nep-hme New Economics Papers
on Heterodox Microeconomics
Issue of 2023‒12‒04
fourteen papers chosen by
Carlo D’Ippoliti, Università degli Studi di Roma “La Sapienza”

  1. Explaining the stylized facts of foreign exchange markets with a simple agent-based version of Paul de Grauwe's chaotic exchange rate model By Mignot, Sarah; Westerhoff, Frank H.
  2. Rethinking Inflation in an Agent-Based Macroeconomic Model By Leonardo Ciambezi; Mattia Guerini; Mauro Napoletano; Andrea Roventini
  3. The Effect of the Countercyclical Capital Buffer on the Stability of the Housing Market By Julia Braun
  4. The Concept of Economy in the Era of Rasulullah SAW and his Policies By Putri, Dea Amelia
  5. Robustness of the evaluation of indirect costs of natural disasters: example of the ARIO model By Samuel Juhel; Adrien Delahais; Vincent Viguie
  6. Deeper Hedging: A New Agent-based Model for Effective Deep Hedging By Kang Gao; Stephen Weston; Perukrishnen Vytelingum; Namid R. Stillman; Wayne Luk; Ce Guo
  7. Learning from Overrated Mission-Oriented Innovation Policies: Seven Takeaways By Henrekson, Magnus; Sandström, Christian; Stenkula, Mikael
  8. Economy Thought by Abu Ubaid and Abu Yusuf By Putri, Dea Amelia
  9. Is the wage-labour nexus back? A regulationist investigation By Sandrine Michel
  10. How to detect regime changes? By Robert Boyer; Sandrine Michel
  11. Rescaling: An Analytical Lense to Study Economic and Industrial Shifts By Grillitsch, Markus; Asheim, Björn; Fünfschilling, Lea; Kelmenson, Sophie; Lowe, Nicola; Lundquist, Karl Johan; Mahmoud, Yahia; Martynovich, Mikhail; Mattson, Pauline; Miörner, Johan; Nilsson, Magnus; Schubert, Torben
  12. Tradition monétaire, approche réelle : retour sur la synthèse classico-keynésienne ou marxo-keynésienne By Nicolas Piluso
  13. The political economy of AI: Towards democratic control of the means of prediction By Maximilian Kasy
  14. Some coordination problems are harder than others By Argyrios Deligkas; Eduard Eiben; Gregory Gutin; Philip R. Neary; Anders Yeo

  1. By: Mignot, Sarah; Westerhoff, Frank H.
    Abstract: We propose a simple agent-based version of Paul de Grauwe's chaotic exchange rate model. In particular, we assume that each speculator follows his own technical and fundamental trading rule. Moreover, a speculator's choice between these two trading philosophies depends on his individual assessment of current market circumstances. Our agent-based model setup is able to explain a number of important stylized facts of foreign exchange markets, including bubbles and crashes, excess volatility, fat-tailed return distributions, serially uncorrelated returns and volatility clustering. A stability and bifurcation analysis of its deterministic skeleton provides us with useful insights that foster our understanding of exchange rate dynamics.
    Keywords: Foreign exchange markets, exchange rates, chartists and fundamentalists, agent-based computational economics, stability and bifurcation analysis
    JEL: D84 F31 G14
    Date: 2023
  2. By: Leonardo Ciambezi (Université Côte d'Azur, CNRS, GREDEG, France); Mattia Guerini (Universita di Brescia; Fondazione ENI Enrico Mattei; Université Côte d'Azur, CNRS, GREDEG, France; Sant'Anna School of Advanced Studies); Mauro Napoletano (Université Côte d'Azur, CNRS, GREDEG, France; Sciences Po, OFCE, France; Sant'Anna School of Advanced Studies); Andrea Roventini (Institute of Economics and EMbeDS, Scuola Superiore Sant'Anna; Sciences Po, OFCE)
    Abstract: We develop an Agent-Based model to study the role of demand vs. supply in determining inflation dynamics. Heterogeneous firms and households, downward money wage rigidity, and imperfect selection in the goods markets characterize the model. We show that the importance of demand vs. supply factors in determining inflation is related to the degree of imperfect selection in the market for goods. In particular, when the matching between firms and customers depends on firm size as well as on firm price, aggregate demand loses relevance in determining inflation, which is then driven by an increase in mark up rates caused by changes in the structure of the market of goods. Finally, we investigate the impact of different kinds of aggregate demand and supply shocks on output-inflation dynamics in the model. We show that aggregate shocks induce “profit-push” price increases, to the extent that they are able to impact market structure.
