Post on 11-Feb-2022
IntroductionThe Model Eurace@Unibi
Some Dynamic Properties and Stylized FactsA Policy Experiment
Conclusions
The Eurace@Unibi Model:
An Agent-Based Macroeconomic Model for
Economic Policy Analysis
P. Harting1, H. Dawid1, S. van der Hoog1, S. Gemkow1, and M.Neugart2
1Department of Business Administration and Economics, Bielefeld University,
Germany
2Department of Law and Economics, Technical University of Darmstadt, Germany
P. Harting et al. New Thinking about Global Challenges, Berlin 1
IntroductionThe Model Eurace@Unibi
Some Dynamic Properties and Stylized FactsA Policy Experiment
Conclusions
1 Introduction
2 The Model Eurace@Unibi
3 Some Dynamic Properties and Stylized Facts
4 A Policy Experiment
5 Conclusions
P. Harting et al. New Thinking about Global Challenges, Berlin 2
IntroductionThe Model Eurace@Unibi
Some Dynamic Properties and Stylized FactsA Policy Experiment
Conclusions
Agent-based Approach to Economic Modeling
In ABM an economic system is modeled as a collection ofautonomous interacting agents operating in a computationalworld.
Agents are entities that encapsulate data as well as methods.
Rule-based decision making by agents.
Agents interact through explicitly given interaction protocols(market rules, information �ow channels, ..)
Dynamics on the meso- (market/industry) and on the macro-level is generated by aggregating over the actions/stocks of allagents in the model.
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IntroductionThe Model Eurace@Unibi
Some Dynamic Properties and Stylized FactsA Policy Experiment
Conclusions
Why an Agent-based Approach?
Explicit consideration of heterogeneity of �rms, households,etc. with respect to various characteristics
Capturing behavior of �rms, HHs, etc that resemblesdocumented behavior in real markets
Capturing feedbacks between dynamics in di�erent regions,markets, time-scales ...
Capturing micro-macro AND macro-micro links
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IntroductionThe Model Eurace@Unibi
Some Dynamic Properties and Stylized FactsA Policy Experiment
Conclusions
Why an Agent-based Approach for Policy Analysis?
Capturing main institutional aspects (frictions ...)
Short term vs. long term e�ects of policies
Analyzing issues in di�erent policy areas in a uni�ed model
Analyzing interaction between di�erent types of policymeasures
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IntroductionThe Model Eurace@Unibi
Some Dynamic Properties and Stylized FactsA Policy Experiment
Conclusions
Areas of ACE-based policy analysis:
1. E�ects of speci�c policies in particular markets and industriesbased on models with rich (institutional) structure
Power Markets
Housing Markets
Interbank Networks
Agricultural Economics
PC, Biotech ('History-friendly models')...
Financial Markets (NASDAQ, XETRA,...)
(Electric) Car Markets
...
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IntroductionThe Model Eurace@Unibi
Some Dynamic Properties and Stylized FactsA Policy Experiment
Conclusions
Areas of ACE-based policy analysis:
2. E�ects of (combinations of) policies in the framework of closed(macro)models capturing feedbacks, ...
'Pisa Model' (Dosi, Fagiolo,...): �scal, competition, patentpolicies
LAGOM Model (Jäger, Mandel,...): climate policy
'Ancona Model' (Gallegati, Delli Gati, ...): credit linkages,
MAS Macro (Axtell, George, ...): emergence of �rms,institutions
AS1 (Haber): monetary policy
EURACE Model: �scal, monetary, innovation, labor policies
...
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IntroductionThe Model Eurace@Unibi
Some Dynamic Properties and Stylized FactsA Policy Experiment
Conclusions
Overview
The Model Eurace@Unibi
Closed macroeconomic Agent-Based Model based on theEU-funded project EURACE (2006-2009) and severaladditional model extensions.
The main focus of the model is on research questions relatedto:
labor markets (skill dynamics, (spatial) labor �ows).industry evolution (productivity change, technology di�usion).credit markets (credit rationing, total debt dynamics).
