MONETARY POLICY TRANSMISSION in A MACROECONOMIC AGENT-BASED MODEL

Joeri Schasfoort; Antoine Godin; DIrk Bezemer; Alessandro Caiani; Stephen Kinsella

doi:10.1142/S0219525918500030

MONETARY POLICY TRANSMISSION in A MACROECONOMIC AGENT-BASED MODEL

Joeri Schasfoort
, Antoine Godin
, DIrk Bezemer
, Alessandro Caiani
, Stephen Kinsella

University of Groningen
Agence Francaise de Developpement
CNRS
Marche Polytechnic University

Research output: Contribution to journal › Article › peer-review

Abstract

In this paper we explore the variety of monetary policy transmission channels in an agent-based macroeconomic model. We identify eight transmission channels and present a model based on [Caiani et al., J. Econ. Dyn. Contr. 69 (2016) 375-480], extended with an interbank market. We then analyze model simulation results of interest rate shocks in terms of GDP and inflation for four of the transmission channels. We find these effects to be small, in line with the view that monetary policy is a weak tool to control inflation.

Original language	English
Article number	1850003
Journal	Advances in Complex Systems
Volume	20
Issue number	8
DOIs	https://doi.org/10.1142/S0219525918500030
Publication status	Published - 1 Dec 2017

UN SDGs

This output contributes to the following UN Sustainable Development Goals (SDGs)

SDG 17 Partnerships for the Goals

Keywords

Agent-based modeling
inflation
monetary policy transmission
stock flow consistent modeling

Access to Document

10.1142/S0219525918500030

Cite this

@article{9351d5496b934f8eb916b92c05756033,

title = "MONETARY POLICY TRANSMISSION in A MACROECONOMIC AGENT-BASED MODEL",

abstract = "In this paper we explore the variety of monetary policy transmission channels in an agent-based macroeconomic model. We identify eight transmission channels and present a model based on [Caiani et al., J. Econ. Dyn. Contr. 69 (2016) 375-480], extended with an interbank market. We then analyze model simulation results of interest rate shocks in terms of GDP and inflation for four of the transmission channels. We find these effects to be small, in line with the view that monetary policy is a weak tool to control inflation.",

keywords = "Agent-based modeling, inflation, monetary policy transmission, stock flow consistent modeling",

author = "Joeri Schasfoort and Antoine Godin and DIrk Bezemer and Alessandro Caiani and Stephen Kinsella",

note = "Publisher Copyright: {\textcopyright} 2017 World Scientific Publishing Company.",

year = "2017",

month = dec,

day = "1",

doi = "10.1142/S0219525918500030",

language = "English",

volume = "20",

journal = "Advances in Complex Systems",

issn = "0219-5259",

number = "8",

}

TY - JOUR

T1 - MONETARY POLICY TRANSMISSION in A MACROECONOMIC AGENT-BASED MODEL

AU - Schasfoort, Joeri

AU - Godin, Antoine

AU - Bezemer, DIrk

AU - Caiani, Alessandro

AU - Kinsella, Stephen

PY - 2017/12/1

Y1 - 2017/12/1

N2 - In this paper we explore the variety of monetary policy transmission channels in an agent-based macroeconomic model. We identify eight transmission channels and present a model based on [Caiani et al., J. Econ. Dyn. Contr. 69 (2016) 375-480], extended with an interbank market. We then analyze model simulation results of interest rate shocks in terms of GDP and inflation for four of the transmission channels. We find these effects to be small, in line with the view that monetary policy is a weak tool to control inflation.

AB - In this paper we explore the variety of monetary policy transmission channels in an agent-based macroeconomic model. We identify eight transmission channels and present a model based on [Caiani et al., J. Econ. Dyn. Contr. 69 (2016) 375-480], extended with an interbank market. We then analyze model simulation results of interest rate shocks in terms of GDP and inflation for four of the transmission channels. We find these effects to be small, in line with the view that monetary policy is a weak tool to control inflation.

KW - Agent-based modeling

KW - inflation

KW - monetary policy transmission

KW - stock flow consistent modeling

UR - https://www.scopus.com/pages/publications/85044479097

U2 - 10.1142/S0219525918500030

DO - 10.1142/S0219525918500030

M3 - Article

AN - SCOPUS:85044479097

SN - 0219-5259

VL - 20

JO - Advances in Complex Systems

JF - Advances in Complex Systems

IS - 8

M1 - 1850003

ER -

MONETARY POLICY TRANSMISSION in A MACROECONOMIC AGENT-BASED MODEL

Abstract

UN SDGs

Keywords

Access to Document

Other files and links

Fingerprint

Cite this