    Keywords: Inflation, agent-based models, market selection, market structure, excess demand, mark up rates
    JEL: E31 E32 C63
    Date: 2023–08
  3. By: Julia Braun
    Abstract: After the great turmoil of the latest financial crisis, the criticism of the regulatory frameworks became increasingly stronger. The rules that banks needed to comply with are presumed to be procyclical and unable to prevent and mitigate the extent of strong financial and economic cycles. As a result, Basel III introduced a set of macroprudential tools to overcome these regulatory shortfalls. One tool that strives to counteract the issue of procyclicality is the countercyclical capital buffer (CCyB). This paper introduces a heterogeneous agent-based model that investigates the implication of the new regulatory measure. We develop a housing and a financial market where economic agents trade residential property that is financed by financial institutions. To examine the macroeconomic performance of the CCyB, we evaluate the dynamics of key stability indicators of the housing and the financial market under four different market conditions: in an undisturbed market and in times of three different structural shocks. Computational experiments reveal that the CCyB is effective in stabilizing the housing and the financial market in all market settings. But the extent of the stabilizing effect varies according to market conditions. In the shock scenarios, the CCyB performs better in dampening market fluctuations and increasing banking soundness. Although the new macroprudential tool helps to mitigate economic fluctuations and to stabilize market conditions in the aftermath of a crisis, it is not able to prevent any of the crises tested.
    Keywords: Agent-Based Model; Basel III; Countercyclical capital buffer; Housing market stability
    JEL: R3
    Date: 2023–01–01
  4. By: Putri, Dea Amelia
    Abstract: The article aims to explore the concept of Islamic economic in Muhammad prophet era. Islamic economic is the economic system which based on Islamic values which based on holly Quran and hadis.
    Date: 2023–11–01
  5. By: Samuel Juhel (CIRED - Centre International de Recherche sur l'Environnement et le Développement - Cirad - Centre de Coopération Internationale en Recherche Agronomique pour le Développement - EHESS - École des hautes études en sciences sociales - AgroParisTech - ENPC - École des Ponts ParisTech - Université Paris-Saclay - CNRS - Centre National de la Recherche Scientifique, LMD - Laboratoire de Météorologie Dynamique (UMR 8539) - INSU - CNRS - Institut national des sciences de l'Univers - X - École polytechnique - ENPC - École des Ponts ParisTech - SU - Sorbonne Université - CNRS - Centre National de la Recherche Scientifique - Département des Géosciences - ENS Paris - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris sciences et lettres); Adrien Delahais (CIRED - Centre International de Recherche sur l'Environnement et le Développement - Cirad - Centre de Coopération Internationale en Recherche Agronomique pour le Développement - EHESS - École des hautes études en sciences sociales - AgroParisTech - ENPC - École des Ponts ParisTech - Université Paris-Saclay - CNRS - Centre National de la Recherche Scientifique); Vincent Viguie (CIRED - Centre International de Recherche sur l'Environnement et le Développement - Cirad - Centre de Coopération Internationale en Recherche Agronomique pour le Développement - EHESS - École des hautes études en sciences sociales - AgroParisTech - ENPC - École des Ponts ParisTech - Université Paris-Saclay - CNRS - Centre National de la Recherche Scientifique)
    Abstract: Given the interconnectedness of economies and the prevalence of just-in-time production processes, even small interruptions to production caused by natural disasters can lead to great indirect economic impacts. A substantial body of literature on this subject exists, notably with the help of input-output analysis, CGE and agent-based models. However, such models rely on parameters and data which are often unobserved empirically or estimated with wide margins of uncertainty. The reliability of the models is therefore difficult to assess. Here, taking the example of the July 2021 floods in Germany, we analyze to what extent the results of the ARIO model are robust to input data and parameter choices. ARIO model is a widely used model in the literature, and has laid theoretical foundations for several other models. We conduct a sensitivity analysis by varying its key parameters, as well as the multi-regional input output tables which it uses as its main input data. For this, we develop a new resource-efficient Python implementation of the ARIO model, which enables a large number of simulations to be run. Our results show that the choice of the data source and parameters indeed heavily influences the outputs of the model. To ensure the robustness of their results, future studies on indirect economic impacts should incorporate several scenarios and employ data from various sources.
