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Journal Cover Journal of Economic Interaction and Coordination
  [SJR: 0.263]   [H-I: 12]   [0 followers]  Follow
   Hybrid Journal Hybrid journal (It can contain Open Access articles)
   ISSN (Print) 1860-7128 - ISSN (Online) 1860-711X
   Published by Springer-Verlag Homepage  [2355 journals]
  • Voting for the distribution rule in a Public Good Game with heterogeneous
    • Authors: Annarita Colasante; Alberto Russo
      Pages: 443 - 467
      Abstract: This paper analyzes the impact of inequality in the distribution of endowments on cooperation. We conduct a lab experiment using a dynamic Public Good Game to test this relation. We introduce the possibility of choosing among three different redistribution rules: Equidistribution, Proportional to contribution and Progressive to endowment. This novelty in a dynamic environment allows us to analyze how the inequality within groups changes according to individual choices and to investigate if players show inequity averse preferences. Results show that inequality has a negative impact on individual contribution. Players act in order to reduce the initial exogenous inequality. Indeed, in the Treatment with the highest level of inequality, agents vote for reducing the endowment heterogeneity. Moreover, individual contribution is strongly influenced by others’ contributions.
      PubDate: 2017-10-01
      DOI: 10.1007/s11403-016-0172-1
      Issue No: Vol. 12, No. 3 (2017)
  • Complexity and model comparison in agent based modeling of financial
    • Authors: Alexandru Mandes; Peter Winker
      Pages: 469 - 506
      Abstract: Agent based models of financial markets follow different approaches and might be categorized according to major building blocks used. Such building blocks include agent design, agent evolution and the price finding mechanism. The performance of agent based models in matching key features of real market processes depends on how these building blocks are selected and combined. For model comparison, both measures of model fit and model complexity are required. Some suggestions are made on how to measure complexity of agent based models. An application for the foreign exchange market illustrates the potential of this approach.
      PubDate: 2017-10-01
      DOI: 10.1007/s11403-016-0173-0
      Issue No: Vol. 12, No. 3 (2017)
  • Monetary policy and dark corners in a stylized agent-based model
    • Authors: Stanislao Gualdi; Marco Tarzia; Francesco Zamponi; Jean-Philippe Bouchaud
      Pages: 507 - 537
      Abstract: We extend in a minimal way the stylized macroeconomic Agent-Based model introduced in our previous paper (Gualdi et al. in J Econ Dyn Control 50:29–61, 2015a), with the aim of investigating the role and efficacy of monetary policy of a ‘Central Bank’ that sets the interest rate such as to steer the economy towards a prescribed inflation and employment rate. Our major finding is that provided its policy is not too aggressive (in a sense detailed in the paper) the Central Bank is successful in achieving its goals. However, the existence of different equilibrium states of the economy, separated by phase boundaries (or “dark corners”), can cause the monetary policy itself to trigger instabilities and be counter-productive. In other words, the Central Bank must navigate in a narrow window: too little is not enough, too much leads to instabilities and wildly oscillating economies. This conclusion strongly contrasts with the prediction of DSGE models.
      PubDate: 2017-10-01
      DOI: 10.1007/s11403-016-0174-z
      Issue No: Vol. 12, No. 3 (2017)
  • Heterogeneity of expectations and financial crises: a stochastic dynamic
    • Authors: Toshihiro Shimizu
      Pages: 539 - 560
      Abstract: This study provides a heterogeneous agent-based microfoundation to the concept of “liquidity trap” with a binary choice model, in which an economic agent stochastically changes her decisions. The transition rates from one state to the other vary, depending on the degree of diversity in expectations. Applying this model to the money/bond choice, this study seeks to derive the money demand function proposed by Keynes and analyze how the heterogeneity of expectations affects it. The model demonstrates that money holding becomes relatively advantageous as the proportion of money holders increases and that such a situation could bring about multiple equilibria. Through comparative statics, this study finds that the heterogeneity of expectations plays a crucial role for existence of multiple equilibria. Demonstrating that a financial crisis is a leap from one equilibrium to the other, the model helps to explain the recent crisis and offers practical implications for monetary policies. In particular, in analyzing the influences of heterogeneous expectations on the economy, this study uncovered an interesting fact that unconventional monetary policies work better than conventional ones in fighting against crises induced by a flight to liquidity.
