Browsing Departament: Economia by Author "89b9ce65-1c70-4c74-b122-9eb7965c42b6"
Now showing items 1-9 of 9
-
A calibration procedure for analyzing stock price dynamics in an agent-based framework
Recchioni, Maria Cristina; Tedeschi, Gabriele; Gallegati, Mauro Elsevier (2015-11)In this paper we introduce a calibration procedure for validating of agent based models. Starting from the well-known financial model of (Brock and Hommes, 1998), we show how an appropriate calibration enables the model ... -
Adaptive expectations versus rational expectations: Evidence from the lab
Colasante, Annarita; Palestrini, Antonio; Russo, Alberto; Gallegati, Mauro Elsevier (2017-10)The aim of the present work is to shed light on the extensive debate about expectations in financial markets. We analyze the behaviors of subjects in an experimental environment in which it is possible to observe expectations ... -
Are higher wages good for business? An assessment under alternative innovation and investment scenarios
Caiani, Alessandro; Russo, Alberto; Gallegati, Mauro Cambridge University Press (2020)This paper aims at investigating the interplay between inequality, innovation dynamics, and investment behaviors in shaping the long-run patterns of growth of a closed economy. By extending the analysis proposed in Caiani ... -
Business fluctuations in a behavioral switching model: Gridlock effects and credit crunch phenomena in financial networks
Grilli, Ruggero; Tedeschi, Gabriele; Gallegati, Mauro Elsevier (2020-02-29)In this paper we characterize the evolution over time of a credit network in the most general terms as a system of interacting banks and firms operating in a three-sector economy with goods, credit and interbank market. ... -
Firm–bank credit network, business cycle and macroprudential policy
RICCETTI, LUCA; Russo, Alberto; Gallegati, Mauro Springer (2021-02-13)We present an agent-based model to study firm–bank credit market interactions in different phases of the business cycle. The business cycle is exogenously set, and it can give rise to various scenarios. Compared to other ... -
Forecasting in a complex environment: Machine learning sales expectations in a stock flow consistent agent-based simulation model
Catullo, Ermanno; Gallegati, Mauro; Russo, Alberto Elsevier (2022-04-14)The aim of this paper is to investigate how different degrees of sophistication in agents’ behavioral rules may affect individual and macroeconomic performances. In particular, we analyze the effects of introducing into ... -
Key sectors in Input-Output Production Networks: an application to Brexit
Gallegati, Mauro; Giammetti, Raffaele; Russo, Alberto Wiley (2020)This paper presents the first detailed and holistic description of the European production network (EPN) and provides different rankings of the most 'systemically important' industries involved in Brexit. Employing ... -
Long-run expectations in a learning-to-forecast experiment: A Simulation Approach
Colasante, Annarita; Alfarano, Simone; Camacho Cuena, Eva; Gallegati, Mauro Taylor & Francis (2017)We conduct a Learning to Forecast Experiment using a novel setting in which we elicit subjects’ short- and long-run expectations on the future price of an asset. We find that: (i) the rational expectations equilibrium is ... -
Network calibration and metamodeling of a financial accelerator agent based model
Bargigli, Leonardo; RICCETTI, LUCA; Russo, Alberto; Gallegati, Mauro Springer (2020-03-13)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 ...