    Keywords: Indirect economic risk, Input-Output models, Natural disasters
    Date: 2023–10–11
  6. By: Kang Gao; Stephen Weston; Perukrishnen Vytelingum; Namid R. Stillman; Wayne Luk; Ce Guo
    Abstract: We propose the Chiarella-Heston model, a new agent-based model for improving the effectiveness of deep hedging strategies. This model includes momentum traders, fundamental traders, and volatility traders. The volatility traders participate in the market by innovatively following a Heston-style volatility signal. The proposed model generalises both the extended Chiarella model and the Heston stochastic volatility model, and is calibrated to reproduce as many empirical stylized facts as possible. According to the stylised facts distance metric, the proposed model is able to reproduce more realistic financial time series than three baseline models: the extended Chiarella model, the Heston model, and the Geometric Brownian Motion. The proposed model is further validated by the Generalized Subtracted L-divergence metric. With the proposed Chiarella-Heston model, we generate a training dataset to train a deep hedging agent for optimal hedging strategies under various transaction cost levels. The deep hedging agent employs the Deep Deterministic Policy Gradient algorithm and is trained to maximize profits and minimize risks. Our testing results reveal that the deep hedging agent, trained with data generated by our proposed model, outperforms the baseline in most transaction cost levels. Furthermore, the testing process, which is conducted using empirical data, demonstrates the effective performance of the trained deep hedging agent in a realistic trading environment.
    Date: 2023–10
  7. By: Henrekson, Magnus (Research Institute of Industrial Economics (IFN)); Sandström, Christian (Jönköping International Business School, Jönköping, Sweden); Stenkula, Mikael (Research Institute of Industrial Economics (IFN))
    Abstract: This paper integrates findings from several different case studies on Mission-Oriented Innovation Policies (MOIPs) and makes use of existing literature to briefly describe three other missions: The War on Cancer, homeownership in the United States, and the Swedish Million Program. Together with the analyses in the contributions in the volume Moonshots and the New Industrial Policy: Questioning the Mission Economy, seven takeaways regarding mission-oriented innovation policies are developed and described: 1) wicked problems cannot be solved through missions, 2) politicians and government agencies are not exempt from self-interest, 3) MOIPs are subject to rent-seeking and mission capture, 4) policymakers lack information to design MOIPs, 5) MOIPs distort competition, 6) government support programs distort incentives and result in moral hazard, and 7) MOIPs ignore opportunity costs. These seven takeaways are illustrated using the cases described in this essay and in other contributions in the above-mentioned volume.
    Keywords: Mission-oriented policies; Innovation policy; New industrial policy; Moonshots; Rent seeking; Public choice
    JEL: H50 L26 L52 O31 O38 P16
    Date: 2023–11–06
  8. By: Putri, Dea Amelia
    Abstract: The thought of Islamic economics has emerged at the time of the Prophet Muhammad. The Islamic economy had been developed by Khulafaur Rasyidin after the death of the Prophet PBUH such as Abu Bakar ash-Shiddiq, Umar ibn Khattab, Utsman ibn Affan, Ali ibn Abi Thalib. The aim of this paper is to explain the development of economy during the of Khulafaur Rasyidin and their policies
    Date: 2023–11–02
  9. By: Sandrine Michel (UMR ART-Dev - Acteurs, Ressources et Territoires dans le Développement - Cirad - Centre de Coopération Internationale en Recherche Agronomique pour le Développement - UPVM - Université Paul-Valéry - Montpellier 3 - UPVD - Université de Perpignan Via Domitia - CNRS - Centre National de la Recherche Scientifique - UM - Université de Montpellier)
    Abstract: To date, the Fordist wage-labour nexus has no follower. However, important transformations of work lead to question the re-foundation of a new wage-labour nexus. Three effects of the historical development of collective consumption, amplified by the weakening of the institutionalization of the Fordist wage-labour nexus, support this hypothesis. At this stage, it is not possible to ensure that a new institutional form involving work will come about through the increasing quality of both work and population. This chapter argues, however, that it cannot be done without this increase, since it already acts as a constraint on capital accumulation.
