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.

Delli Gatti, D., Desiderio, S., Monetary policy experiments in an agent-based model with financial frictions, <<JOURNAL OF ECONOMIC INTERACTION AND COORDINATION>>, 2015; 10 (2): 265-286. [doi:10.1007/s11403-014-0123-7] [http://hdl.handle.net/10807/57007]

Monetary policy experiments in an agent-based model with financial frictions

Delli Gatti, Domenico;Desiderio, Saul
2015

Abstract

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.
2015
Inglese
Delli Gatti, D., Desiderio, S., Monetary policy experiments in an agent-based model with financial frictions, <<JOURNAL OF ECONOMIC INTERACTION AND COORDINATION>>, 2015; 10 (2): 265-286. [doi:10.1007/s11403-014-0123-7] [http://hdl.handle.net/10807/57007]
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10807/57007
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