Thèses : « Heterogeneous Agents Models »

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Garcia, Alvarado Fernando <1991&gt. « Computational models of tax evasion with heterogeneous agents ». Doctoral thesis, Università Ca' Foscari Venezia, 2020. http://hdl.handle.net/10579/19521.

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The fundamental purpose of my dissertation is to further understand the roles played by taxpayer heterogeneity and social influence in tax-evasion dynamics, and to derive normative insights about optimal policy design considering both rational and non-rational taxpayers. How should fiscal policies be designed under the consideration of heterogeneous taxpayers? What is the role of social dynamics in public policy implementation? Which are the implications of rationality and (bounded) non-rationality of taxpayers in policy design? To answer these and similar questions, the first objective of the current thesis is to build on recent developments from behavioral economics, experimental economics and economic psychology to derive models with heterogeneous agents which have strong empirical and analytical micro-foundations. Mathematical models of individual and collective taxpayer behavior, however, are often too complex to be fully characterized analytically. To overcome this obstacle, we incorporate state-of-the-art computational models to simulate taxpayer behavior under different fiscal environments and to study the potential implications of diverse policy implementations. The second objective of my research concerns the optimal fiscal policy design under the consideration of taxpayer heterogeneity and social influence dynamics, with a normative focus. Acknowledging that taxpayer behavior evolves according to different dynamic processes, which depend on how taxpayers adapt their expectations about future enforcement regimes and penalty possibilities, we employ recent insights from game theory and network theory applied to social networks and information diffusion to capture the effects and repercussions of social influence dynamics. It is of utmost importance for policymakers to understand not only the individual decision-making processes of taxpayers, but also the emergence of aggregate behaviors as a consequence of idiosyncratic beliefs, social interactions, policy announcements, taxpayer expectations, diffusion of tax-related information, enforcement measures and potential policy implementations. The third objective of this work aims to design optimal fiscal policies in diverse economic scenarios where a social planner faces strategic tax evaders who can observe and react against the implemented fiscal policies. Harsher audit and penalty rates may affect taxpayer behavior. However, taxpayers' expectations, social influence and non-pecuniary factors also play prominent roles in both individual and collective taxpayer behaviors. The literature recognizes that taxpayer behavior is influenced not only by the probability of being audited and the possible incurred penalties, but also by tax rates, feelings of regret, uncertainty, risk aversion, psychic costs, peer effects, social interactions, social norms, the efficiency of government expenditures, the perceived power of the government, tax morale and the degree of trust that citizens place in the authority. Following, a central challenge is how to derive appropriate policy recommendations while considering the different ways in which taxpayers may behave, react, optimize and carry out their respective decision-making processes. The research presented in this work combines a set of interdisciplinary insights and findings from behavioral economics, experimental economics and economic psychology to derive models that formally characterize the prevalent theoretical and empirical results in tax-evasion literature. We also consider recent developments from network theory to model taxpayer social networks and to study peer-to-peer communication, the spread of information along the network, and the resulting social influence dynamics. Moreover, we aim to apply sophisticated game-theoretic techniques to identify the key individuals and links in a taxpayer network which ought to be targeted by a social planner or policymaker in order to minimize the aggregate level of tax evasion.

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Pfister, Alexander. « Heterogeneous trade intervals in an agent based financial market ». SFB Adaptive Information Systems and Modelling in Economics and Management Science, WU Vienna University of Economics and Business, 2003. http://epub.wu.ac.at/658/1/document.pdf.

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This paper studies the dynamics of an asset pricing model based on simple deterministic agents. Traders are heterogeneous with respect to their time horizon, prediction function and trade interval. Concerning the trade interval we distinguish between intraday traders and end-of-day traders. Intraday traders update their portfolio every period, whereas end-of-day traders adjust their positions only at the closing price of each trading day. The parameter values of the model were partially determined by an adapted Markov chain Monte Carlo sampling method. We analyse the properties of the time series and find that they exhibit low autocorrelation of the returns, volatility clustering and fat tails. Particularly heterogeneous trade intervals seem to be an important factor for generating time series showing "stylized facts". (author's abstract)
Series: Working Papers SFB "Adaptive Information Systems and Modelling in Economics and Management Science"

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Oh, Jonghyeon. « Essays on Business Cycles and Dynamic Stochastic General Equilibrium Models with Heterogeneous Agents ». The Ohio State University, 2014. http://rave.ohiolink.edu/etdc/view?acc_num=osu1397790687.

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Stavrunova, Olena. « Labor market policies in an equilibrium matching model with heterogeneous agents and on-the-job search ». Diss., University of Iowa, 2007. http://ir.uiowa.edu/etd/150.

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Dzemski, Andreas [Verfasser], et Markus [Akademischer Betreuer] Frölich. « Testing econometric models with heterogeneous agents : applications in treatment analysis and networks / Andreas Dzemski. Betreuer : Markus Frölich ». Mannheim : Universitätsbibliothek Mannheim, 2015. http://d-nb.info/1074358821/34.

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Ormeño, Sánchez Arturo. « Essays on Inflation Expectations, Heterogeneous Agents, and the Use of Approximated Solutions in the Estimation of DSGE models ». Doctoral thesis, Universitat Pompeu Fabra, 2011. http://hdl.handle.net/10803/51247.

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In this thesis I evaluate the departures of three common assumptions in macroeconomic modeling and estimation, namely the Rational Expectations (RE) hypothesis, the representative agent assumption and the use of first-order approximations in the estimation of dynamic stochastic general equilibrium (DSGE) models. In the first chapter I determine how the use of survey data on inflation expectations in the estimation of a model alters the evaluation of the RE assumption in comparison to an alternative assumption, namely learning. In chapter two, I use heterogeneous agent models to determine the relationship between income volatility and the demand for durable goods. In the third chapter I evaluate if the use of first-order approximations in the estimation of a model could affect the evaluation of the determinants of the Great Moderation.
En esta tesis analizo desvíos de tres supuestos comunes en la elaboración y estimación de modelos macroeconómicos. Estos supuestos son la Hipótesis de Expectativas Racionales (ER), el supuesto del Agente Representativo, y el uso de aproximaciones de primer orden en la estimación de los modelos de equilibrio general. En el primer capítulo determino como el empleo de datos de expectativas de inflación en la estimación de un modelo puede alterar la evaluación del supuesto de ER en comparación a un supuesto alternativo como learning. En el segundo capítulo, utilizo modelos de agentes heterogéneos para determinar la relación entre la volatilidad de los ingresos y la demanda de bienes durables. En el tercer capítulo, analizo si el uso de aproximaciones de primer orden afecta la evaluación de los determinantes de la Gran Moderación.

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Merlin, Giovanni Tondin. « Essays on heterogeneous agent models with entrepreneurship ». reponame:Repositório Institucional do FGV, 2018. http://hdl.handle.net/10438/22066.

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This thesis is composed of three essays related to heterogeneous agent models with entrepreneurship. The first chapter adds aggregate uncertainty in a heterogeneous agent model with entrepreneurship and financial frictions, in order to evaluate the welfare effects of business cycles. The second chapter quantitatively assess the impact of The Brazilian Development Bank on the Brazilian economy, through subsidized credit supply. The third chapter uses a heterogeneous agent model to estimate effects of changes in the Brazilian tax composition on development and welfare.
Essa tese é composta por três ensaios cujo elemento em comum é a utilização de modelos de agentes heterogêneos com empreendedorismo. O primeiro capítulo adiciona incerteza agregada em um modelo de agentes heterogêneos com empreendedorismo e fricções financeiras, com o intuito de avaliar os efeitos de bem-estar dos ciclos de negócios. O segundo capítulo mensura os impactos do BNDES na economia Brasileira, através da oferta de crédito subsidiado. O terceiro capítulo utiliza um modelo de agentes heterogêneos para estimar os efeitos da composição tarifária no Brasil sobre o desenvolvimento e bem-estar.

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Sheik, Rahim Fazeer. « Essays on income distribution and heterogeneous agent models ». Thesis, University of Birmingham, 2005. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.423886.

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Jiang, Wei. « Essays on fiscal policy in heterogeneous agent models ». Thesis, University of Glasgow, 2013. http://theses.gla.ac.uk/4148/.

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This thesis consists of three inter-related chapters designed to study the effects of fiscal policy on unemployment, the distribution of income, and social welfare in heterogeneous agent models incorporating unemployment. Each chapter employs a different setup for unemployment in a general equilibrium framework. These include models of equilibrium unemployment, right-to-manage union bargaining, and search and matching. Chapter 1 develops a model with equilibrium unemployment to study the effects of optimal taxation under commitment. Two models are explored: a model with zero economic profits and a model with non-zero economic profits due to the presence of productive public investment. We find that the optimal policy in these two models results in a different labour wedge which defines the gap between the marginal rate of substitution between labour and consumption and the marginal product of labour. In particular, the labour wedge can only be completely eliminated when the profits are absent from the model. It is further demonstrated that there exists a trade-off between efficiency and equity for the government in the model with non-zero economic profits. Chapter 2 examines the importance of imperfect competition in labour and product markets in determining the welfare effects of tax reforms assuming agent heterogeneity in capital holdings. The analysis shows that each of these market distortions, independently, results in welfare losses for at least one segment of the population after a capital tax cut and a concurrent labour tax increase. However, with both present in the model, the tax reform is Pareto improving in a realistic calibration to the UK economy. Chapter 3 extends a Mortensen-Pissarides search-and-matching framework with household heterogeneity to investigate the importance of search frictions in determining the welfare and distributional effects of tax reforms which re-allocate the tax burden from capital to labour income. The optimal tax policy under commitment is also analysed. We find that the tax reforms are Pareto improving in the long run, despite welfare losses for at least one segment of the population in the transition period. Finally, the long-run Ramsey policy implies a negative capital tax which is associated with a rise in the labour tax and a fall in the unemployment benefit.

