Authors
Leonardo Bargigli, Luca Riccetti, Alberto Russo, Mauro Gallegati
Publication date
2020/4
Journal
Journal of Economic Interaction and Coordination
Volume
15
Issue
2
Pages
413-440
Publisher
Springer Berlin Heidelberg
Description
We introduce a simple financially constrained production framework in which heterogeneous firms and banks maintain multiple credit connections. The parameters of credit market interaction are estimated from real data in order to reproduce a set of empirical regularities of the Japanese credit market. We then pursue the metamodeling approach, i.e. we derive a reduced form for a set of simulated moments through the following steps: (1) we run agent-based simulations using an efficient sampling design of the parameter space ; (2) we employ the simulated data to estimate and then compare a number of alternative statistical metamodels. Then, using the best fitting metamodels, we study through sensitivity analysis the effects on h of variations in the components of . Finally, we employ the same approach to calibrate our agent-based model (ABM) with Japanese data. Notwithstanding the fact …
Total citations
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Scholar articles
L Bargigli, L Riccetti, A Russo, M Gallegati - Journal of Economic Interaction and Coordination, 2020