    Abstract: A ce jour, le rapport salarial fordiste n'a pas de successeur. Pourtant, d'importantes transformations du travail conduisent à s'interroger sur la formation d'un nouveau rapport salarial. Trois effets du développement historique des consommations collectives, amplifiés par l'affaiblissement de l'institutionnalisation du rapport salarial fordiste soutiennent cette hypothèse. A ce stade, il n'est pas possible d'assurer qu'une nouvelle forme institutionnelle impliquant le travail passe par la croissance de la qualité du travail et de la population. Ce chapitre avance des arguments permettant toutefois d'exclure qu'elle se fasse sans cette croissance dans la mesure où elle agit déjà comme une contrainte pour l'accumulation du capital.
    Keywords: Accumulation Regime, wage-labour nexus, collective consumption, social and educational expenditure, Régime d’accumulation, rapport salarial, consommations collectives, dépenses sociales et d’éducation
    Date: 2023–09–09
  10. By: Robert Boyer (EHESS , IDA - Institut des Amériques - Université Sorbonne Nouvelle - Paris 3 - M.E.N.E.S.R. - Ministère de l'Education nationale, de l’Enseignement supérieur et de la Recherche - CNRS - Centre National de la Recherche Scientifique); Sandrine Michel (UMR ART-Dev - Acteurs, Ressources et Territoires dans le Développement - Cirad - Centre de Coopération Internationale en Recherche Agronomique pour le Développement - UPVM - Université Paul-Valéry - Montpellier 3 - UPVD - Université de Perpignan Via Domitia - UM - Université de Montpellier - CNRS - Centre National de la Recherche Scientifique)
    Abstract: Against the structurally stable equilibrium hypothesis of new classical macroeconomics, econometric research on regime shifts was once stimulated by disequilibrium theory. Regulation theory has mobilized these techniques to show how institutionalized compromises are at the origin of possible macroeconomic regularities, which may or may not have repercussions on the accumulation regime. The chapter reviews the various techniques available and discusses their relevance, then presents the main results thus obtained. They express the synergy between an institutionalist and historical approach and the econometrics of regime change. The period of intense structural transformations, evident in the 2020s, calls for a relaunch of this research program.
    Abstract: Contre l'hypothèse d'un équilibre structurellement stable de la nouvelle macroéconomie classique, les recherches économétriques sur les changements de régime ont, un temps, été stimulées par la théorie du déséquilibre. La théorie de la régulation a mobilisé ces techniques pour montrer comment des compromis institutionnalisés sont à l'origine de possibles régularités macroéconomiques, qui peuvent ou non se répercuter sur le régime d'accumulation. Le chapitre passe en revue les diverses techniques disponibles et en discute la pertinence, puis il présente les principaux résultats ainsi obtenus. Ils expriment la synergie entre une approche institutionnaliste et historique et l'économétrie des changements de régime. La période d'intenses transformations structurelles, manifestes dans les années 2020, appelle une relance de ce programme de recherche.