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ARREY-MBI, PASCAL EBOT. « VOLATILITY CLUSTERING USING A HETEROGENEOUS AGENT-BASED MODEL ». Thesis, Linnéuniversitetet, Institutionen för datavetenskap, fysik och matematik, DFM, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-24587.

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Volatility clustering is a stylized fact common in nance. Large changes in prices tend to cluster whereas small changes behave likewise. The higher the volatility of a market, the more risky it is said to be and vice versa . Below, we study volatility clustering using an agent-based model. This model looks at the reaction of agents as a result of the variation of asset prices. This is due to the irregular switching of agents between fundamentalist and chartist behaviors generating a time varying volatility. Switching depends on the performances of the various strategies. The expectations of the excess returns of the agents (fundamentalists and chartists) are heterogenous.

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Feng, Zhigang. « On the Computation of Heterogeneous Agent Models and Its Applications ». Scholarly Repository, 2009. http://scholarlyrepository.miami.edu/oa_dissertations/208.

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This thesis has two parts, each with a different subject. Part 1 studies the macroeconomic implications of alternative health care reforms. Part 2 studies the computation and simulation of dynamic competitive equilibria in models with heterogeneous agents and market frictions. In 2007, 44.5 million non-elderly in the U.S did not have health insurance coverage. Empirical studies suggest that there are serious negative consequences associated with uninsurance. Consequently, there is wide agreement that reforming the current health care system is desirable and several proposals have been discussed among economists and in the political arena. However, little attention has been paid to quantify the macroeconomic consequences of reforming the health insurance system in the U.S. The objective of this section is to develop a theoretical framework to evaluate a broad set of health care reform plans. I build a model that is capable of reproducing a set of key facts of health expenditure and insurance demand patterns, as well as key macroeconomic conditions of the U.S. during the last decade. Then, I use this model to derive the macroeconomic implications of alternative reforms and alternative ways of funding these reforms. The second part of this thesis studies the computation and simulation of dynamic competitive equilibria in models with heterogeneous agents and market frictions. This type of models have been of considerable interest in macroeconomics and finance to analyze the effects of various macroeconomic policies, the evolution of wealth and income distribution, and the variability of asset prices. However, there is no reliable algorithm available to compute their equilibria. We develop a theoretical framework for the computation and simulation of dynamic competitive markets economies with heterogeneous agents and market frictions. We apply these methods to some macroeconomic models and find important improvements over traditional methods.

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Schmid, Christoph Manuel. « Extreme values of Gaussian processes and a heterogeneous multi agents model ». [S.l.] : [s.n.], 2002. http://www.zb.unibe.ch/download/eldiss/02schmid_c.pdf.

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NINKA, ENIEL. « Complexity in economics a multi-sectoral model with heterogeneous interacting agents ». Doctoral thesis, Università Politecnica delle Marche, 2008. http://hdl.handle.net/11566/242433.

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Popp, Aaron William. « Macroeconomic Implications of Frictions in Heterogeneous Agent Economies ». The Ohio State University, 2012. http://rave.ohiolink.edu/etdc/view?acc_num=osu1338234575.

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CRUCITTI, FRANCESCA. « HETEROGENEOUS FIRMS MODELS AND FINANCIAL MARKET FRICTIONS ». Doctoral thesis, Università degli Studi di Milano, 2019. http://hdl.handle.net/2434/613188.

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The common thread in this thesis is represented by general equilibrium models with heterogeneous firms. Initiated by Huggett (1993) and Aiyagari (1994), a strand of general equilibrium literature characterized by the distribution of heterogeneous individuals has been developed. In recent years, the introduction of heterogeneity in macroeconomics increased exponentially. The thesis is developed in this context. The first chapter provides a methodological analysis. It examines the importance of the modelization choice of the idiosyncratic productivity process of individuals. The second chapter proposes a theoretical model which can be able to reconcile four important facts shared by most of the advanced economies around the world: declining labor share of income, rising capital misallocation, low total factor productivity growth and the declining relative price of investment goods.

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Manley, Matthew T. « Exitus : An Agent-Based Evacuation Simulation Model For Heterogeneous Populations ». DigitalCommons@USU, 2012. https://digitalcommons.usu.edu/etd/1205.

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Evacuation planning for private-sector organizations is an important consideration given the continuing occurrence of both natural and human-caused disasters that inordinately affect them. Unfortunately, the traditional management approach that is focused on fire drills presents several practical challenges at the scale required for many organizations but especially those responsible for national critical infrastructure assets such as airports and sports arenas. In this research we developed Exitus, a comprehensive decision support system that may be used to simulate large-scale evacuations of such structures. The system is unique because it considers individuals with disabilities explicitly in terms of physical and psychological attributes. It is also capable of classifying the environment in terms of accessibility characteristics encompassing various conditions that have been shown to have a disproportionate effect upon the behavior of individuals with disabilities during an emergency. The system was applied to three unique test beds: a multi-story office building, an international airport, and a major sports arena. Several simulation experiments revealed specific areas of concern for both building managers and management practice in general. In particular, we were able to show (a) how long evacuations of heterogeneous populations may be expected to last, (b) who the most vulnerable groups of people are, (c) the risk engendered from particular design features for individuals with disabilities, and (d) the potential benefits from adopting alternate evacuation strategies, among others. Considered together, the findings provide a useful foundation for the development of best practices and policies addressing the evacuation concerns surrounding heterogeneous populations in large, complex environments. Ultimately, a capabilitiesbased approach featuring both tactical and strategic planning with an eye toward the unique problems presented by individuals with disabilities is recommended.

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Gomes, JosÃ Weligton FÃlix. « General equilibrium model for computable policy analysis fiscal agent heterogeneous restricted and non restricted credit ». Universidade Federal do CearÃ, 2012. http://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=9873.

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CoordenaÃÃo de AperfeiÃoamento de Pessoal de NÃvel Superior
This research aims to develop a computable general equilibrium model with heterogeneous agents restricted (p-type) and not restricted to credit (q-type) for policy analysis. We used data from the National Accounts (IBGE), PNAD (2009), IPEADATA, to calibrate the model according to the Brazilian economy in 2009. According to the model 11:31% of agents (p-type) generate 0:65% of the total income and are responsible for paying 0:66% of the total tax burden. While other agents (q-type) generate 99:35% of income accounting for 99:34% of the payment of the tax burden. In terms of importance of sources of income, while for p-type income transfers correspond to 55% of labor income for agents of q-type these account for only 16%, which leads to dierent choices of work and leisure between these two types of agents.
O presente trabalho tem como objetivo desenvolver um modelo de equilbrio geral comput avel com agentes heterog^eneos restritos (tipo p) e n~ao restritos ao credito (tipo q) para ns de analise de poltica. Utilizou-se dados das Contas Nacionais (IBGE), PNAD (2009), IPEADATA, para calibrar o modelo segundo a economia brasileira no ano de 2009. De acordo com o modelo, 11; 31% dos agentes (tipo p) geram 0; 65% do total da renda e s~ao responsaveis por pagar 0; 66% da carga total tributaria. Enquanto que os demais agentes (tipo q) geram 99; 35% da renda sendo responsaveis por 99; 34% do pagamento da carga tributaria. Em termos de import^ancia das fontes de rendimentos, enquanto para o tipo p rendas de transfer^encias correspondem a 55% da renda do trabalho, para agentes do tipo q estas correspondem a apenas 16%, o que provoca escolhas distintas de trabalho e lazer entre esses dois tipos de agentes.

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Yang, Xiaoliang. « A heterogeneous-agent model of growth and inequality for the UK ». Thesis, Cardiff University, 2017. http://orca.cf.ac.uk/110269/.

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This paper analyses the effect of wealth inequality on UK economic growth in recent decades with a heterogeneous-agent growth model where agents can enhance individual productivity growth by allocating time to entrepreneurship. Entrepreneurship cost is negatively correlated to individual wealth which originates from the fact that the rich are more likely to undertake entrepreneurship than the poor. An appropriate wealth concentration to the rich theoretically stimulates their entrepreneurship incentives and then aggregate growth. Given UK quarterly data from 1978 to 2015, our model cannot be rejected to be true using the Indirect Inference method. The empirical study finds that our structural model could generate a stable relation between inequality and growth and model simulations could fit main properties of UK economy. Wealth inequality is found to stimulate economic growth, especially in a long term. Policy makers have to face a trade-off when conduct a redistribution policy like taxation because inequality reduction will be followed by a slow-down of economic growth. Moreover, as redistribution tax rate increases, growth reduction has a gradiently increasing trend and thus a moderate tax rate is a priority option for policy makers. Our comparison between tax regimes shows that the tax transferring income from the rich to the poor is preferred to others.

