc.identifier.citation | Bargigli, L., Riccetti, L., Russo, A. et al. Network calibration and metamodeling of a financial accelerator agent based model. J Econ Interact Coord 15, 413–440 (2020). https://doi.org/10.1007/s11403-018-0217-8 | ca_CA |
dc.identifier.uri | http://hdl.handle.net/10234/187977 | |
dc.description.abstract | We introduce a simple financially constrained production framework in which heterogeneous firms and banks maintain multiple credit connections. The parameters of credit market interaction are estimated from real data in order to reproduce a set of empirical regularities of the Japanese credit market. We then pursue the metamodeling approach, i.e. we derive a reduced form for a set of simulated moments \(h(\theta ,s)\) through the following steps: (1) we run agent-based simulations using an efficient sampling design of the parameter space \(\Theta \); (2) we employ the simulated data to estimate and then compare a number of alternative statistical metamodels. Then, using the best fitting metamodels, we study through sensitivity analysis the effects on h of variations in the components of \(\theta \in \Theta \). Finally, we employ the same approach to calibrate our agent-based model (ABM) with Japanese data. Notwithstanding the fact that our simple model is rejected by the evidence, we show th at metamodels can provide a methodologically robust answer to the question “does the ABM replicate empirical data?”. | ca_CA |
dc.format.extent | 27 p. | ca_CA |
dc.format.mimetype | application/pdf | ca_CA |
dc.language.iso | eng | ca_CA |
dc.publisher | Springer | ca_CA |
dc.rights | © 2020 Springer Nature Switzerland AG. Part of Springer Nature. | ca_CA |
dc.rights.uri | http://rightsstatements.org/vocab/InC/1.0/ | * |
dc.subject | banks | ca_CA |
dc.subject | credit market | ca_CA |
dc.subject | finance | ca_CA |
dc.subject | metamodel | ca_CA |
dc.title | Network calibration and metamodeling of a financial accelerator agent based model | ca_CA |
dc.type | info:eu-repo/semantics/article | ca_CA |
dc.identifier.doi | https://doi.org/10.1007/s11403-018-0217-8 | |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | ca_CA |
dc.relation.publisherVersion | https://link.springer.com/article/10.1007/s11403-018-0217-8 | ca_CA |
dc.type.version | info:eu-repo/semantics/submittedVersion | ca_CA |
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