      PubDate: 2017-10-01
      DOI: 10.1007/s11403-016-0175-y
      Issue No: Vol. 12, No. 3 (2017)
  • Multiscale correlation networks analysis of the US stock market: a wavelet
    • Authors: Gang-Jin Wang; Chi Xie; Shou Chen
      Pages: 561 - 594
      Abstract: We investigate the interaction among stocks in the US market over various time horizons from a network perspective. Unlike the high-frequency data-driven multiscale correlation networks used in previous works, we propose method-driven multiscale correlation networks that are constructed by wavelet analysis and topological methods of minimum spanning tree (MST) and planar maximally filtered graph (PMFG). Using these techniques, we construct MST and PMFG networks of the US stock market at different time scales. The key empirical results show that (1) the topological structures and properties of networks vary across time horizons, (2) there is a sectoral clustering effect in the networks at small time scales, and (3) only a part of connections in the networks survives from one time scale to the next. Our results in terms of MSTs and PMFGs for different time scales supply a new perspective for participants in financial markets, especially for investors or hedgers who have different investment or hedging horizons.
      PubDate: 2017-10-01
      DOI: 10.1007/s11403-016-0176-x
      Issue No: Vol. 12, No. 3 (2017)
  • The effect of communication channels on promise-making and
           promise-keeping: experimental evidence
    • Authors: Julian Conrads; Tommaso Reggiani
      Pages: 595 - 611
      Abstract: In modern organizations, new communication channels are reshaping the way in which people get in touch, interact and cooperate. This paper, adopting an experimental economics framework, investigates the effect of different communication channels on promise-making and promise-keeping in an organizational context. Inspired by Ellingsen and Johannesson (Econ J 114:397–420, 2004), five experimental treatments differ with respect to the communication channel employed to solicit a promise of cooperation, i.e., face-to-face, phone call, chat room, and two different sorts of computer-mediated communication. The more direct and synchronous (face-to-face, phone, chat room) the interpersonal interaction is, the higher the propensity of an agent to make a promise. Treatment effects, however, vanish if we then look at the actual promise-keeping rates across treatments, as more indirect channels (computer-mediated) do not perform statistically worse than the direct and synchronous channels.
      PubDate: 2017-10-01
      DOI: 10.1007/s11403-016-0177-9
      Issue No: Vol. 12, No. 3 (2017)
  • The effect of structural disparities on knowledge diffusion in networks:
           an agent-based simulation model
    • Authors: Matthias Mueller; Kristina Bogner; Tobias Buchmann; Muhamed Kudic
      Pages: 613 - 634
      Abstract: We apply an agent-based simulation approach to explore how and why typical network characteristics affect overall knowledge diffusion properties. To accomplish this task, we employ an agent-based simulation approach (ABM) which is based on a “barter trade” knowledge diffusion process. Our findings indicate that the overall degree distribution significantly affects a network’s knowledge diffusion performance. Nodes with a below-average number of links prove to be one of the bottlenecks for an efficient transmission of knowledge throughout the analysed networks. This indicates that diffusion-inhibiting overall network structures are the result of the myopic linking strategies of the actors at the micro level. Finally, we implement policy experiments in our simulation environment in order to analyse consequences of selected policy interventions. This complements previous research knowledge on diffusion processes in innovation networks.
      PubDate: 2017-10-01
      DOI: 10.1007/s11403-016-0178-8
      Issue No: Vol. 12, No. 3 (2017)
  • On the coevolution of social norms in primitive societies
    • Authors: Giorgio Negroni; Lidia Bagnoli
      Pages: 635 - 667
      Abstract: We study the evolutionary origin of a social norm of the kind “cooperate frequently and share fully” observed in modern hunter–gatherers. In order to do this, a two-stage game in which a pie has first to be produced and then divided is proposed. We assume that the bargaining rule is sensitive to investment behavior and to the degree of property rights protection. We show that, when a unique stochastically stable outcome exists, a norm of investment and a norm of division coevolve supporting the efficient investment profile and the egalitarian distribution of the surplus, respectively. The conditions needed for norms to coevolve depend on whether property rights over the fruits of one’s own independent investment are secured or not.
