Network Calibration and Metamodeling of a Financial Accelerator Agent Based Model

Posted: 10 Jan 2016 Last revised: 20 May 2019

See all articles by Leonardo Bargigli

Leonardo Bargigli

University of Florence - Department of Economics and Management

Luca Riccetti

Università degli Studi di Macerata

Alberto Russo

Università Politecnica delle Marche, Ancona - Department of Management

Mauro Gallegati

Università Politecnica delle Marche - Faculty of Economics

Date Written: June 1, 2017

Abstract

We introduce a financially constrained production framework in which heterogeneous firms and banks entertain 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. Then, we 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 most fitting metamodels, we study through sensitivity analysis the effects on the moments of variations of the parameters. Finally, we employ the same approach to calibrate our agent-based model (ABM) with Japanese data, showing that metamodels can provide a clear-cut answer to the question "does the ABM replicate empirical data?"

Keywords: agent based models, credit networks, financial fragility, metamodel, calibration

JEL Classification: C15, C52, C63, E32, E37

Suggested Citation

Bargigli, Leonardo and Riccetti, Luca and Russo, Alberto and Gallegati, Mauro, Network Calibration and Metamodeling of a Financial Accelerator Agent Based Model (June 1, 2017). Available at SSRN: https://ssrn.com/abstract=2712715 or http://dx.doi.org/10.2139/ssrn.2712715

Leonardo Bargigli (Contact Author)

University of Florence - Department of Economics and Management ( email )

via delle Pandette 32
Florence, Florence 50127
Italy

Luca Riccetti

Università degli Studi di Macerata ( email )

via Crescimbeni
Macerata
Italy

HOME PAGE: http://docenti.unimc.it/luca.riccetti

Alberto Russo

Università Politecnica delle Marche, Ancona - Department of Management ( email )

Piazzale Martelli, 8
60121 Ancona
Italy

Mauro Gallegati

Università Politecnica delle Marche - Faculty of Economics ( email )

Piazzale Martelli, 8
60121 Ancona
Italy
++390712207188 (Phone)
++390712207102 (Fax)

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