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Tipping points in macroeconomic agent-based models

机译：基于宏观经济主体的模型的临界点

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摘要

The aim of this work is to explore the possible types of phenomena that simple macro-economic Agent-Based models (ABMs) can reproduce. We propose a methodology, inspired by statistical physics, that characterizes a model through its "phase diagram" in the space of parameters. Our first motivation is to understand the large macro-economic fluctuations observed in the "Mark Ⅰ" ABM devised by Delli Gatti and collaborators. In this regard, our major finding is the generic existence of a phase transition between a "good economy" where unemployment is low, and a "bad economy" where unemployment is high. We then introduce a simpler framework that allows us to show that this transition is robust against many modifications of the model, and is generically induced by an asymmetry between the rate of hiring and the rate of firing of the firms. The unemployment level remains small until a tipping point, beyond which the economy suddenly collapses. If the parameters are such that the system is close to this transition, any small fluctuation is amplified as the system jumps between the two equilibria. We have explored several natural extensions of the model. One is to introduce a bankruptcy threshold, limiting the firms maximum level of debt-to-sales ratio. This leads to a rich phase diagram with, in particular, a region where acute endogenous crises occur, during which the unemployment rate shoots up before the economy can recover. We also introduce simple wage policies. This leads to inflation (in the "good" phase) or deflation (in the "bad" phase), but leaves the overall phase diagram of the model essentially unchanged. We have also explored the effect of simple monetary policies that attempt to contain rising unemployment and defang crises. We end the paper with general comments on the usefulness of ABMs to model macroeconomic phenomena, in particular in view of the time needed to reach a steady state that raises the issue of ergodicity in these models.
机译：这项工作的目的是探讨简单的宏观经济基于主体的模型（ABM）可以重现的现象的可能类型。我们提出一种受统计物理学启发的方法，该方法通过参数空间中的“相图”来表征模型。我们的第一个动机是了解Delli Gatti及其合作者设计的“ MarkⅠ” ABM中观察到的巨大宏观经济波动。在这方面，我们的主要发现是在失业率低的“良好经济”与失业率高的“不良经济”之间存在相变的普遍存在。然后，我们引入一个更简单的框架，该框架使我们能够证明这种过渡对模型的许多修改都是健壮的，并且通常是由雇用率和公司解雇率之间的不对称引起的。失业率一直保持很小，直到一个临界点，超过这个临界点，经济突然崩溃。如果参数使系统接近此过渡，则当系统在两个平衡之间跳跃时，任何小的波动都会放大。我们已经探索了该模型的几个自然扩展。一种是引入破产门槛，以限制企业的最高债务与销售比率水平。这将导致形成丰富的阶段图，尤其是在发生严重的内源性危机的区域，在此期间，失业率会在经济复苏之前急剧上升。我们还介绍了简单的工资政策。这导致通货膨胀（处于“良好”阶段）或通货紧缩（处于“不良”阶段），但模型的总体阶段图基本上保持不变。我们还探讨了试图抑制失业率上升和债务危机的简单货币政策的影响。在本文结尾处，我们对基于ABM的宏观经济现象建模的实用性进行了一般性评论，特别是考虑到达到稳态所需的时间，这些稳态问题引发了这些模型中的遍历性问题。

著录项

  • 来源
    《Journal of Economic Dynamics and Control》 |2015年第1期|29-61|共33页
  • 作者

    Stanislao Gualdi; Marco Tarzia; Francesco Zamponi; Jean-Philippe Bouchaud;

  • 作者单位

    Universite Pierre et Marie Curie - Paris 6, Laboratoire de Physique, The'orique de la Matiire Condensee, 4, Place Jussieu, Tour 12, 75252 Paris Cedex 05, France,IRAMIS, CEA-Saclay, 91191 Gif sur Yvette Cedex, France;

    Universite Pierre et Marie Curie - Paris 6, Laboratoire de Physique, Theorique de la Matiire Condensee, 4, Place Jussieu, Tour 12, 75252 Paris Cedex 05, France;

    Laboratoire de Physique Theorique, Ecole Normale Superieure, UMR 8549 CNFS, 24 Rue Lhomond, 75231 Paris Cedex 05, France;

    CFM, 23 rue de l'Universite, 75007 Paris, France,Ecole Poly technique, 91120 Palaiseau, France;

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  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类
  • 关键词

    Agent-based computational economics; Aggregative models; Cycles;

    机译：基于主体的计算经济学;汇总模型;周期数;

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