The aim of this paper is to investigate the relationship between increasing inequality and financial fragility in an agent based macroeconomic model. We analyse the effects of a non-linear relationship between wealth and consumption on the evolution of the economic system. Preliminary results...

We explore the dynamics of default cascades in a network of credit interlinkages in which each agent is at the same time a borrower and a lender. When some counterparties of an agent default, the loss she experiences amounts to her total exposure to those counterparties. A possible conjecture in...

Borrowing from our experience in agent-based computational economic research from `bottom-up', this paper considers economic system as multi-level dynamical system that micro-level agents' interaction leads to structural transition in meso-level, which results in macro-level market dynamics with...

We analyze the average size distribution of a pool of the G7 group's firms over the period 1987–2000. In particular, firm sizes are measured employing different proxies, and after conditioning on business cycle phases. We find that: (i) the empirical distributions are all consistent with a...

In this paper we present the basics of a research program aimed at providing microfoundations to macroeconomic theory on the basis of computational agentbased adaptive descriptions of individual behavior. To exemplify our proposal, a simple prototype model of decentralized multi-market...

The firmly established evidence of right-skewness of the firms’ size distribution is generally modelled recurring to some variant of the Gibrat’s Law of Proportional Effects. In spite of its empirical success, this approach has been harshly criticized on a theoretical ground due to its lack...

In this paper we use the BDS test developed by Brock-Dechert-Scheinkman (1987) to investigate whether ARMA Models for the US real GNP generate i.i.d. residuals. The second step,after reviewing some results from Brock-Sayer (1988) and Scheinkman-LeBaron (1989), SL, we will use a different kind of...