TY - JOUR
T1 - Uncertainty, rationality and complexity in a multi-sectoral dynamic model: The dynamic stochastic generalized aggregation approach
AU - Catalano, Michele
AU - Di Guilmi, Corrado
PY - 2017
Y1 - 2017
N2 - The paper proposes an innovative approach for the analytical solution of agent-based models. The approach is termed dynamic stochastic generalized aggregation (DSGA) and is tested on a macroeconomic model articulated in a job and in a goods markets with a large number of heterogeneous and interacting agents (namely firms and workers). The agents heuristically adapt their expectations by interpreting the signals from the market and give rise to macroeconomic regularities. The model is analytically solved in two different scenarios. In the first, the emergent properties of the system are determined uniquely by the myopic behavior of the agents while, in the second, a social planner quantifies the optimal number of agents adopting a particular strategy. The integration of the DSGA approach with intertemporal optimal control allows the identification of multiple equilibria and their qualitative classification.
AB - The paper proposes an innovative approach for the analytical solution of agent-based models. The approach is termed dynamic stochastic generalized aggregation (DSGA) and is tested on a macroeconomic model articulated in a job and in a goods markets with a large number of heterogeneous and interacting agents (namely firms and workers). The agents heuristically adapt their expectations by interpreting the signals from the market and give rise to macroeconomic regularities. The model is analytically solved in two different scenarios. In the first, the emergent properties of the system are determined uniquely by the myopic behavior of the agents while, in the second, a social planner quantifies the optimal number of agents adopting a particular strategy. The integration of the DSGA approach with intertemporal optimal control allows the identification of multiple equilibria and their qualitative classification.
U2 - 10.1016/j.jebo.2017.10.006
DO - 10.1016/j.jebo.2017.10.006
M3 - Article
SN - 0167-2681
VL - 157
SP - 117
EP - 144
JO - Journal of Economic Behavior and Organization
JF - Journal of Economic Behavior and Organization
ER -