Monetary Policy Transmission in a Macroeconomic Agent-Based Model

Schasfoort, Joeri; Godin, Antoine; Bezemer, Dirk; Caiani, Alessandro; Kinsella, Stephen

doi:10.1142/s0219525918500030

Cited by 19 publications

(31 citation statements)

References 27 publications

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“…They pay special attention to how the model can be validated based on real data and they propose rules for the calibration and display of such a model. Based on this model, Schasfoort et al (2016) examine the transmission mechanisms of monetary policy and conclude that the transmission of monetary policy depends on the composition of the balance sheets of the sectors of the economy.…”

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confidence: 99%

Stock-Flow Consistent Macroeconomic Models: A Survey

Nikiforos

Zezza

2017

SSRN Journal

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in May 2017The Levy Economics Institute Working Paper Collection presents research in progress by Levy Institute scholars and conference participants. The purpose of the series is to disseminate ideas to and elicit comments from academics and professionals.Levy Economics Institute of Bard College, founded in 1986, is a nonprofit, nonpartisan, independently funded research organization devoted to public service. Through scholarship and economic research it generates viable, effective public policy responses to important economic problems that profoundly affect the quality of life in the United States and abroad. extended to address issues such as financialization and income distribution. We next discuss the implications of the approach for models of open economies and compare the methodologies adopted in developing SFC empirical models for whole countries. We review the contributions where the SFC approach is being adopted as the macroeconomic closure of microeconomic agent-based models, and how the SFC approach is at the core of new research in ecological macroeconomics. Finally, we discuss the appropriateness of the name "stock-flow consistent" for the class of models we survey.

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confidence: 99%

Stock-Flow Consistent Macroeconomic Models: A Survey

Nikiforos

Zezza

2017

SSRN Journal

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“…Their findings suggest that the cash-in-hand policy is dominated by a standard Taylor rule. Finally, Schasfoort et al ( 2017 ) have focused on the transmission mechanisms of different forms of monetary policy, finding that the interest rate policy might be a blunt tool for the control of inflation.…”

Section: Literature Reviewmentioning

confidence: 99%

Unconventional monetary policies in an agent-based model with mark-to-market standards

Guerini

Lamperti

Napoletano

et al. 2022

Rev Evol Polit Econ

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We employ an agent-based model to shed light on the macroeconomic effects of accounting principles, unconventional monetary policies, and of their possible interactions. If mark-to-market accounting standards may entail positive feedbacks which amplify economic or financial shocks, unconventional policies may introduce negative feedbacks that might dampen instabilities in financial and real markets. For these reasons, we jointly study these two sets of policies by employing a modified version of the Schumpeter meeting Keynes (K+S) macroeconomic agent-based model. Our results confirm that, due to its pro-cyclical nature, the mark-to-market accounting standard amplifies credit cycles, generating more instability with respect to a simulated economy wherein the historical accounting principle is employed. In contrast, unconventional monetary policy is counter-cyclical and it improves macroeconomic indicators. Finally, we study a scenario wherein mark-to-market accounting and unconventional monetary policy interact. We find that unconventional monetary policy can counterbalance the negative effects brought about by the application of mark-to-market accounting. Our results suggest that unconventional monetary policy instruments should not be considered as temporary interventions to be employed only during crisis periods. They should be part of the toolbox of central banks also in normal times.

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“…The authors take inspiration from the traditional SFC models (Caverzasi & Godin, 2015; Godley, 1997; Godley & Lavoie, 2007; Godley & Zezza, 2006; Nikiforos & Zezza, 2017; Passarella, 2012), to overcome these drawbacks and develop a consistent decentralized AB‐SFC model. Since then, AB models framed in an SFC account structure, have been mostly used to study monetary and fiscal policy transmission (Caiani et al., 2018; Schasfoort et al., 2017), income inequality (Botta et al., 2019; Caiani et al., 2019; Cardaci & Saraceno, 2019; Russo et al., 2016; Willis, 2015), financial markets (Botta et al., 2020; Mazzocchetti et al., 2018; Riccetti et al., 2016, 2018), institutions and labor dynamics (Caiani et al., 2020; Dosi et al., 2018), climate change (Lamperti et al., 2018; Monasterolo & Raberto, 2018, 2019; Ponta et al., 2018).…”

Section: Agent‐based Modeling and Alternative Theoretical Approaches:...mentioning

confidence: 99%

Neoclassical influences in agent‐based literature: A systematic review

Brancaccio

Gallegati

Giammetti

2021

Journal of Economic Surveys

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Several studies highlight that the method and the object of analysis of Agent‐Based models are in various respects in stark contrast to the prevailing neoclassical paradigm and therefore should be included in the traditions of alternative economic thought. In this paper, however, we show that distinctive features of the neoclassical theory can be found in most of the AB literature. Through a systematic review of most cited academic papers published in the period 1996–2019 and dedicated to Agent‐Based models, we show that a “neoclassical influence” can be detected in 61% of papers, while only 39% do not have links with the mainstream neoclassical approach. We also note that after the “great recession” started in 2008 the neoclassical influences on AB literature decline to a significant extent.

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Monetary Policy Transmission in a Macroeconomic Agent-Based Model

Cited by 19 publications

References 27 publications

Stock-Flow Consistent Macroeconomic Models: A Survey

Stock-Flow Consistent Macroeconomic Models: A Survey

Unconventional monetary policies in an agent-based model with mark-to-market standards

Neoclassical influences in agent‐based literature: A systematic review

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