      PubDate: 2017-10-01
      DOI: 10.1007/s11403-016-0180-1
      Issue No: Vol. 12, No. 3 (2017)
  • Efficient coordination in the lab
    • Authors: Aurora García-Gallego; Penélope Hernández-Rojas; Amalia Rodrigo-González
      Abstract: We follow the example of Gossner et al. (Econometrica 74(6):1603–1636, 2006) in the design of a finitely repeated 2-player coordination game with asymmetric information. Player 1 and Player 2 and Nature simultaneously decide whether to play 0 or 1 and successful coordination requires that all actions coincide. Nature’s moves are known only by Player 1, while Player 2 observes only the history of Nature and Player 1. In such a theoretical set up, efficient transmission of information takes place when Player 1 uses block codification through signalling mistakes. With this in mind, we test coordination in the lab. We first model and establish the appropriate sequence length played by Nature and the block strategy for lab implementability. We show that the majority rule with 3-length is the optimal block codification for a 55-length sequence. Experimental data supports the main results of the original model with respect to the codification rule using signalling mistakes.
      PubDate: 2017-12-28
      DOI: 10.1007/s11403-017-0214-3
  • Exponential structure of income inequality: evidence from 67 countries
    • Authors: Yong Tao; Xiangjun Wu; Tao Zhou; Weibo Yan; Yanyuxiang Huang; Han Yu; Benedict Mondal; Victor M. Yakovenko
      Abstract: Economic competition between humans leads to income inequality, but, so far, there has been little understanding of underlying quantitative mechanisms governing such a collective behavior. We analyze datasets of household income from 67 countries, ranging from Europe to Latin America, North America and Asia. For all of the countries, we find a surprisingly uniform rule: income distribution for the great majority of populations (low and middle income classes) follows an exponential law. To explain this empirical observation, we propose a theoretical model within the standard framework of modern economics and show that free competition and Rawls’ fairness are the underlying mechanisms producing the exponential pattern. The free parameters of the exponential distribution in our model have an explicit economic interpretation and direct relevance to policy measures intended to alleviate income inequality.
      PubDate: 2017-12-27
      DOI: 10.1007/s11403-017-0211-6
  • Economics with heterogeneous interacting agents: a practical guide to
           agent-based modeling, Edited by Alessandro Caiani, Alberto Russo, Antonio
           Palestrini, Mauro Gallegati
    • Authors: Wei-Bin Zhang
      PubDate: 2017-12-21
      DOI: 10.1007/s11403-017-0213-4
  • Stagnation proofness in n -agent bargaining problems
    • Authors: Jaume García-Segarra; Miguel Ginés-Vilar
      Abstract: Some bargaining solutions may remain unchanged under any extension of a bargaining set which does not affect the utopia point, despite the fact that there is room to improve the utility of at least one agent. We call this phenomenon the stagnation effect. A bargaining solution satisfies stagnation proofness if it does not suffer from the stagnation effect. We show that stagnation proofness is compatible with the restricted version of strong monotonicity (Thomson and Myerson in Int J Game Theory 9(1):37–49, 1980), weak Pareto optimality, and scale invariance. The four axioms together characterize the family of the bargaining solutions generated by strictly-increasing paths ending at the utopia point (SIPUP-solutions).
