Dynamic Aggregation in a Model with Heterogeneous ：在一个模型的异构动态聚合.pptVIP

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Dynamic Aggregation in a Model with Heterogeneous ：在一个模型的异构动态聚合.ppt

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Dynamic Aggregation in a Model with Heterogeneous ：在一个模型的异构动态聚合

Dynamic Aggregation in a Model with Heterogeneous Interacting Agents in a Self-Evolving Network C. Di Guilmi, M. Gallegati, S. Landini, and J. E. Stiglitz Eastern Economic Association February, 2011 Objectives To construct a model with Heteregeneous Interacting Agents (HIA) taking into account constraints/behavior resulting from asymmetric information Focusing on networks created endogenously as firms get linked with banks Examining the structure and stability of those networks—looking at macro-economic consequences Using both simulation models and analytic techniques The Model Based on Greenwald-Stiglitz (1993) where asymmetries of information lead to constraints in financial markets so that Firm borrowing is limited by net worth Costly to raise additional equity Random outcomes (prices received) of individual firms lead to random evolution of firm net worth Bank/firm relationship Banks are modeled as firms (as in Greenwald-Stiglitz (New Paradigm for Monetary Economics, 2003) whose willingness and ability to lend is affected by their net worth Each non-self-financing (NSF) firm borrows from a single bank Based on based offer received in a random search Offers based on firm and bank’s economic situation Net worth of bank evolves as firms repay loans and/or go into default When banks default, firms have to find new lender If firm net worth becomes large enough, it becomes self-financing (SF) Linkages and networks Firms that are dependent on same bank are linked together Failure of bank affects all of them Forced to look for another bank—pay higher interest rate Failure of one firm in the network worsens bank’s financial position, forces bank to increase interest rate, increases probability of other firms in network going bankrupt Interdependence created through “supply” side (net worth, financial constraints). Future work will model further interdependence through demand side (demand for labor, profits, affected by evolution of net worth) Results Model exhibits