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IntroductionThe Model Eurace@Unibi
Some Dynamic Properties and Stylized FactsA Policy Experiment
Conclusions
Main features of the Eurace@unibi model
Agents: Households, Firms, Banks, Government, (CentralBank).
Strong micro-foundation of agents' behavior:
Agents act rule-based, i.e. according to prede�ned rules giventheir current information/ data stock.Management Science Approach: basing the (�rms') decisionrules on well-documented heuristics and courses of action.The decision rules can have di�erent levels of complexity.
Asynchronous decision making of individuals.
Veri�cation: Balance Sheet Approach and Stock �owconsistency checks
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IntroductionThe Model Eurace@Unibi
Some Dynamic Properties and Stylized FactsA Policy Experiment
Conclusions
Overview
Capital Goods
Producer
Consumption
Goods
Producers
Banks
Workers
Con-
sumers
Credit Market
Labor Market
Cap
ita
l G
ood
sM
ark
et
Con
su
mp
tion
Go
od
sM
ark
et
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IntroductionThe Model Eurace@Unibi
Some Dynamic Properties and Stylized FactsA Policy Experiment
Conclusions
The Consumption Goods Market
The consumption goods market is represented by a centralizedmarket platform → Mall.
Each consumption goods producer operates an inventory atthe mall → replenished once a month.
Each household visits the mall once a week in order to makethe weekly shopping.
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IntroductionThe Model Eurace@Unibi
Some Dynamic Properties and Stylized FactsA Policy Experiment
Conclusions
Production Planing
The production planning follows a standard inventory policywith �xed delivery periods and stochastic demand:
The �rm determines a replenishment level Yi,t :
Yi,t = D̂i,t︸︷︷︸Expected demand
+ qχ ·√σ2D̂i,t︸ ︷︷ ︸
Bu�er
:
The di�erence of the replenishment level Yi,t and the currentstock SLi,t is the planned delivery volume and thus the desired
output Q̃ : Q̃ = max[0,Yi,t − SLi,t ]
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IntroductionThe Model Eurace@Unibi
Some Dynamic Properties and Stylized FactsA Policy Experiment
Conclusions
Pricing
Firms choose that price yielding the highest expected pro�tgiven the demand estimation and the available informationabout competitors.
Market research procedure for gathering information used forestimating a demand curve.
Endogenous mark-ups.
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IntroductionThe Model Eurace@Unibi
Some Dynamic Properties and Stylized FactsA Policy Experiment
Conclusions
Input factor determination
Consumption goods are produced using (vintage structured)capital and labor → Leontief production function.
Complementarity between quality of investment goods andlevel of speci�c skills of workers
Productivity of a given technology level is only fully exploited ifworkers in the �rm have su�ciently high speci�c skills.
Di�erentiated skill structure: general, speci�c skills:
Speci�c skills attained during employment in �rms.Higher general skills improve speed of attaining speci�c skills.
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IntroductionThe Model Eurace@Unibi
Some Dynamic Properties and Stylized FactsA Policy Experiment
Conclusions
Technological change and di�usion
Investment good producer o�ers a range of investment goodswith di�erent quality (vintages), which are supplied atdi�erentiated prices.
New vintages with improved quality are added to the productrange following stochastic innovation cycles.
Endogenous innovation probability depending on the revenuesof the investment goods �rm → clustering of innovationduring boom phases.
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IntroductionThe Model Eurace@Unibi
Some Dynamic Properties and Stylized FactsA Policy Experiment
Conclusions
Labor Market, Financial Sphere, and Government
Labor Market: Matching algorithm based on posted wageo�ers and reservation wages.
Credit Market: Banks can grant credits according to stylizedBasel II criteria.
Financial Market: Agents can trade an index stock.
Government: Collects taxes and pays out unemploymentbene�ts.
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IntroductionThe Model Eurace@Unibi
Some Dynamic Properties and Stylized FactsA Policy Experiment
Conclusions
Some Dynamic Properties and Stylized Facts
Figure: Left: GDP. Right: quarterly GDP growth.