    Keywords: Disequilibrium Econometrics, Institutional forms, Stability tests, Causality tests, Co-integration, Accumulation regime, Mode of regulation, Econométrie du déséquilibre, Formes institutionnelles, Tests de stabilité, Tests de causalité, Co-intégration, Régime d’accumulation, Mode de régulation
    Date: 2023–09–09
  11. By: Grillitsch, Markus (CIRCLE, Lund University); Asheim, Björn (CIRCLE, Lund University); Fünfschilling, Lea (CIRCLE, Lund University); Kelmenson, Sophie (University of North Carolina at Chapel Hill); Lowe, Nicola (CIRCLE, Lund University); Lundquist, Karl Johan (CIRCLE, Lund University); Mahmoud, Yahia (CIRCLE, Lund University); Martynovich, Mikhail (CIRCLE, Lund University); Mattson, Pauline (CIRCLE, Lund University); Miörner, Johan (CIRCLE, Lund University); Nilsson, Magnus (CIRCLE, Lund University); Schubert, Torben (CIRCLE, Lund University)
    Abstract: Rescaling as a concept has been used to investigate and explain shifting patterns in economic and industrial development. This ranges from processes explaining the shift towards globalisation in the 1980s to current calls for shifts towards decarbonisation, national security, and more even development, which profoundly affect the organisation of economies and industries. This paper aims to unpack the notion of rescaling, identify and elaborate on different dimensions of rescaling, and use rescaling as conceptual and analytical lens to discuss and understand shifting patterns in economic and industrial development. We explore the potential of rescaling to capture the complex processes underpinning such shifts in patterns with a unifying language that connects multiple disciplinary perspectives. It is also relevant from a societal perspective as rescaling has been used as a strategy to affect the patterns in economic and industrial development.
    Keywords: economic development; industrial dynamics; globalisation; technological regimes; industrial policy; sustainable development
    JEL: F02 F50 F60 L50 L60 O10 O30
    Date: 2023–11–07
  12. By: Nicolas Piluso (CERTOP - Centre d'Etude et de Recherche Travail Organisation Pouvoir - UT2J - Université Toulouse - Jean Jaurès - UT - Université de Toulouse - UT3 - Université Toulouse III - Paul Sabatier - UT - Université de Toulouse - CNRS - Centre National de la Recherche Scientifique, UT3 - Université Toulouse III - Paul Sabatier - UT - Université de Toulouse)
    Abstract: L'ouvrage « 3 siècles de pensée économique, histoire comparative et illustrée » (chez JDH) a été écrit pour rendre hommage aux enseignements d'André Segura (enseignant chercheur à l'Université de Toulon). L'ouvrage reconstitue sous forme de synthèse les cours qu'il a donnés dans les années 80 à 2010 tout en ajoutant plusieurs références (Cartelier, Deleplace, Rebeyrol, Diatkine, et des réflexions personnelles). C'est pourquoi cet ouvrage lui est dédié. Dans ce fichier, je propose un chapitre « inédit » du livre sur la base d'une problématique posée par André Segura dans un article publié dans la Revue Française d'Economie dans les années 90 : la synthèse post-classique ou marxo-keynésienne est-elle possible ? J'apporte dans ce chapitre un éclairage complémentaire à celui fourni par André Segura dans son article de recherche. Ce chapitre inédit a été relu et commenté par André. Néanmoins, toute erreur éventuellement présente dans le texte ne relève que de ma responsabilité.
    Keywords: approche réelle, tradition monétaire, Keynes, Sraffa, Marx, Postkeynésiens
    Date: 2023–10–20
  13. By: Maximilian Kasy
    Date: 2023–04–14
  14. By: Argyrios Deligkas; Eduard Eiben; Gregory Gutin; Philip R. Neary; Anders Yeo
    Abstract: In order to coordinate successfully individuals must first identify a target pattern of behaviour. In this paper we investigate the difficulty of identifying prominent outcomes in two kinds of binary action coordination problems in social networks: pure coordination games and anti-coordination games. For both environments, we determine the computational complexity of finding a strategy profile that (i) maximises welfare, (ii) maximises welfare subject to being an equilibrium, and (iii) maximises potential. We show that the complexity of these objectives can vary with the type of coordination problem. Objectives (i) and (iii) are tractable problems in pure coordination games, but for anti-coordination games are NP-hard. Objective (ii), finding the best Nash equilibrium, is NP-hard for both. Our results support the idea that environments in which actions are strategic complements facilitate successful coordination more readily than those in which actions are strategic substitutes.
    Date: 2023–11

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