432 research outputs found
Validation in ACE Models. An Investigation on the CATS Model
No full textIn this paper we deal with some validation experiments on the complex adaptive trivial system (CATS) model proposed in
Gallegati et al. [Gallegati, M., Giulioni, G., Palestrini, A., Delli Gatti, D., 2003a. Financial fragility, patterns of firms’ entry and exit
and aggregate dynamics. Journal of Economic Behavior and Organization 51, 79–97; Gallegati, M., Delli Gatti, D., Di Guilmi, C.,
Gaffeo, E., Giulioni, G., Palestrini, A., 2005.Anewapproach to business fluctuations: heterogeneous interacting agents, scaling laws
and financial fragility. Journal of Economic Behavior and Organization 56, 489–512]. In particular starting from a sample of Italian
firms included in the AIDA database, we perform several ex post validation experiments over the simulation period 1996–2001. In
the experiments, the model parameters have been estimated using actual data and the initial set up consists of a sample of agents
in 1996. The CATS model is then simulated over the period 1996–2001. Using alternative validation techniques, the simulations’
results are ex post validated respect to the actual data
Long waves in prices: new evidence from wavelet analysis
No full textGallegati M, Gallegati M, Ramsey JB, Semmler W. Long waves in prices: new evidence from wavelet analysis. CLIOMETRICA. 2017;11(1):127-151.In this paper we apply wavelet analysis to study the dynamics of long-term movements in wholesale prices for the USA, the UK and France over the period 1791-2012. The application of wavelet analysis to long-term historical price series allows us to detect long waves in prices whose periodization is remarkably similar to those provided in the literature for the pre-World War II period. Moreover, we find evidence on the existence of long waves in prices also after World War II, a period in which long waves are generally difficult to detect because of the positive trend displayed by prices. The comparison between the long wave components extracted through wavelets and the Christiano-Fitzgerald band-pass filter suggests that wavelets provide a reliable and straightforward technique for analyzing long waves dynamics in time series exhibiting quite complex patterns such as historical data
Growth and cycles of the Italian economy since 1861: the new evidence
No full textBased on a newly-available large set of historical national accounts, the paper revisits the main features of economic growth and cycles in Italy for the post-Unification period 1861-2011. Alongside the structural changes in growth dynamics, the main sources of output and productivity growth are identified. As regards the analysis of the underlying cyclical component, a business cycle chronology is first established and then both the specific patterns of individual cycles and the co-movements of output with key macroeconomic variables are investigated. In the 150 years since its political Unification, Italy's economic growth was mainly propelled by consumption and investments, whereas on the supply side the industry and services sectors were by far the main contributors, also because of the positive effect of labour reallocation to nonfarm activities. Over the same period, Italy experienced approximately 20 business cycles of varying duration and amplitude. Output fluctuations were dominated by the short-term variability of agricultural production before World War II and by fluctuations of the industry sector thereafter. The cyclical behaviour exhibited by aggregate demand components conforms quite well to that evidenced in the standard international business cycle literature, although some exceptions arise in the pre-World War II years
Multiple attractors and business fluctuations in a nonlinear macro-model with equity rationing
No full textA stylized model of business fluctuations is developed, where investment and debt accumulation are responsible for the endogenous dynamics of income. Despite the simplicity of the model, the resulting nonlinear, two-dimensional discrete-time dynamical system displays a wide range of possible dynamic outcomes. If a key parameter, representing the propensity to invest, shifts exogenously from low to high values, a transition across qualitatively different long-run scenarios is observed, associated to different levels of economic activity. Moreover, coexistence of attractors and path-dependence characterize the dynamics for an intermediate range of such a parameter. The impact of exogenous disturbances on such situations results in aperiodic time series subject to unpredictable booms and slumps
Validation in agent-based models: An investigation on the CATS model
No full textAbstract: In this paper we deal with some validation experiments on the CATS model proposed in Gallegati et al. (2003a, 2004b).
The CATS model has been extensively used to replicate a large number of scaling type stylized facts with a remarkable degree of precision. For such purposes, the simulation of the model has been performed entering ad hoc parameter values and using the same initial set up for all the agents involved in the experiments.
Nowadays alternative robust and reliable validation techniques for determining whether the simulation model is an acceptable representation of the real system are available. Moreover many distributional and goodness-of-fit tests have been developed while several graphical tools have been proposed to give the researcher a quick comprehension of actual and simulated data.
This paper discusses some validation experiments performed with the CATS model.
In particular starting from a sample of Italian firms included in the AIDA database, we perform several ex-post validation experiments over the simulation period 1996-2001. In the experiments, the model parameters have been estimated using actual data and the initial set up consists of a sample of agents in 1996.