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Koziol, Tina. « Heterogeneous agent models to determine spillover effects in the context of quantitative easing ». Doctoral thesis, Faculty of Commerce, 2019. https://hdl.handle.net/11427/31762.

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We develop heterogeneous agent models to investigate financial spillover effects in the context of Quantitative Easing (QE). We consider these spillover effects from two perspectives. The first perspective studies spillovers within a network of financial institutions. The aim is to understand where amplification effects occur in the event of a shock. For this purpose, we calibrate a model of fire-sale contagion to the South African banking sector. We use cross-sectional balance sheet data for 29 South African banking institutions. Fire-sale externalities are pecuniary externalities that operate through prices. They pose a threat to the financial system because they amplify price shocks across assets and thus lead to liquidation spirals. In the first step, we investigate general shock propagation scenarios to an unsecured lending portfolio of a large bank and to a marketable asset held by all banks, i.e. South African government bonds. We rank individual banks according to their contribution to systemic risk and show the importance of cash liquidity buffers in reducing risk of fire-sale occurrences. Further, we find a critical threshold parameter which, if exceeded, makes the banking system highly unstable. In the second step, we build on findings presented by Cecchetti et al. (2017) that determine a relationship between Quantitative Easing and risk-taking behavior of financial institutions in emerging markets. Assuming that QE increases banks’ leverage, we show that the fire-sale contagion channel becomes much more pronounced. The same shock to the government bond asset class leads to higher banking sector instability. The risk to banking sector losses is not linear, but rather increases exponentially with higher leverage ratios. The second perspective of the dissertation considers spillovers between financial markets in the context of QE. We contribute to the literature that investigates the portfolio balance effect associated with QE. In essence, the portfolio balance channel is the consequence of an assumed imperfect substitutability of assets. To account for this, we develop a dynamic agent-based model to study international asset price spillover. Our two-country model features heterogeneity in assets and in investor preferences. Both are crucial for a meaningful model-based impact assessment of QE because preferences for asset maturity, asset class (bonds, equities and currencies) and whether an asset is issued at home or abroad can influence the substitutability of assets, and hence the portfolio balance effect of central bank asset purchases. We implement a novel pricing mechanism that allows us to approach market clearing prices. This allows us to take advantage of the flexibility of the agent-based methodology, while keeping the model comparable to more standard equilibrium-based portfolio balance models. We calibrate the two countries in our model to the Eurozone (EZ) and a representative sample of rest-of-the-world (ROW) countries in order to estimate the international impact of the ECB’s asset purchase program announced in January 2015. For this purpose, we compile data on asset holdings of 15 374 EZ and 25 930 ROW open-end investment funds from the Morning Star Database, as well as data on investment portfolios of EZ and ROW banks from the ECB’s Statistical Warehouse and Bankscope. When simulating our model, we find a negative impact of central bank asset purchases on both domestic and foreign returns. While the effects of QE on domestic bond yields and the exchange rate are rather modest and smaller than commonly assumed in the literature, they can cause domestic stock prices increase substantially. Somewhat surprisingly, however, we find that spillovers from portfolio balancing to the rest of the world are negligible.

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Choi, J. « Model checking for decision making behaviour of heterogeneous multi-agent autonomous system ». Thesis, Cranfield University, 2013. http://dspace.lib.cranfield.ac.uk/handle/1826/8031.

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An autonomous system has been widely applied for various civil/military research because of its versatile capability of understanding high-level intent and direction of a surrounding environment and targets of interest. However, as autonomous systems can be out of control to cause serious loss, injury, or death in the worst case, the verification of their functionalities has got increasing attention. For that reason, this study is focused on the verification of a heterogeneous multi-agent autonomous system. The thesis first presents an overview of formal methods, especially focuses on model checking for autonomous systems verification. Then, six case studies are presented to verify the decision making behaviours of multi-agent system using two basic scenarios: surveillance and convoy. The initial system considered in the surveillance mission consists of a ground control system and a micro aerial vehicle. Their decision-making behaviours are represented by means of Kripke model and computational tree logic is used to specify the properties of this system. For automatic verification, MCMAS (Model Checker for Multi-Agent Systems) is adopted due to its novel capability to accommodate the multi-agent system. After that, the initial system is extended to include a substitute micro aerial vehicle. These initial case studies are then further extended based on SEAS DTC exemplar 2 dealing with behaviours of convoy protection. This case study includes now a ground control system, an unmanned aerial vehicle, and an unmanned ground vehicle. The MCMAS successfully verifies the targeting behaviours of the team-level unmanned systems. Reversely, these verification results help retrospectively improve the design of decision-making algorithms by considering additional agents and behaviours during four steps of scenario modification. Consequently, the last scenario deals with the system composed of a ground control system, two unmanned aerial vehicles, and four unmanned ground vehicles with fault-tolerant and communications relay capabilities. In conclusion, this study demonstrates the feasibility of model checking algorithms as a verification tool of a multi-agent system in an initial design stage. Moreover, this research can be an important first step of the certification of multi-agent autonomous systems for the domains of robotics, aerospace and aeronautics.

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LUCCHESE, Gianfranco. « Multivariate hedonic models for heterogeneous product prices in dynamic supply chains ». Doctoral thesis, Università degli studi di Bergamo, 2012. http://hdl.handle.net/10446/26713.

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Identifying parameters for state-space models in high dimensioned cases requires a complex methodology. We offer an example of application for hedonic prices and the hyper-parameter estimation for dynamic supply chains. An algorithm is created based on the Kalman filter-smoother and Expectation-Maximization procerures. Stopping rules for the algorithm are analyzed and compared. We detected the best stopping rule for our environment. In this way, the hedonic prices estimated can be used for any decision process. The thesis point to an application in forecast analysis for product prices. Accurate forecasting of market price developments is essential in achieving superior market performance. Especially in oligopolistic markets for durable consumer products a robust understanding of selling prices is important, as it drives pricing behavior as well as procurement, inventory and production decisions. Moreover, a supply chain perspective is indispensable for pricing forecasts since companies not only compete for product sales but also for limited resources. The thesis explores the use of dynamic multivariate hedonics-based pricing models that explicitly model selling prices with the market valuation of constituting parts. The model is applied to TAC SCM, a supply-chain trading agent competition. To find unknown component prices series we apply the Kalman filter technique to smooth and forecast implicit prices using the EM algorithm. Finally, we present results of our analysis to establish the viability of this method.

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PUNZO, CHIARA. « ESSAYS ON BORROWING-CONSTRAINED AGENTS IN A DSGE MODEL ». Doctoral thesis, Università degli Studi di Milano, 2016. http://hdl.handle.net/2434/452068.

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This thesis is an attempt to contribute to the literature on New-Keynesian Dynamic Stochastic General Equilibrium models with heterogeneous households. In this respect, the economies are characterized by the presence of savers and borrowers that interact in the credit market. Borrowers and savers are modeled using a modified version of the mechanism proposed by Bilbiie, Monacelli and Perotti (2012). They indeed differ in their degree of impatience: both agents are intertemporal maximizers - since borrowing and lending take place in equilibrium; and, financial markets are imperfect. Particularly, we focus on the interaction between fiscal and monetary policy and their redistributive effects. More in the detail, the thesis is composed of three papers. In the first paper, we study the dynamics of the model in response to five shocks, under three different assumptions on the labor income tax rates: a) equal taxes, both agents face the same labor income tax rate; b) partial redistribution, both agents pay a tax but the tax rate on borrower labor income is lower than the tax rate on saver labor income; c) full redistribution, saver labor income is taxed while borrower labor income is subsidized at the same rate. In the analysis of expansionary fiscal policy, public debt increases more in a context of partial redistribution than in a context of full redistribution, due to the internalization of government budget constraint by savers. In addition, a negative saver tax shock has a negative impact on redistribution, which is exacerbated under partial redistribution. Finally, a negative borrower tax shock has a negative impact on redistribution when borrowers receive subsidies, because savers are completely discourages to save. In the second paper, following Galì (2014), we study the effects of a shock to government purchases under two alternative financing regimes: (i) monetary financing; (ii) debt financing. Particularly, we focus on the redistributive effects of the two regimes and we find the following. Both regimes imply a redistributive effect from savers to borrowers, measured in terms of the ratio between the consumption of borrowers and that of savers. The redistribution is much greater in the money-financed fiscal stimulus, where the consumption ratio is more than three times higher than the implied one in the debt-financed fiscal stimulus. Borrowers are better off also in terms of their relative labor supply. Finally, with respect to the representative agent model, the presence of borrowers enhances the impact of the fiscal intervention on aggregate output, when spending is debt financed. Remarkably, with respect to Galì (2014) the same regime implies a reduction of the debt burden instead of an increase. In the third paper, using a Bayesian likelihood approach, we estimate the model presented in the second paper to analyze the main driving forces of output developments in United States. This paper investigates the role of fiscal policy over the aggregate US business cycle. Fiscal policies were substantially muted.

