Economics at your fingertips  

Modeling GDP fluctuations with agent-based model

Zhuang Chu, Biao Yang, Chang Yong Ha and Kwangwon Ahn

Physica A: Statistical Mechanics and its Applications, 2018, vol. 503, issue C, 572-581

Abstract: This paper offers a new approach to calibrating parameters of an agent-based model proposed by Ormerod (2002) and conducts a comparative analysis of the US and Chinese business cycles for the period 1993–2014 using annual percentage changes in real gross domestic product. Depending on the underlying conditions of the system, the agent-based model is transformed to a damped pendulum, or a forced damped pendulum, through which we get the analytical solutions. These analytical solutions stipulate the speed of recovery from external shocks and the length of a business cycle. After pinning down two parameters in the analytical solutions, we calibrate the model using the Bayesian estimation technique. Our calibration approach captures the fundamental features of the economic fluctuations reasonably well. In particular, we find that the Chinese economy is more volatile and less persistent than the US economy: China has a shorter average duration of business cycles and recovers faster from external shocks; and the two countries move synchronously.

Keywords: GDP fluctuation; Agent-based model; Analytical solution (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link)
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this article

Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

Page updated 2019-01-19
Handle: RePEc:eee:phsmap:v:503:y:2018:i:c:p:572-581