In this paper we build an agent-based model based on a threefold financial accelerator: (i) leverage accelerator - negative shocks on firms' output make banks less willing to loan funds, and firms less willing to make investments, hence a credit reduction follows further reducing the output;...

The phenomenon of infrequent price changes has troubled economists for decades. Intuitively one feels that for most price-setters there exists a range of inaction, i.e. a substantial measure of the states of the world, within which they do not wish to modify prevailing prices. However, basic...

Within a standard framework à la Arrow-Debreu, we investigate the dynamics emerging from the interactions of heterogeneous households and firms that are adaptive price setters and financially constrained. We show that depending on the stringency of the financial constraints the model can settle...

We develop a simple agent-based financial market model in which heterogeneous speculators apply technical and fundamental analysis to trade in two different stock markets. Speculators׳ strategy/market selections are repeated at each time step and depend on predisposition effects, herding...

Within a general equilibrium framework à la (Long and Plosser, 1983), we investigate the dynamics emerging from the interactions of households and firms that are adaptive price setters and financially constrained. Adaptive price-setting behavior induces micro-founded out-of-equilibrium dynamics...

The imbalance pricing mechanism is an important design variable within European-type electricity balancing markets that determines the incentives given to so-called Balance Responsible Parties (BRPs) to balance their electricity production and consumption portfolio. To analyze the impact of...

This paper studies the effect of investor’s bounded rationality on market dynamics. In an order driven market, we consider a few-types model where two risky assets are exchanged. Agents differ by their behavior, knowledge, risk aversion and investment horizon. The investor’s demand is...

This paper analyses the effects of borrower-specific credit constraints on macroeconomic outcomes in an agent-based housing market model, calibrated using U.K. household survey data. We apply different Loan-to-Value (LTV) caps for different types of agents: first-time-buyers, second and...

This paper analyses the effects of borrower-specific credit constraints on macroeconomic outcomes in an agent-based housing market model, calibrated using U.K. household survey data. We apply different Loan-to-Value (LTV) caps for different types of agents: first-time-buyers, second and...

This paper explores the effects of trade credit by assessing its macroeconomic impacts on several dimensions. To that end, we develop an agent-based model (ABM) with two types of firms: downstream firms, which produce a final good for consumption purposes using intermediate goods, and upstream...