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Nagoski, Emily. « An agent based model of disease diffusion in the context of heterogeneous sexual motivation ». [Bloomington, Ind.] : Indiana University, 2006. http://gateway.proquest.com/openurl?url_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:dissertation&res_dat=xri:pqdiss&rft_dat=xri:pqdiss:3223076.

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Thesis (Ph.D.)--Indiana University, School of Health, Physical Education, and Recreation, 2006.
"Title from dissertation home page (viewed July 2, 2007)." Source: Dissertation Abstracts International, Volume: 67-06, Section: B, page: 3087. Advisers: David Lohrmann; Erick Janssen.

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Schmerbeck, Aaron J. « Financial assets in a heterogeneous agent general equilibrium model with aggregate and idiosyncratic risk ». Thesis, The Florida State University, 2014. http://pqdtopen.proquest.com/#viewpdf?dispub=3638074.

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The financial economics profession has determined that identical agents in a dynamic, stochastic, general equilibrium (DSGE) model does not provide price and trading dynamics realized in financial markets. There has been quite a bit of research over the last three decades extending heterogeneity to the Lucas asset pricing framework, to address this issue. Once the assumption of homogeneous agents is relaxed, the problem becomes increasingly complex due to a state space including the wealth distribution, continuation utilities, and wealth distribution dynamics. To establish a more computationally feasible model, specical modifications have been made such as heterogeneity in idiosyncratic shocks and not risk aversion, including aggregate or idiosyncratic risk (but not both), or assuming no growth in the economy (steady state).

In this research, I will define a DSGE model with heterogeneous agents. This heterogeneity will refer to differing CRRA utilities through risk aversion. The economy will have growth due to the assumed dividend process. Agents will face idiosyncratic and aggregate shocks in a complete markets setting. The framework of the provided algorithm will enable issues to be addressed beyond homogeneous agent models.

The numerical simulation results of this model provide considerable asset price volatility and high trading volume. These results occur even in the complete markets setting, where investors are expected to fully insure. Given these dynamics from the simulations of the algorithm, I demonstrate the ability to calibrate this model to address specific financial economic issues, such as the equity premium puzzle. More importantly this exercise will assume realistic agent parameters of risk aversion and discount factors, relative to economic theory.

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Merlin, Giovanni Tondin. « Spreads bancários e informalidade : efeitos redistributivos e de bem-estar em um modelo de agentes heterogêneos com escolha ocupacional ». reponame:Repositório Institucional do FGV, 2014. http://hdl.handle.net/10438/11524.

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Este trabalho busca identificar os efeitos de mudanças nos spreads bancários sobre as distribuições de renda, riqueza e consumo, bem como o bem-estar da economia. Para tal, é desenvolvido um modelo de agentes heterogêneos com mercados incompletos e escolha ocupacional, no qual a informalidade de firmas e trabalhadores é um canal de transmissão relevante. O principal resultado encontrado é que reduções no spread para pessoa jurídica aumenta a proporção de empreendedores e trabalhadores formais na economia, de forma que o tamanho do setor informal diminui. Os efeitos sobre a desigualdade, no entanto, são ambíguos, e dependerão da dinâmica salarial e das transferências do governo. Reduções no spread para pessoa física levam a uma redução nos indicadores de desigualdade, em detrimento do consumo e bem-estar agregados. Calibrando o modelo para o Brasil para 2003-2012, é possível encontrar resultados em linha com a recente queda na informalidade e no diferencial salarial entre trabalhadores formais e informais.
This work looks to identify the effects of changes in banking spreads on income, wealth and consumption distributions, as well as welfare. For this purpose, a heterogeneous-agent incomplete-market model with occupational choice is developed, in which the informality, of firms and workers, is a relevant transmission channel. The main result found is that reductions on spreads for firms leads to a higher share of formal workers and entrepreneurs in the economy, reducing the size of the informal sector. The effect on inequality, however, are ambiguous, and depends on wages dynamics and government transfers. Cuts in spreads to individuals reduce inequality indicators, at the expense of consumption and aggregate welfare. Calibrating the model for Brazil, from 2003 to 2012, is possible to find results in line with the recent fall in informality and wage gap between formal and informal workers.

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Antunes, Manuella de Oliveira. « Modelos baseados em agentes aplicados à dinâmica de preços do mercado imobiliário ». Universidade de São Paulo, 2016. http://www.teses.usp.br/teses/disponiveis/45/45133/tde-08062016-164014/.

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Um dos aspectos regulatórios fundamentais para o mercado imobiliário no Brasil são os limites para obtenção de financiamento no Sistema Financeiro de Habitação. Esses limites podem ser definidos de forma a aumentar ou reduzir a oferta de crédito neste mercado, alterando o comportamento dos seus agentes e, com isso, o preço de mercado dos imóveis. Neste trabalho, propomos um modelo de formação de preços no mercado imobiliário brasileiro com base no comportamento dos agentes que o compõem. Os agentes vendedores têm comportamento heterogêneo e são influenciados pela demanda histórica, enquanto que os agentes compradores têm o seu comportamento determinado pela disponibilidade de crédito. Esta disponibilidade de crédito, por sua vez, é definida pelos limites para concessão de financiamento no Sistema Financeiro de Habitação. Verificamos que o processo markoviano que descreve preço de mercado converge para um sistema dinâmico determinístico quando o número de agentes aumenta, e analisamos o comportamento deste sistema dinâmico. Mostramos qual é a família de variáveis aleatórias que representa o comportamento dos agentes vendedores de forma que o sistema apresente um preço de equilíbrio não trivial, condizente com a realidade. Verificamos ainda que o preço de equilíbrio depende não só das regras de concessão de financiamento no Sistema Financeiro de Habitação, como também do preço de reserva dos compradores e da memória e da sensibilidade dos vendedores a alterações na demanda. A memória e a sensibilidade dos vendedores podem levar a oscilações de preços acima ou abaixo do preço de equilíbrio (típicas de processos de formação de bolhas); ou até mesmo a uma bifurcação de Neimark-Sacker, quando o sistema apresenta dinâmica oscilatória estável.
One of the fundamental regulatory aspects for the housing market in Brazil are the limits for obtaining a residential mortgage loan within the Sistema Financeiro de Habitação. These limits can be defined so as to increase or reduce credit supply in this market, changing its agents behavior and, therefore, the housing market price. In this work we propose a pricing model for the brazilian housing market based on the behavior of its agents. Sellers have heterogeneous behavior and are influenced by the historical demand, while buyers behavior is determined by credit availability. The availability of credit is, in its turn, defined by the regulatory limits for obtaining a residential mortgage loan. We have verified that the Markov process which describes the market price converges to a deterministic dynamical system as the number of agents increase, and we have analyzed the behavior of this emerging system. We show which family of random variables may represent the behavior of sellers so that the system has a nontrivial equilibrium price, consistent with reality. We have also verified that the equilibrium price depends not only on the regulatory limits for obtaing a loan, but also on buyers reserve price and on sellers memory and sensitivity to changes in the demand. Sellers memory and sensitivity to changes in the demand can result in price oscillations above or below the equilibrium level, which is typical in bubble formation processes; or even in a Neimark-Sacker bifurcation, when the price has a stable oscillatory dynamics.

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Berkefeld, Markus Till [Verfasser], et Frank C. [Akademischer Betreuer] Englmann. « Bank credit, inside money, and debt deflation in a continuous-time macro finance model with heterogeneous agents / Markus Till Berkefeld ; Betreuer : Frank C. Englmann ». Stuttgart : Universitätsbibliothek der Universität Stuttgart, 2019. http://d-nb.info/1206184043/34.

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Venkatsubramanyan, Shailaja. « Discovering distributed and heterogeneous resources on the Internet : A theoretical foundation for an ontology-driven intelligent agent model. Its design, implementation and validation ». Diss., The University of Arizona, 1999. http://hdl.handle.net/10150/284913.

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The Internet has made it possible for large amounts of data to be made available to users in a variety of areas. This has to lead to users being inundated with lots of information, making it difficult for them to locate data that would be of use to them. One domain that has not been immune to this problem is that of remote sensing. Remotely sensed data is available in abundance and can potentially be of use to many users. But it is difficult for users from different application domains to locate appropriate datasets and process them. Current search tools such as search engines are not adequate for remotely sensed data as most searches using these tools yield an inordinately large number of web sites, each of which has to be explored individually by the user and then the results manually collated. Besides, traditional search techniques are not embedded with the knowledge about the remote sensing domain. The goal of this research is to find out how users with varying backgrounds and levels of expertise can retrieve and access resources over the Internet. This dissertation describes a virtual enterprise model of intelligent agents that deals with the complexities of locating and retrieving remotely sensed data over the Internet. The methodology followed in this research includes (i) agent modeling, (ii) building agent cooperation techniques that would enable agents to understand terminology used at different sites and communicate with each other, (iii) optimizing communication flows between various agents, (iv) validating the model, and (v) verifying the prototype. The important contributions of this research include among others an agent model generalizable to problem domains other than remote sensing, a formally defined ontology (a collection of terms and relationships between those terms) for the remote sensing domain, and a prototype system that implements the model and the ontology.

