TY - JOUR
T1 - Monetary policy experiments in an agent-based model with financial frictions
AU - Delli Gatti, Domenico
AU - Desiderio, Saul
PY - 2015
Y1 - 2015
N2 - Macroeconomic agent based models have been around for at least a decade,
and they have been remarkably successful in replicating many empirical “stylized
facts”. Only a handful of papers, however, has explored the effects of monetary policy.
In this paper we present an agent-based macroeconomic model where the interplay
between credit market conditions and firms’ balance sheets is key in the determination
of endogenous fluctuations. We use the model as a simulation platform by which we
perform several experiments of monetary policy. Simulations showed a clear nonneutrality of monetary policy, which finds its transmission mechanism in the credit channel. Besides, we also evaluated the performance of a monetary Authority whose reaction function was modelled according to a standard Taylor rule, which turns out
to be quite successful as an effective macro-stabilization tool.
AB - Macroeconomic agent based models have been around for at least a decade,
and they have been remarkably successful in replicating many empirical “stylized
facts”. Only a handful of papers, however, has explored the effects of monetary policy.
In this paper we present an agent-based macroeconomic model where the interplay
between credit market conditions and firms’ balance sheets is key in the determination
of endogenous fluctuations. We use the model as a simulation platform by which we
perform several experiments of monetary policy. Simulations showed a clear nonneutrality of monetary policy, which finds its transmission mechanism in the credit channel. Besides, we also evaluated the performance of a monetary Authority whose reaction function was modelled according to a standard Taylor rule, which turns out
to be quite successful as an effective macro-stabilization tool.
KW - AGENT BASED MODELS
KW - AGENT BASED MODELS
UR - http://hdl.handle.net/10807/57007
U2 - 10.1007/s11403-014-0123-7
DO - 10.1007/s11403-014-0123-7
M3 - Article
SN - 1860-711X
VL - 10
SP - 265
EP - 286
JO - Journal of Economic Interaction and Coordination
JF - Journal of Economic Interaction and Coordination
ER -