      PubDate: 2017-12-20
      DOI: 10.1007/s11403-017-0212-5
  • Combining monetary policy and prudential regulation: an agent-based
           modeling approach
    • Authors: Michel Alexandre; Gilberto Tadeu Lima
      Abstract: This paper explores the interaction between monetary policy and prudential regulation in an agent-based modeling framework. Firms borrow funds from the banking system in an economy regulated by a central bank. The central bank carries out monetary policy, by setting the interest rate, and prudential regulation, by establishing the banking capital requirement. Different combinations of interest rate rule and capital requirement rule are evaluated with respect to both macroeconomic and financial stability. Several relevant policy implications were drawn. First, the efficacy of a given capital requirement rule or interest rate rule depends on the specification of the rule of the other type it is combined with. More precisely, less aggressive interest rate rules perform better when the range of variation of the capital requirement is narrower. Second, interest rate smoothing is more effective than the other interest rate rules assessed, as it outperforms those other rules with respect to financial stability and macroeconomic stability. Third, there is no tradeoff between financial and macroeconomic stability associated with a variation of either the capital requirement or the smoothing interest rate parameter. Finally, our results reinforce the cautionary finding of other studies regarding how output can be ravaged by a low inflation targeting.
      PubDate: 2017-12-11
      DOI: 10.1007/s11403-017-0209-0
  • A functional perspective on financial networks
    • Authors: Edoardo Gaffeo; Massimo Molinari
      Abstract: The financial sector is a critical component of any economic system, as it delivers key qualitative asset transformation services in terms of liquidity, maturity and volume. Although these functions could in principle be carried out separately by specialized actors, in the end it is their systemic co-evolution that determines how the aggregate economy performs and withstands disruptions. In this paper we argue that a functional perspective on financial intermediation can be usefully employed to investigate the functioning of financial networks. We do this in two steps. First, we use previously unreleased data to show that focusing on the economic functions performed over time by the different institutions exchanging funds in an interbank market can be informative, even if the underlying topological structure of their relations remains constant. Second, a set of alternative artificial histories are generated and stress-tested by using real data as a calibration base, with the aim of performing counterfactual welfare comparisons among different topological structures.
      PubDate: 2017-12-02
      DOI: 10.1007/s11403-017-0210-7
  • Empirical validation of simulated models through the GSL-div: an
           illustrative application
    • Authors: Francesco Lamperti
      Abstract: A major concern about the use of simulation models regards their relationship with the empirical data. The identification of a suitable indicator quantifying the distance between the model and the data would help and guide model selection and output validation. This paper proposes the use of a new criterion, called GSL-div and developed in Lamperti (Econ Stat, 2017., to assess the degree of similarity between the dynamics observed in the data and those generated by the numerical simulation of models. As an illustrative application, this approach is used to distinguish between different versions of the well known asset pricing model with heterogeneous beliefs proposed in Brock and Hommes (J Econ Dyn Control 22(8–9):1235–1274, 1998. Once the discrimination ability of the GSL-div is proved, model’s dynamics are directly compared with actual data coming from two major stock market indexes (EuroSTOXX 50 for Europe and CSI 300 for China). Results show that the model, once calibrated, is fairly able to track the evolution of both the two indexes, even though a better fit is reported for the Chinese stock market. However, I also find that many different combinations of traders’ behavioural rules are compatible with the same observed dynamics. Within this heterogeneity, an emerging common trait is found: to be empirically valid, the model has to account for a strong trend following component, which might either come from a unique trend type that heavily extrapolates information from past observations or the combinations of different types with milder, or even opposite, attitudes towards the trend.
      PubDate: 2017-11-20
      DOI: 10.1007/s11403-017-0206-3
  • Racial residential segregation in multiple neighborhood markets: a dynamic
           sorting study
    • Authors: Sheng Li; Kuo-Liang Chang; Lanlan Wang
      Abstract: Various degrees of residential segregation by income and race generally exist in U.S. cities. This study extends Sethi and Somanathan’s theoretical model (J Polit Econ 112:1296–1321, 2004) by presenting an agent-based sorting, repeated-game model to quantify the patterns of segregation from a broader perspective. Based on the belief that residential racial segregation is a probabilistic problem without assured results, a numerical model—calibrated to U.S. household income data—is proposed to examine residential segregation by income and racial preferences. Similar to the SimSeg model developed by Fosset (J Math Sociol 30:185–274, 2006a; J Math Sociol 35:114–145, 2011), the numerical model we construct is based on a simple format which also explores segregation dynamics. The simulation results exhibit various degrees of segregation probability in a hypothetical three-neighborhood scenario. It also reveals that although income plays an important role, racial consciousness—the measurement of an agent’s attitude toward the racial composition of the neighborhood—is the dominant factor in determining residential segregation.