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Sharma, Avish. « The Impact of Monetary Policy on Homeownership ». Thesis, Faculty of Arts and Social Sciences, School of Economics, 2023. https://hdl.handle.net/2123/29884.

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From a theoretical perspective, monetary policy has an ambiguous impact on homeownership. For instance, contractionary monetary policy leads to higher interest rates and lower incomes making housing more unaffordable, but counteracting this is lower house prices. I build a heterogeneous agent overlapping generations model of the Australian housing market parameterising these three key transmission channels to study the sign and magnitude of the response of homeownership to monetary policy. I find there is a small positive effect of homeownership to a one standard deviation unanticipated contractionary monetary policy shock, with the shift in house prices explaining much of the movement in the homeownership rate.

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TETTAMANZI, MICHELE. « EXPECTATIONS IN MACROECONOMICS : PERSPECTIVES, LABORATORY EXPERIMENTS AND AB MODELS ». Doctoral thesis, Università Cattolica del Sacro Cuore, 2017. http://hdl.handle.net/10280/36156.

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La presente tesi studia le aspettative in macroeconomia contribuendo alla letteratura esistente sia indagando circa il meccanismo di formazione delle aspettative, sia analizzando come le aspettative a razionalità limitata influenzino la dinamica economica. Nel primo capitolo viene presentato un esperimento nel quale ai soggetti viene chiesto di predire il valore futuro dell'inflazione: a seconda del trattamento, i soggetti possono venire esposti ad un segnale, che mira a stabilizzare l'economia, che fungendo quindi da indicazione prospettica (Forward Guidance). I risultati vengono poi studiati sottolineando il meccanismo di formazione delle aspettative soprattutto in funzione della credibilità del segnale; inoltre viene studiata l'efficacia dello strumento di politica monetaria nella stabilizzazione del sistema economico: si evidenzia come un segnale informativo permetta una sensibile stabilizzazione dell'economia, prevenendo spirali deflazionistiche. Nel secondo capitolo viene sviluppato un modello ad agenti il quale incorpora un meccanismo di formazione delle aspettative a razionalità limitata, derivato da esperimenti precedenti. Inoltre, grazie ad un peculiare processo di aggregazione, viene derivato un modello analiticamente trattabile che permette di studiare il meccanismo di trasmissione di uno shock, isolando gli effetti dovuti all'eterogeneità fra gli agenti e alle aspettative: entrambi gli effetti sono considerevoli ed aiutano nello spiegare la dinamica economica.
The present dissertation analyses expectations in macroeconomics, contributing to the existing literature both studying the expectation formation process, and inquiring how economic dynamic is influenced by boundedly rational expectations. The first chapter presents a learn to forecast experiment in which subject are asked to form expectation regarding the future value of inflation: depending on the treatment, subjects might be exposed to a signal, which possibly aim at stabilizing economy, mimicking the non conventional monetary policy instrument called Delphic Forward Guidance. The collected data are studied trying to recover the underlying expectation formation process highlighting especially the role of credibility of the signal; moreover from the data emerges that informative Forward Guidance helps in stabilizing economy, drastically reducing the probability of deflationary spirals. The second chapter develops an agent-based model, encapsulating a boundedly rational expectation formation process, which had been extrapolated in previous experiments. Moreover benefiting from a specific aggregation procedure, we derive a model characterized by high analytical tractability, allowing hence to study the transmission mechanisms of a shock by insulating the effects due to the heterogeneity among agents and due to expectations: both the effects are sizable and help in understanding the dynamics of the economic system.

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TETTAMANZI, MICHELE. « EXPECTATIONS IN MACROECONOMICS : PERSPECTIVES, LABORATORY EXPERIMENTS AND AB MODELS ». Doctoral thesis, Università Cattolica del Sacro Cuore, 2017. http://hdl.handle.net/10280/36156.

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La presente tesi studia le aspettative in macroeconomia contribuendo alla letteratura esistente sia indagando circa il meccanismo di formazione delle aspettative, sia analizzando come le aspettative a razionalità limitata influenzino la dinamica economica. Nel primo capitolo viene presentato un esperimento nel quale ai soggetti viene chiesto di predire il valore futuro dell'inflazione: a seconda del trattamento, i soggetti possono venire esposti ad un segnale, che mira a stabilizzare l'economia, che fungendo quindi da indicazione prospettica (Forward Guidance). I risultati vengono poi studiati sottolineando il meccanismo di formazione delle aspettative soprattutto in funzione della credibilità del segnale; inoltre viene studiata l'efficacia dello strumento di politica monetaria nella stabilizzazione del sistema economico: si evidenzia come un segnale informativo permetta una sensibile stabilizzazione dell'economia, prevenendo spirali deflazionistiche. Nel secondo capitolo viene sviluppato un modello ad agenti il quale incorpora un meccanismo di formazione delle aspettative a razionalità limitata, derivato da esperimenti precedenti. Inoltre, grazie ad un peculiare processo di aggregazione, viene derivato un modello analiticamente trattabile che permette di studiare il meccanismo di trasmissione di uno shock, isolando gli effetti dovuti all'eterogeneità fra gli agenti e alle aspettative: entrambi gli effetti sono considerevoli ed aiutano nello spiegare la dinamica economica.
The present dissertation analyses expectations in macroeconomics, contributing to the existing literature both studying the expectation formation process, and inquiring how economic dynamic is influenced by boundedly rational expectations. The first chapter presents a learn to forecast experiment in which subject are asked to form expectation regarding the future value of inflation: depending on the treatment, subjects might be exposed to a signal, which possibly aim at stabilizing economy, mimicking the non conventional monetary policy instrument called Delphic Forward Guidance. The collected data are studied trying to recover the underlying expectation formation process highlighting especially the role of credibility of the signal; moreover from the data emerges that informative Forward Guidance helps in stabilizing economy, drastically reducing the probability of deflationary spirals. The second chapter develops an agent-based model, encapsulating a boundedly rational expectation formation process, which had been extrapolated in previous experiments. Moreover benefiting from a specific aggregation procedure, we derive a model characterized by high analytical tractability, allowing hence to study the transmission mechanisms of a shock by insulating the effects due to the heterogeneity among agents and due to expectations: both the effects are sizable and help in understanding the dynamics of the economic system.

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Almeida, Vanda. « Income inequality and the stabilising role of the tax and transfer system in times of crisis ». Thesis, Paris, EHESS, 2019. http://www.theses.fr/2019EHES0194.