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IntroductionThe Model Eurace@Unibi
Some Dynamic Properties and Stylized FactsA Policy Experiment
Conclusions
Some Dynamic Properties and Stylized Facts
Figure: Bandpass �ltered: Output/ Consumption (left), Output/Investments (right).
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IntroductionThe Model Eurace@Unibi
Some Dynamic Properties and Stylized FactsA Policy Experiment
Conclusions
Some Dynamic Properties and Stylized Facts
Figure: Left: Bandpass �ltered Output/ Mark-up. Right: Firm sizedistribution.
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IntroductionThe Model Eurace@Unibi
Some Dynamic Properties and Stylized FactsA Policy Experiment
Conclusions
Some Dynamic Properties and Stylized Facts
Figure: Dynamics of Individual Firm Output
P. Harting et al. New Thinking about Global Challenges, Berlin 20
IntroductionThe Model Eurace@Unibi
Some Dynamic Properties and Stylized FactsA Policy Experiment
Conclusions
Some Dynamic Properties and Stylized Facts
Figure: Heat maps; vertical axis capital stock, color code: mark-up (left),productivity capital stock (right).
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IntroductionThe Model Eurace@Unibi
Some Dynamic Properties and Stylized FactsA Policy Experiment
Conclusions
The Experiment
We are considering a stabilization policy:
Which e�ect does the stabilization policy have on the longterm economic growth?
What are the economic forces driving possible di�erencesbetween the stabilized and the baseline scenario?
Can we observe di�erent di�usion pattern and do they havelong term e�ects on the economic growth?
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IntroductionThe Model Eurace@Unibi
Some Dynamic Properties and Stylized FactsA Policy Experiment
Conclusions
Output e�ect of stabilizing policy
0 50 100 150
1700
1800
1900
2000
2100
2200
2300
Months
Out
put
Figure: Output, (black not-smoothed, red smoothed)
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IntroductionThe Model Eurace@Unibi
Some Dynamic Properties and Stylized FactsA Policy Experiment
Conclusions
E�ect on the technological change
0 50 100 150
1.5
1.6
1.7
1.8
1.9
Months
Pro
duct
ivity
0 50 100 1501.
82.
02.
22.
4
Months
Pro
duct
ivity
Figure: Left: Average productivity of capital stocks. Right: Frontier.
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IntroductionThe Model Eurace@Unibi
Some Dynamic Properties and Stylized FactsA Policy Experiment
Conclusions
Elimination of the frontier e�ect
0 50 100 150
1.8
2.0
2.2
2.4
2.6
Months
0 50 100 15016
0017
0018
0019
0020
0021
0022
0023
00
Months
Figure: Left: Frontier. Right: Total output
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IntroductionThe Model Eurace@Unibi
Some Dynamic Properties and Stylized FactsA Policy Experiment
Conclusions
Elimination of the frontier e�ect
0 50 100 150
1.8
2.0
2.2
2.4
2.6
Months
0 50 100 150
1.5
1.6
1.7
1.8
1.9
Months
Figure: Left: Frontier. Right: Average productivity of capital stocks
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IntroductionThe Model Eurace@Unibi
Some Dynamic Properties and Stylized FactsA Policy Experiment
Conclusions
Conclusions
The smoothing of the business cycle can have negative longterm e�ects on economic growth if this policy has a negativeimpact on the innovation rate and thus on the growth of thefrontier.
If this e�ect can be neutralized: There are only short termdi�erences in the output level and the di�usion.
The short term e�ects on the di�usion rate are too weak (andtoo cyclical) to have negative e�ects on the economicdevelopment.
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IntroductionThe Model Eurace@Unibi
Some Dynamic Properties and Stylized FactsA Policy Experiment
Conclusions
Thank you for your attention!
Information about Eurace@unibi and a (very recent) extensivemodel documentation at:
http://www.wiwi.uni-bielefeld.de/vpl1/projects/eurace/eurace-unibi.html/
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