The Future of Agent-Based Modeling

In this paper, I elaborate on the role of agent-based (AB) modeling for macroeconomic research. My main tenet is that the full potential of the AB approach has not been realized yet. This potential lies in the modular nature of the models, which is bought by abandoning the straitjacket of rational expectations and embracing an evolutionary perspective. I envisage the foundation of a Modular Macroeconomic Science, where new models with heterogeneous interacting agents, endowed with partial information and limited computational ability, can be created by recombining and extending existing models in a unified computational framework

A systematic approach to bi-directionally non-linearly coupled systems design for the generation of complex dynamical behaviors

In this paper, a procedure to design a class of coupled systems that exhibit complex behaviours is presented. The proposed method is rigorously and systematically applicable to any dynamic system with nonlinear polynomial elements. Starting from two identical nonlinear algebraic systems, the proposed approach determines a proper bidirectional coupling that is able to force the coupled systems to exhibit complex behaviours. The coupling strength permits to control bifurcations of the system, i.e., to move through different regions of the parameter space, characterized by different complex behaviours of the system. Among the analyzed complex phenomena (generalized synchronization, blowout bifurcation, on–off intermittency and hyperchaos) a particular relevance is given to hyperchaotic behaviour. Moreover the basic design principle is demonstrated by means of proper examples

Balance sheet approach to agent-based computational economics: the EURACE project

Handling carefully monetary and real flows, given by agents’ behaviors and interactions, is a key requirement when dealing with complex economic models populated by a high number of agents. The paper shows how the stock-flows consistency issue has been faced in the EURACE model, by considering a dynamic balance sheet approach for modeling and validation purposes

Credit allocation and the financial crisis: evidence from Spanish companies

The worldwide financial crisis of 2007-2008 raised serious concerns about the soundness of banks' activities and about the extent to which banking regulation should supervise banks' investment decisions. We contribute to this topic by examining the Spanish case, which has been emblematic of the bubble and burst dynamics in the credit market. In particular, we study the allocation of bank credit among Spanish companies from 1999 to 2014, showing that larger companies accumulated greater amounts of bank loans per unit of total assets, thus leading to a notable concentration. We also find that, during the Spanish boom period, bank loans shifted from the manufacturing to the construction industry, and in particular to the largest companies of the latter sector. This happened in spite of the high leverage of large construction firms, which was increasing also due to their growing debt. We argue that the higher operating benefits, reflecting the increase of the housing price during the boom period, overvalued construction firms as potential borrowers. The bankruptcy of several large construction companies during the Spanish crisis supports the need for monitoring and regulation, to avoid an excessive concentration of bank credit to a few large companies, especially if they belong to a specific sector