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An agent-based simulation of the stolper–samuelson effect


Meisser, Luzius; Kreuser, C Friedrich (2017). An agent-based simulation of the stolper–samuelson effect. Computational Economics, 50(4):533-547.

Abstract

We demonstrate that agent-based simulations can exhibit results in line with classic macroeconomic theory. In particular, we present an agent-based simulation of an Arrow–Debreu economy that accurately exhibits the Stolper–Samuelson effect as an emergent property. Absent of a Walrasian auctioneer or any other central coordination, we let firm and consumer agents of different types interact in an open, money-driven market. Exogenous preference shocks result in price and wage shifts that are in accordance with the general equilibrium solution, not only qualitatively but also quantitatively with high accuracy. Key to this achievement are three independent measures. First, we overcome the poor input synchronization of conventional price finding heuristics of firms in agent-based models by introducing sensor prices, a novel approach to price finding that decouples information exploitation from information exploration. Second, we improve accuracy and convergence by employing exponential search as exploration algorithm. Third, we normalize prices indirectly by fixing dividends, thereby stabilizing the system’s dynamics.

Abstract

We demonstrate that agent-based simulations can exhibit results in line with classic macroeconomic theory. In particular, we present an agent-based simulation of an Arrow–Debreu economy that accurately exhibits the Stolper–Samuelson effect as an emergent property. Absent of a Walrasian auctioneer or any other central coordination, we let firm and consumer agents of different types interact in an open, money-driven market. Exogenous preference shocks result in price and wage shifts that are in accordance with the general equilibrium solution, not only qualitatively but also quantitatively with high accuracy. Key to this achievement are three independent measures. First, we overcome the poor input synchronization of conventional price finding heuristics of firms in agent-based models by introducing sensor prices, a novel approach to price finding that decouples information exploitation from information exploration. Second, we improve accuracy and convergence by employing exponential search as exploration algorithm. Third, we normalize prices indirectly by fixing dividends, thereby stabilizing the system’s dynamics.

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Additional indexing

Item Type:Journal Article, refereed, original work
Communities & Collections:03 Faculty of Economics > Department of Banking and Finance
Dewey Decimal Classification:330 Economics
Language:English
Date:2017
Deposited On:16 Jan 2017 11:19
Last Modified:27 Oct 2017 01:00
Publisher:Springer
ISSN:0927-7099
Additional Information:The final publication is available at Springer via https://doi.org/10.1007/s10614-016-9616-x
Publisher DOI:https://doi.org/10.1007/s10614-016-9616-x
Related URLs:https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2794828 (Organisation)
http://link.springer.com/article/10.1007/s10614-016-9616-x (Publisher)
Other Identification Number:merlin-id:14472

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