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Les crises globales entraînent souvent d'énormes perturbations économiques, qui peuvent durer de nombreuses années. Il est donc important de comprendre leurs conséquences et comment élaborer des politiques efficaces dans la réduction de leurs impacts. Il existe une littérature abondante sur les effets d’une crise au niveau agrégé et le rôle stabilisateur des politiques macroéconomiques. Toutefois, on a accordé beaucoup moins d'attention aux effets distributifs des crises et encore moins aux interactions entre ces effets et l'évolution de l’activité macroéconomique post crise. Si une aggravation des inégalités peut contribuer à une reprise faible de l'activité, alors le système d’impôts et prestations sociales peut être un stabilisateur macroéconomique en sus de son rôle redistributif. Il est donc essentiel de comprendre comment le système peut influer tant sur les effets agrégés, que sur les inégalités en temps de crise. Cette thèse vise à apporter un éclairage neuf sur ces questions, en utilisant de multiples méthodologies et ensembles de données, au niveau micro et macro, dans une approche empirique et théorique.Le premier article fait une évaluation détaillée de l'évolution des inégalités de revenus et des effets redistributifs du système d’impôts et prestations sociales après la crise de 2007-08 aux États-Unis. Utilisant un large éventail d'indicateurs, il examine plusieurs sections de la distribution de revenus et analyse la contribution des différentes composantes du système d’impôts et prestations sociales. Le second article développe une nouvelle méthode pour modéliser la distribution de revenus disponibles et décomposer l’évolution de celle-ci dans le temps, utilisant une double approche microéconométrique et de microsimulation. Il l’applique à l'étude de l'évolution de la distribution de revenus au Portugal après la crise de 2007-08 en tenant compte des effets de la crise et des politiques de relance et de consolidation budgétaire. Le troisième article développe un modèle théorique DSGE à agents hétérogènes, avec une hétérogénéité à la fois ex-ante et ex-post des ménages et assurance chômage. Il présente les résultats d'une première expérience quantitative, étudiant les effets distributifs et agrégés d'une crise et le rôle de l'assurance chômage pour ces effets, sous plusieurs scénarios hypothétiques de crise.Plusieurs conclusions émergent des résultats obtenus dans cette thèse. Premièrement, les crises globales peuvent avoir des effets très hétérogènes et persistants sur la répartition de revenus, particulièrement pénalisants pour les ménages à faible revenu. Deuxièmement, le système d’impôts et prestations sociales peut jouer un rôle crucial dans l'évolution de la distribution de revenus à la suite d'une crise. Un système fort peut amortir une augmentation des inégalités induite par la crise, tandis qu'un système faible peut les aggraver. Troisièmement, non seulement la magnitude, mais aussi la conception du système affecte son rôle en temps de crise. En particulier, un instrument plus progressif aura un effet stabilisateur plus important qu'un instrument uniforme. Quatrièmement, les politiques de stabilisation des agrégats économiques en temps de crise peuvent avoir des effets importants sur la répartition de revenus. En particulier, la mise en œuvre de mesures de consolidation peut renforcer les pertes de revenus induites par la crise et augmenter l'hétérogénéité des effets d'une crise. Enfin, l'hétérogénéité des ménages et de l’assurance sociale jouent un rôle important dans la transmission d'une crise globale à l’activité économique. La contraction de la consommation agrégée suite à une crise sera plus accentuée dans un monde où les ménages sont hétérogènes à la fois ex ante et ex post que dans un monde où l'hétérogénéité est uniquement ex post. De plus, une crise impliquera une contraction de la consommation agrégée plus faible dans un monde avec assurance sociale que dans un monde sans assurance sociale
Aggregate crises often bring tremendous economic disruptions, which may persist for many years. Understanding their consequences and how to effectively design crisis-coping policies is therefore of capital importance. The aggregate effects of crises and the stabilising role of macroeconomic policies have been significantly studied in the literature. Much less attention, however, has been given to the distributional effects of crises and even less to the possible interactions between these effects and the post-crisis evolution of aggregate outcomes. If a crisis-led increase in inequality can feedback into an anemic recovery of economic activity, then the tax and transfer system may have a role in stabilising not only the income distribution but also the macroeconomy. Understanding how the system may affect both distributional and aggregate developments in a crisis aftermath is therefore key. This thesis aims at shedding new light on these issues, using multiple methodologies and datasets both at the micro and macro level, applying both an empirical and theoretical approach.The first paper provides a detailed assessment of the evolution of income inequality and the redistributive effects of the tax and transfer system following the 2007-2008 crisis, in the US. Using a wide range of indicators, it looks at several sections of the income distribution and analyses the contribution of different components of the tax and transfer system. The second paper develops a new method to model the household disposable income distribution and decompose changes in this distribution over time, integrating both a microeconometric and microsimulation approach. It applies the method to the study of changes in the income distribution in Portugal following the 2007-2008 crisis, accounting for the effects of the crisis and of the aftermath fiscal stimulus and consolidation policies. The third paper develops a theoretical heterogeneous agents DSGE model, with both ex-ante and ex-post household heterogeneity and unemployment insurance. It presents the results of a first quantitative experiment, studying the distributional and aggregate effects of a crisis and the role of unemployment insurance in shaping these effects, under several hypothetical crisis scenarios.Several conclusions can be drawn from the results obtained in this thesis. First, aggregate crises may have substantial heterogeneous effects across the income distribution, being particularly penalising for lower income groups, and these effects may be highly persistent. Second, the tax and transfer system can crucially shape distributional developments following a crisis. A strong tax and transfer system may fully cushion a crisis-led increase in inequality, while a weak one may deepen it. Beyond the effects of automatic stabilisers, discretionary policy choices may have substantial effects. Third, not only the size but also the design of the tax and transfer system matters for its role in times of crisis. In particular, a more progressive instrument will have a higher stabilising effect than a flat one, both at the distributional and aggregate level. Fourth, policies aimed at stabilising aggregate outcomes in times of crisis may have significant "collateral" effects on the income distribution. In particular, the implementation of consolidation measures may reinforce income losses induced by the contractionary effects of the crisis and increase the heterogeneity of the effects of a crisis on households' incomes. Finally, household heterogeneity and social insurance matter for the transmission of an aggregate crisis to aggregate outcomes. A crisis will lead to a higher contraction of aggregate consumption in a world where there are both ex-ante and ex-post sources of household heterogeneity than in a world where there is only ex-post heterogeneity. Furthermore, a crisis will imply a smaller contraction of aggregate consumption in a world with social insurance than in a world without

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« Essays on dynamic markets with heterogeneous agents ». Thesis, 2007. http://hdl.handle.net/2152/3128.

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Nezami, Narajabad Borghan 1979. « Essays on dynamic markets with heterogeneous agents ». 2007. http://hdl.handle.net/2152/13315.

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Sutóris, Ivan. « Essays on macroeconomic models with heterogeneous agents ». Doctoral thesis, 2018. http://www.nusl.cz/ntk/nusl-387020.

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This dissertation consists of three chapters dealing with the topic of heterogeneity in macroeconomics and macroeconomic models. Chapter 1 contributes to the literature on computational approaches to solving DSGE models with heterogeneous agents. One possible approach, a hybrid method described in Reiter (2009) combines a nonlinear solution with respect to individual state variables and a linearized solution with respect to aggregate shocks. Since linearization has typically been used in representative agent models, a natural question is how well it works in a setting with heterogeneity and whether a higher order approximation is not needed. I compare solutions obtained with linearization and second order perturbation for a benchmark stochastic growth model with idiosyncratic labor income shocks. In terms of accuracy, I find that second order solution does not differ much when aggregate volatility is low (e.g. in case of a typical calibration for productivity shocks in developed economies), but becomes more precise when volatility is higher. Another potential issue is that linearization implies certainty equivalence, which makes it unsuitable for analyzing certain issues. I illustrate potential economic applications of the 2nd order solution by showing how it can be used to easily compute welfare...

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YAMANA, Kazufumi, et 一史山名. « STUDIES ON EMPIRICAL ANALYSIS OF MACROECONOMIC MODELS WITH HETEROGENEOUS AGENTS ». Thesis, 2016. https://doi.org/10.15057/28171.

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CARRARO, ALESSANDRO. « Three essays on price instability and agents' behaviour ». Doctoral thesis, 2015. http://hdl.handle.net/2158/1015667.

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The ability of a country to grow at non-increasing food prices is a fundamental pre-condition for economic growth. When food commodity prices are high and volatile, they can impair the political and economic stability of a developing country, as they have signiﬁcant impacts at both micro and macro level. What happened over the last decade in the world agricultural commodity markets, can largely be explained by analyzing the trends in global supply and demand for these commodities. The recent and vast literature on this topic came to different and contrasting conclusions on the transmission mechanisms of the crisis. However, there are doubts about the key role played by price movements and their increased volatility. Therefore, the general aim of the thesis is to provide some insights into recent price instability and its role in spurring the crisis and its consequences both at macro and micro level. The work includes three different essays focusing respectively on: (i) the understanding of ﬁnancial markets as channels of transmission of economic crisis behaviour, by providing new insights on the dynamics behind ﬁnancial markets stylized facts, and on how the behaviour of investors and market makers contributes to generate instability within the ﬁnancial system; (ii) the potential effect of food prices upsurges and their volatility on staple food supply at global level; and finally (iii) the ultimate effect on rural and urban households in a developing country, focusing in particular on their food caloric intake and dietary composition.

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TSAI, JIUE-CHENG. « Income Distribution in a Heterogeneous Agents Model ». 2004. http://www.cetd.com.tw/ec/thesisdetail.aspx?etdun=U0001-0907200420575400.

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TSAI, JIUE-CHENG, et 蔡爵丞. « Income Distribution in a Heterogeneous Agents Model ». Thesis, 2004. http://ndltd.ncl.edu.tw/handle/96721378959425899926.

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碩士
國立臺灣大學
經濟學研究所
92
This paper builds up a general equilibrium model to examine the distribution of income. We consider income disparity from the perspective of heterogeneous productivity. Inequality deteriorates if high-skilled agents become more productive than low-skilled agents. In addition, the substitutability between heterogeneous labor also affects the equilibrium. The increase of substitutability worsens the income inequality. We also analyze the government policies that aim to alleviate the inequality. From the production perspective, lump-sum tax or inheritance tax system is better than proportional wage tax system. We finally extend the model to a multi-agent case. Our analysis indicates that as the “middle class” becomes more productive, the income inequality reduces.

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Pereira, Nuno André Mendes. « The effects of monetary policy shocks on consumption : a decomposition of the transmission channels for Portuguese households ». Master's thesis, 2021. http://hdl.handle.net/10362/127194.

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In this study I use a combination of household level data from the 2ndwave of the HFCS with high-frequency data regarding changes in asset prices during events of monetary pol-icy communication to evaluate the effects of monetary shocks on households’ consumption expenditures in Portugal. I find that wealthy Hand-to-Mouth, i.e., households that are financially constrained but possess a significant amount of illiquid wealth, are the group with the most significant reaction to a negative monetary shock. In addition, Portugal displays a high home ownership rate, a fact that correlates with housing being the strongest transmission channel.

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Liao, Chung-Chih, et 廖崇智. « Essays on Heterogeneous-Agent Models of Financial Markets ». Thesis, 2017. http://ndltd.ncl.edu.tw/handle/wcydwj.

