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2022-03-22
摘要翻译:
我们提出了一个基于宏观经济主体的模型,该模型结合了在同一时间尺度上运行的几种机制,同时保持了数学上的可处理性。它包括在就业市场和商品市场中竞争的企业和工人。该模型具有库存-流量一致性;银行贷款收取利率,并跟踪股票。该模型的重要特征是企业的异质性、破产和新企业的存在以及生产率的提高。模型的演变再现了经验发现的企业规模和增长率分布的规律性。它结合了概率元素和确定性动态,相对权重可以根据考虑的问题或建模者的信念进行修改。我们讨论了企业的统计规律,系统稳态内生波动的起源和幅度,以及利率和信贷总量的作用。我们还总结了本文未详细讨论的结果。
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英文标题:
《Heterogeneous Enterprises in a Macroeconomic Agent-Based Model》
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作者:
Cornelia Metzig and Mirta Gordon
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最新提交年份:
2012
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分类信息:

一级分类:Quantitative Finance        数量金融学
二级分类:General Finance        一般财务
分类描述:Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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一级分类:Physics        物理学
二级分类:Physics and Society        物理学与社会
分类描述:Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体(人类或其他)的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统(如能源网、运输网络)的物理和工程。
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英文摘要:
  We present a macroeconomic agent-based model that combines several mechanisms operating at the same timescale, while remaining mathematically tractable. It comprises enterprises and workers who compete in a job market and a commodity goods market. The model is stock-flow consistent; a bank lends money charging interest rates, and keeps track of equities. Important features of the model are heterogeneity of enterprises, existence of bankruptcies and creation of new enterprises, as well as productivity increase. The model's evolution reproduces empirically found regularities for firm size and growth rate distributions. It combines probabilistic elements and deterministic dynamics, with relative weights that may be modified according to the considered problem or the belief of the modeler. We discuss statistical regularities on enterprises, the origin and the amplitude of endogeneous fluctuations of the system's steady state, as well as the role of the interest rate and the credit volume. We also summarize obtained results which are not discussed in detail in this paper.
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PDF链接:
https://arxiv.org/pdf/1211.5575
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