The CATS model is then simulated over the period 1996-2001. Using alternative validation techniques, the simulations' results are ex-post validated respect to the actual data. The results are promising in that they show the good capabilities of the CATS model in reproducing the observed reality
Crescita e fluttuazioni economiche: un'analisi di lungo periodo dell'Italia postunitaria, 1861-2009
No full textIl lavoro fornisce una valutazione empirica dell'evoluzione economica di fondo e delle fluttuazioni cicliche in Italia per il lungo periodo di tempo dal 1861 al 2009. A tale scopo, l'analisi utilizza le ricostruzioni delle serie storiche di contabilità nazionale elaborate da Fenoaltea per il periodo 1861-1913 e da Rossi, Sorgato e Toniolo per gli anni 1913-1970, insieme alle stime ISTAT dei conti economici nazionali dal 1970 al 2009. L'analisi di serie storiche annuali dall'Unità al presente è stata condotta essenzialmente con l'obiettivo di riconsiderare l'ipotesi dell'uniformità nel corso del tempo dei cicli economici implicita nell'approccio metodologico di gran parte della più recente ed accreditata letteratura sulle fluttuazioni di breve periodo - in particolare, della teoria RBC. Dall'evidenza empirica presentata nel lavoro emergono infatti forti "caveat" contro questa ipotesi. Intanto, la struttura economica del paese lungo il sentiero di crescita muta nel corso del tempo, il che lascia ragionevolmente supporre che il comportamento ciclico dell'economia italiana di oggi non sia paragonabile a quello, per esempio, dell'Italia all'indomani dell'Unità. Inoltre, investigando il ciclo economico italiano nel periodo considerato in base a diversi approcci metodologici sorgono notevoli perplessità circa la possibilità di individuare ed interpretare cambiamenti sistematici nel corso del tempo - e cioè la meccanica "ripetizione" delle fluttuazioni - aprendo piuttosto la questione del comportamento possibilmente differente dell'economia italiana durante le diverse fasi del ciclo. Infatti, l'analisi nel dominio temporale secondo l'approccio RBC mostra come la variabilità delle fluttuazioni sia andata progressivamente attenuandosi dopo il secondo conflitto mondiale, un risultato che trova sostanziale conferma con l'applicazione della trasformata "wavelet". In secondo luogo, tutte le componenti del PIL e del valore aggiunto risultano coincidenti e procicliche, sebbene il segno e l'entità delle correlazioni di ogni singola componente con la serie di riferimento a livello aggregato si modifichino nel corso del tempo. Infine, integrando le statistiche descrittive nel dominio temporale con un'analisi di tipo NBER, i risultati presentati evidenziano la presenza di asimmetrie tra cicli e fasi individuali sia in termini di durata che di ampiezza. Sul piano teorico, l'insieme di questi risultati sembra dunque offrire supporto alla tesi dell'eterogeneità delle fluttuazioni in Italia. Questa conclusione, che appare incompatibile con l'approccio dominante della letteratura RBC, ha delle conseguenze rilevanti per l'analisi delle fluttuazioni in particolare, e per la teoria macroeconomica in generale. L'ipotesi di somiglianza dei cicli economici rappresenta infatti un corollario della visione secondo cui gli agenti economici sono identici, per cui l'individuo rappresentativo può divenire nelle rappresentazioni formalizzate lo strumento analitico che consente di utilizzare per le grandezze aggregate i risultati ottenuti a livello microeconomico. Questa metodologia ha comportato, per quanto riguarda lo studio delle fluttuazioni, che gli strumenti di analisi fossero quasi esclusivamente quelli macroeconomici. Inoltre, essa preclude la possibilità di individuare le determinanti causali nelle componenti microeconomiche se quest'ultime influenzano le grandezze aggregate. Per l'analisi delle fluttuazioni economiche occorre, quindi, una riconsiderazione degli strumenti analitici da utilizzare. L'analisi condotta in questo lavoro rivela infatti che le fluttuazioni costituiscono un evento complesso e per molti aspetti peculiare, di cui l'indagine aggregata rappresenta solo un primo passo. Se questo è vero, individuare le regolarità empiriche del ciclo economico, trascurando i fattori che governano i cambiamenti di tali regolarità, non può che generare risultati, nella migliore delle ipotesi, parziali
A system for dating long wave phases in economic development
No full textLong wave chronologies are generally established by identifying phase periods associated
with relatively higher and lower average growth rates in the world economy.
However, the long recognition lag typical of the phase-growth approach prevents it
from providing timely information about the present long wave phase period. In this
paper, using world GDP growth rates data over the period 1871–2016, we develop a
system for long wave phases dating, based on the systematic timing relationship
between cyclical representations in growth rates and in levels. The proposed methodology
allows an objective periodization of long waves which is much more timely than
that based on the phase-growth approach. We find a striking concordance of the
established long waves chronology with the dating chronologies elaborated by long
wave scholars using the phase-growth approach, both in terms of the number of high and
low-growth phases of the world economy and their approximate time of occurrence.
In terms of the current long wave debate, our findings suggest that the upswing phase of
the current fifth long wave is still ongoing, and thus the recent financial/economic crisis
only marks a flattening in the current upswing phase of the world economy
Multiscale evaluation of CMIP5 models using wavelet-based descriptive and diagnostic techniques
No full textTime–frequency localization of model-data discrepancies may provide useful information for climate models inter-comparison, and especially for the goals of climate model refinement and improvement. CMIP5 models of the long-term historical (1850–2005) run experiment are compared using wavelet-based multiscale descriptive and diagnostic techniques with interesting results. Wavelet coherence maps can visualize the ability of alternative CMPI5 models to capture the observed climate variability at different time scales, while the performance of each CMIP5 model is assessed using goodness of fit relative measures on a scale-by-scale basis. Finally, the plots of wavelet decompositions of CMIP5 models and observed temperature series at different scales can detect and locate model/data disagreements across frequencies and over time, thus providing useful information to researchers for model diagnostic refinement and improvement
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