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博士
國立臺灣大學
國際企業學研究所
105
Traditional economics achieved fruitful results in constructions of economic theories through modeling methods such as representative agent, Homo economicus and rational expectations. The advantages of such kind of methods are the ease in mathematical deduction and analysis, the existence of a certain degree of explanatory ability of the real-world economic phenomenon, and the provision of critical insights to the modelers. However, continuous ignorance of the bounded rationality and heterogeneity and learning and adapting behaviors of human beings in the modeling process will lead to the lacking of essential elements of economic models including interactions, coordination and environment feedbacks. These types of models run short in explaining, for example, anomalies in financial markets. Recently, paradigm shifts have emerged in economics and finance, where models with heterogeneous-agent models with boundedly rational agents have become mainstream in discussing how behaviors of learning, adapting, interacting and coordinating produce macro phenomena similar to that in the real world. Here we adopt three different types of heterogeneous-agent models to model and analyze financial markets, which are the analytical approach, the empirically based approach and the simulation approach. In the first essay, we introduce informed rational speculators, momentum traders and contrarian traders into a simple stock market model and use analytical approach to analyze how trading behaviors of each kind of traders affect stock prices, and also analyze the profitability of the three types of heterogeneous traders under different sets of parameters. In the second essay we consider a stock market with two stocks existing. We use empirical data from Taiwan Stock Exchange (TWSE) and let electronics sector index TRI and non-finance non-electronics sub-index TRI represent two different styles of stocks, and we use a modeling method of empirically based adaptive be- lief system to observe the evolution of market fractions of fundamental traders, technical traders and switchers, and look into the possible relationship between style investing behaviors and sector rotation. In the third essay we use the AIE-ASM software to simulate an artificial stock market, in which GP-based heterogeneous autonomous traders exist. We observe the stock price-volume relation in the artificial stock market and compare that to the real stock market, and finally look into the micro-macro relation between individual trading behaviors and the macro phenomena in the artificial stock market.

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« Overlapping Generations Model with Heterogeneous Agents and Consumption Externalities ». 2016. http://repository.lib.cuhk.edu.hk/en/item/cuhk-1292528.

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Lin, Fang-chi, et 林芳綺. « Fuzzy Optimal Compensation Contract Design Model for heterogeneous Agents ». Thesis, 2006. http://ndltd.ncl.edu.tw/handle/99192538732306316709.

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碩士
逢甲大學
會計所
94
The aim of this paper is to formulate optimal compensation contract between principals who can not observe agents’ efforts. In fact, principals go to sign a contract with agents under uncertain circumstances; traditional linear programming can not completely describe problems that arise. To that end, this study applies “convergent, acceptable gray zone test” of Acceptable Max-Min Delphi Method-AMMDM to verify agents’ efforts, along with combined fuzzy theory and Fuzzy Delphi Linear Programming Model-FDLPM (Wu, Hsiao and Lin, 2000). Based on maximum agent utility, we assemble a Fuzzy Optimal Compensation Contract Design Model-FOCCDM. This model considers how fuzziness and heterogeneous agents could level information asymmetry and moral hazard. We arrive at the conclusion that: 1.When principals can not judge tolerance limits of agents’ opportunity utility (W) given by other organizations in the market as convergent and acceptable. The contract which they go to sign is not inspire. The contract will not encourage agents to make more effort, such that it is a dysfunctional contract. It will cause agents take less effort. 2.If forecast the tolerance limits of agents’ opportunity utility is convergent and acceptable, principals give appropriate rewards that inspire agents to put forth the same effort at satisfying agents’ expected utility. 3.If principals mistakenly increase compensation. In other words, with forecast reasonably, principals only give appropriate compensation; agents will accept the contract in fulfilling expected utility.

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Kang, Tae-Jin. « Three essays on asset pricing model with heterogeneous agents ». 1991. http://catalog.hathitrust.org/api/volumes/oclc/25495855.html.

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Thesis (Ph. D.)--University of Wisconsin--Madison, 1991.
Typescript. Vita. eContent provider-neutral record in process. Description based on print version record. Includes bibliographical references (leaf 73).

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Li, Ya Ying, et 李雅瀅. « The Magnet Effect of Price Limits：The Heterogeneous Agents Model ». Thesis, 2012. http://ndltd.ncl.edu.tw/handle/56196362744759963173.

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碩士
長庚大學
工商管理學系
101
In order to restraining over volatile stock price, the authorities concerned implement price limits resulted in volatility spillover, delayed price discovery, and magnet effect in Taiwan stock market. Using five-minute quotes on high-tech corporations of Taiwan 50 index as our example, this study will incorporate into variables related to magnet effect into two-type heterogeneous agent model proposed by Brock and Hommes (1998) can investigate the behaviors of heterogeneous agent and their historical performances in price limits. The findings suggest that heterogeneous agent model has more significant than separate general regression model.

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Liou, Siou Chen, et 劉修辰. « Heterogeneous Agent-Based Model of Multilateral Foreign Exchange Markets ». Thesis, 2013. http://ndltd.ncl.edu.tw/handle/92821099826448724313.

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碩士
長庚大學
工商管理學系
102
In this study, an agent-based model is applied to the exchange rate market, get rid of past literature observe only a single investment strategy of the foreign exchange market phenomenon, this study will examine the market increased to two, namely the yen / dollar exchange rate market and the yuan / dollar exchange rate market. In this study, agents are divided into two categories, fundamentalist and chartist, of which fundamentalist such as is the study of the two markets, so our study then add variables into triangular arbitrage to let an agent-based model is more complete. Empirical aspects, the use of an agent-based model parameter estimation, and to estimate the parameters of an agent's behavior was observed and market dynamics. By analyzing the results, both in the yen / dollar exchange rate market or yuan / dollar exchange rate market, the use of chartist analysis strategy than the majority.

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Wu, Ping-Husn, et 吳秉勳. « Performance Comparison of Direct Communication Models between Two Heterogeneous Agent Systems ». Thesis, 2008. http://ndltd.ncl.edu.tw/handle/81934997358594667756.

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碩士
中原大學
工業工程研究所
96
Many agent systems have been studied to evaluate the system ability of assisting information systems with quick response to requirements, however, most of the studies emphasized on the function of agents within the information systems. This thesis considers the communication ability of agents with other agents in heterogeneous systems. This research proposed two different communication architectures based on two distributed object communication models, Java RMI and CORBA/Java. The processes of developing communication applications in these two architectures were discussed and these architectures were suitable for agent systems supporting Java technology. Two agent systems, JADE and AgentBuilder, were applied to test the validity of the communication architectures, and two kinds of experiments were conducted to measure the individual performance of sending messages and files in these two agent systems. In first experiment, communication model and primitive data type were defined as independent variables. In second experiment, communication model, number of clients, data size and buffer size were defined as independent variables. Communication time was defined as dependent variable. In the first experiment, only communication model is significant and for the performance of sending messages RMI is better. In the second experiment, all independent variables are significant, and the performance of RMI is better in transferring files. The communication architecture based on RMI is recommended for data communication between JADE and AgentBuilder in practical applications.

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Kolasa, Aleksandra. « Makroekonomiczne skutki przemiany edukacyjnej i demograficznej w Polsce ». Doctoral thesis, 2017. https://depotuw.ceon.pl/handle/item/2321.