      PubDate: 2017-11-16
      DOI: 10.1007/s11403-017-0207-2
  • Does a central clearing counterparty reduce liquidity needs'
    • Authors: Hitoshi Hayakawa
      Abstract: This study investigates whether and how central clearing influences the overall liquidity needs in a network of financial obligations. Utilizing the approach of flow network theory, we show that the effect of adding a central clearing counterparty (CCP) is decomposed into two effects: central routing, and central netting effects. Each effect can produce different liquidity needs according to different liquidity scenarios. The analysis indicates that adding a CCP in times of financial distress successfully reduces the overall liquidity needs if and only if the netting efficiency of the CCP is sufficiently high. Furthermore, once the economy is no longer in financial distress, higher netting efficiency of the CCP could conversely increase the overall liquidity needs. The results have implications for the effectiveness of CCPs in mitigating systemic risk in times of financial distress, and their operating costs once the distress has passed.
      PubDate: 2017-11-16
      DOI: 10.1007/s11403-017-0208-1
  • Asset diversification and systemic risk in the financial system
    • Authors: Yichen Zhou; Honggang Li
      Abstract: In this study, we have developed a complex network system from the obligation links among banks and links created by portfolio overlaps to simulate the behavior of the financial system. In the network system, we adopt a dynamic allocation mechanism of liquidity to cope with external shocks of liquidity to the bank system. This dynamic mechanism introduces a reinforcing feedback that represents the cycle of assets and liabilities, emphasizing the effect of asset diversification (interbank and external asset diversification). Our results show that the financial system is “robust-yet-fragile” with asset diversification: for small external liquidity shocks, both interbank and external asset diversification can contribute to reducing individual risk and stabilizing the system, whereas for large liquidity shocks, high diversification amplifies the initial impact and destabilizes the entire system. In other words, high diversification can promote liquidity allocation and risk sharing in normal times but amplify the initial shock and engender endogenous systemic crisis in times of distress. This result indicates that diversification is a trade-off between individual risk and systemic risk and is a double-sided sword to risk management of the financial system.
      PubDate: 2017-11-05
      DOI: 10.1007/s11403-017-0205-4
  • Emergence of anti-coordination through reinforcement learning in
           generalized minority games
    • Authors: Anindya S. Chakrabarti; Diptesh Ghosh
      Abstract: In this paper we propose adaptive strategies to solve coordination failures in a prototype generalized minority game model with a multi-agent, multi-choice environment. We illustrate the model with an application to large scale distributed processing systems with a large number of agents and servers. In our set up, agents are assigned responsibility to complete tasks that require unit time. They request servers to process these tasks. Servers can process only one task at a time. Agents have to choose servers independently and simultaneously, and have access to the outcomes of their own past requests only. Coordination failure occurs if more than one agent simultaneously requests the same server to process tasks at the same time, while other servers remain idle. Since agents are independent, this leads to multiple coordination failures. In this paper, we propose strategies based on reinforcement learning that minimize such coordination failures. We also prove a null result that a large category of probabilistic strategies which attempts to combine information about other agents’ strategies, asymptotically converge to uniformly random choices over the servers.
      PubDate: 2017-10-20
      DOI: 10.1007/s11403-017-0204-5
  • A note on the relationship between the total factor productivity and the
           network of firms
    • Authors: Antonio Palestrini; Enrico Guzzini
      Abstract: In this paper we study the robustness of the results found recently by Guzzini and Palestrini (J Econ Interact Coord 11:35–55, 2016). Since the original analysis was carried out in a static setting, we perform a dynamic panel analysis by using the same dataset. The inclusion of the lagged value of the endogenous variable, missing in the original paper, could be justified for several reasons. Firstly, the statistical relationship may have itself a dynamical nature; secondly the inclusion of lagged-endogenous variable is a way to mitigate the possibility of an omitted variable problem. We find that the results are only qualitatively the same, and we discuss the quantitative differences.
      PubDate: 2017-10-06
      DOI: 10.1007/s11403-017-0203-6
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Heriot-Watt University
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