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COMPLEX DYNAMICS AND FINANCIAL FRAGILITY IN AN AGENT-BASED MODEL

Mauro Gallegati, Gianfranco Giulioni (giulioni@dea.unian.it) and Nozomi Kichiji (nkichiji@d9.dion.ne.jp)
Additional contact information
Gianfranco Giulioni: Department of Economics, University of Ancona, Piazzale Martelli, 8, Ancona, 60121, Italy
Nozomi Kichiji: Graduate School of Economics, Hokkaido University, Kita 9 Nishi 7, Kita-Ku, Sapporo, 060-0809, Japan

Advances in Complex Systems (ACS), 2003, vol. 06, issue 03, 267-282

Abstract: We model an agent-based economy in which heterogeneous agents (firms and a bank) interact in the financial markets. The heterogeneity is due to the balance sheet conditions and to size. In our simulations, at the aggregate level, output displays changes in trend and volatility giving rise to complex dynamics. The average solvency and liquidity ratios peak during recessions as empirical analysis shows. At the firm level the model generates: (i) firm sizes left-skewed distributed, (ii) growth rates Laplace distributed. Furthermore, small idiosyncratic shocks can generate large aggregate fluctuations.

Keywords: Complex macroeconomic dynamics; financial fragility; agent based simulation (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (8)

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Working Paper: Complex Dynamics and Financial Fragility in an Agent Based Model (2010) Downloads
Working Paper: Complex Dynamics and Financial Fragility in an Agent Based Model (2003)
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DOI: 10.1142/S0219525903000888

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