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W ostatnim czasie coraz więcej uwagi poświęca się procesowi starzenia się społeczeństwa. Składają się na niego trwały spadek dzietności oraz wydłużająca się średnia długość życia, procesy charakterystyczne dla wielu gospodarek, w tym większości rozwiniętych. Starzenie się społeczeństwa niesie za sobą szereg konsekwencji ekonomicznych. Po pierwsze wynikający z niego wzrost wskaźnika obciążenia demograficznego wyrażającego stosunek osób w wieku nieprodukcyjnym do osób w wieku produkcyjnym wpływa niekorzystnie na równowagę finansów publicznych. Rośnie więc niepokój o stabilność systemu emerytalnego, a coraz więcej krajów decyduje się na jego reformy. Po drugie, jako że w cyklu życia zmieniają się charakterystyki gospodarstw domowych, takie jak produktywność czy skłonność do oszczędzania, zmiana struktury wiekowej populacji wpływa na poziom wielu agregatów makroekonomicznych, w tym produkcji, aktywów krajowych oraz konsumpcji. Tym samym należy oczekiwać również zmian w zadłużeniu zagranicznym oraz poziomie realnej stopy procentowej, co oddziaływać będzie na politykę monetarną. Relatywnie mniej przebadane są natomiast konsekwencje redystrybucyjne starzenia się społeczeństwa, objawiające się w zmianach w nierównościach w dochodach czy aktywach gospodarstw domowych. Problemy wynikające ze starzenia się społeczeństwa nie ominą również polskiej gospodarki. Spójnie z innymi gospodarkami rozwiniętymi prognozy demograficzne dla Polski przyjmują systematyczne wydłużanie się średniej długości życia. Ponadto w ostatnim czasie wyraźnie obniżył się wskaźnik dzietności dla naszego kraju, a obecnie znajduje się on poniżej poziomu zapewniającego zastępowalność pokoleń. W podobnym czasie co spadek dzietności nastąpił w Polsce również wzrost odsetka osób decydujących się na studia wyższe, co w dalszej kolejności skutkowało wyższym udziałem podmiotów z wykształceniem akademickim wśród osób wchodzących na rynek pracy. Jako że wykształceni cechują się wyższą średnią produktywnością, zmiana edukacyjna powinna korzystnie wpłynąć na efektywność gospodarki mierzoną produkcją na osobę i tym samym pomóc, przynajmniej w pewnym stopniu, przezwyciężyć negatywne skutki zmian demograficznych. Głównym celem pracy jest zbadanie makroekonomicznych konsekwencji zmian w dzietności i poziomie edukacji w Polsce, ze szczególnym uwzględnieniem zmian w nierównościach. W tym celu zdefiniowany oraz skalibrowany został model równowagi ogólnej z heterogenicznymi gospodarstwami domowymi i niekompletnymi rynkami. W tej klasie modeli można uzyskać wysoki poziom zróżnicowania gospodarstw domowych przy jednoczesnym uwzględnieniu efektów równowagi ogólnej, w tym konsekwencji dla sfery fiskalnej czy relatywnych cen. Jako że skutki starzenia się polskiego społeczeństwa nie były do tej pory analizowane w ten sposób, zaprezentowane w pracy doktorskiej badanie jest pierwszym, które pozwala zmierzyć wpływ przemiany demograficznej i edukacyjnej na nierówności w dochodach i konsumpcji polskich gospodarstw domowych. Ponadto, choć często zmiany w dzietności współwystępują ze zmianami w poziomie edukacji, bardzo rzadko w literaturze wykorzystującej modele równowagi ogólnej oba te procesy analizowane są łącznie. W niniejszej pracy ten sam model służy do badania zarówno wpływu zmian w poziomie edukacji, zmian demograficznych, jak i obu zmian łącznie, co pozwala porównać między sobą wyniki dla każdego z tych scenariuszy. Jednocześnie niezbędnym elementem takiej analizy jest zrozumienie warunków, w jakich polskie gospodarstwa domowe podejmują decyzje konsumpcyjne w cyklu życia. Z zaprezentowanego w pracy badania, opartego na danych jednostkowych z Badania Budżetów Gospodarstw Domowych GUS, wynika, że zarówno średnie dochody gospodarstwa domowego, jak i ich wariancja, przestają rosnąć stosunkowo szybko w cyklu życia. Kształt empirycznego profilu wariancji wskazuje na mniejszą inercję procesu dochodowego niż w gospodarkach rozwiniętych, reprezentowanych w badaniach zazwyczaj przez Stany Zjednoczone. Ponadto przeszłe dochody w większym stopniu determinują ich bieżącą wartość w przypadku wyżej wykształconych gospodarstw domowych. W pracy zostało pokazane, że proces starzenia się społeczeństwa oraz zmiany w poziomie edukacji osób wchodzących na rynek pracy będą mieć realne konsekwencje dla polskiej gospodarki oraz sytuacji ekonomicznej pojedynczych podmiotów. Zasadniczo pozytywny efekt przemiany edukacyjnej powinien przeważyć negatywne konsekwencje spadku dzietności, nie jest on jednak na tyle silny, by zapobiec dodatkowemu spadkowi produkcji na osobę związanemu z wyższą średnią długością życia. W wyniku przemian, ze względu na wzrost składki emerytalnej, profile średniej konsumpcji osób wykształconych i niewykształconych obniżą się. Wzrosną nierówności w dochodach, natomiast spadną nierówności w aktywach.
Population aging has recently received a great deal of attention. This process, driven by a permanent decline in fertility and systematically falling mortality rates, can now be observed in a number of economies, including most of developed countries. Its economic consequences are expected to be significant. First of all, an increase in the old-age dependency ratio (the ratio of dependents to the working-age population) negatively affects public finance, raising concerns about fiscal sustainability and making pension system reforms inevitable for an increasing number of countries. Second, as individual household characteristics, such as productivity or propensity to save, vary over the life-cycle, changes in the age structure of the population affect many macroeconomic variables, including aggregate production, consumption and domestic assets. As population aging also influences the level of public debt and the real interest rate, it is important for the monetary policy decisions. Finally, demographic transition has redistributive consequences, i.e. it affects income, consumption and assets inequalities. The challenges related to population aging are very valid for the Polish economy. Similarly to other developed countries, demographic projections for Poland assume falling trends in mortality rates for the next decades. In addition, the Polish fertility rate has significantly declined and is currently well below the replacement level. The observed decrease in births was accompanied by a rising share of students among young high-school graduates, which translated into an increase in well-educated young workers. Since education is positively correlated with productivity, the educational transition should have a positive impact on output per capita and thus help mitigate negative effects of demographic change. The main objective of this study is to examine the macroeconomic consequences of lower fertility and educational change in Poland, with a particular emphasis on their distributional effects. To this end, a general equilibrium model with heterogeneous agents and incomplete financial markets was developed and calibrated. This class of models allows to study general equilibrium effects, such as adjustments in relative prices or fiscal consequences of individual decisions, in an economy populated by a large number of households in different age cohorts. So far, population aging in Poland has not been analyzed using this approach, making this study the first study to estimate the expected changes in inequality between Polish households within a general equilibrium framework. Additionally, although a decline in fertility and an increase in educational attainment often occur simultaneously, research that quantifies their macroeconomic effects is very scarce. In this study, the same model is used to examine the impact of changes in education, a decrease in the fertility rate, and the total impact of both processes, which ensures comparability of the results for each of these scenarios. For an analysis like this, it is essential to correctly model the life-cycle income and consumption patterns. This study uses household-level data from the Polish Consumer Budget Survey and obtains the following results. First, the average household income and its variance stop growing relatively early in the life cycle. Second, the shape of the empirical variance profile indicates less persistence of an individual income process in Poland compared to that observed in developed economies for which such evidence is available, which is mainly the United States. Third, past earnings affect current income more strongly in the group of more educated individuals. The model simulations show that the process of population aging and educational change that is currently occurring in Poland will have a significant impact on the Polish economy and economic situation of households. In general, the positive effect of increased productivity due to educational change should more than offset the negative consequences of falling fertility on GDP per capita. However, if one also takes into account higher average life expectancy, the net effect becomes clearly negative. As a result of all of these changes, an increase in the pension contribution rate will be needed to keep the replacement rate unchanged, which will lower consumption of both educated and less educated individuals. Demographic and educational transition will also increase income inequality, while the distribution of assets will become slightly more equal.

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Huang, Po-Fu, et 黃柏富. « Application of the Heterogeneous Agent Model : the Case of the Taiwanese Stock Market ». Thesis, 2012. http://ndltd.ncl.edu.tw/handle/33061649269527333039.

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碩士
國立中山大學
財務管理學系研究所
100
Taiwanese stock market. The results suggest that there exist two heterogeneous agents in Taiwanese stock market, α-investors behaving as long-term contrarian and β-investor behaving as short-term momentum traders. To depict in detail the practical financial market, this research empirically tests HAM with different fundamental values (measured by the moving average price in different rolling windows) across different investment frequencies (daily, weekly and monthly). The result suggests that α-investors (fundamentalists) expect prices to deviate from the short-term moving average but mean revert to long-term moving average. Beta investors (chartists) act as momentum traders in daily and monthly frequency, but short-term contrarian in weekly frequency. In addition, this study tests whether the parameters in HAM can explain some characteristics of crashes and bubbles. The result suggests that there are different investor behaviors in Asian, Dotcom, and Subprime crashes. By comparing the parameters (α, β, and γ) of each individual stock, the study finds that stocks with contrarian α-investors and short-term momentum β-investors acting as short-term momentum traders have more volatile price pattern. As to crashes and individual stock volatility, the result suggests that sudden crashes (abrupt price decline) tend to occur in the stocks with short-term momentum traders, and while general crash (longterm economic cycle) tend to occur in the stocks with long-term contrarian investors. Stocks with larger Gamma, proxy for uncertainty, tends to have general crash only when α-investors acting as contrarian and β-investors acting as momentum traders.

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Kukačka, Jiří. « Behaviorální změny v modelu s heterogenními agenty ». Master's thesis, 2011. http://www.nusl.cz/ntk/nusl-298568.

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This thesis merges the fields of Heterogeneous Agent Models (HAMs) and Be- havioural Finance in order to bridge the main deficiencies of both approaches and to examine whether they can complement one another. Our approach suggests an alternative tool for examining HAM price dynamics and brings an original way of dealing with problematic empirical validation. First, we present the original model and discuss various extensions and attempts at empirical estimation. Next, we develop a unique benchmark dataset, covering five par- ticularly turbulent U.S. stock market periods, and reveal an interesting pattern in this data. The main body applies a numerical analysis of the HAM extended with the selected Behavioural Finance findings: herding, overconfidence, and market sentiment. Using Wolfram Mathematica we perform Monte Carlo sim- ulations of a developed algorithm. We show that the selected findings can be well modelled via the HAM and that they extend the original HAM consider- ably. Various HAM modifications lead to significantly different results and HAM is also able to partially replicate price behaviour during turbulent stock market periods. Bibliographic Record Kukačka, J. (2011): Behavioural Breaks in the Heterogeneous Agent Model. Master thesis, Charles University in Prague, Faculty of Social Sciences,...

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