Firm–bank credit network,business cycle and macroprudential policy

We present an agent-based model to study firm–bank credit market interactions in different phases of the business cycle. The business cycle is exogenously set, and it can give rise to various scenarios. Compared to other models in this literature strand, we improve the mechanism according to which the dividends are distributed, including the possibility of stock repurchase by firms. In addition, we locate firms and banks over a space and firms may ask credit to many banks, resulting in a complex spatial network. The model reproduces a long list of stylized facts and their dynamic evolution as described by the cross-correlations among model variables. The model allows us to test the effectiveness of rules designed by the current financial regulation, such as the Basel III countercyclical capital buffer. We find that the effectiveness of this rule changes in different business cycle environments and this should be considered by policy makers.

     

Bank–firms topology in Italy

An empirical analysis of the Italian system of banks and firms is carried out using the network theory. The emerging architecture of this economic network shows peculiar behaviors: (i) Multiple lending is very widespread; (ii) Small firms are preferentially financed by small banks; (iii) Large firms are financed by many banks; (iv) the ratio between loans and deposits is much higher for large banks than for small banks, while (v) strong size heterogeneity appears among co-financing banks, and (vi) the spanning-tree is very hierarchical.     

Long waves in prices: new evidence from wavelet analysis

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.     

Complex agent-based macroeconomics: a manifesto for a new paradigm

This article discusses some issues and challenges facing modern macroeconomics. We argue for the necessity to replace the reductionist approach at the heart of mainstream DSGE models with an approach rooted on the science of complexity and agent-based modelling. To strengthen and exemplify our position, we show a simple example and introduce several items for a research agenda along these lines.     

Volatility and persistence of fluntuations: individual production series in Italy, 1890–1985

The analysis is focused on possible time-related changes in the cyclical behaviour of production using a set of individual production series. Disaggregate data are used to analyse whether short-run fluctuations have actually become less extreme or erratic in time and whether the tendency of shocks to have permanent or transitory effects has changed between the pre-war and post-war eras. A third aspect of cyclical trends examined concerns the correlation of short-term changes across sectors. The main finding of the paper is that there has been little change in the behaviour of the individual series over time in fluctuation size, persistence and frequency. Thus, a reduction in variability appears also to be due to a problem of statistical measurement. Rather then suggesting, as the standard literature does, that demand shocks were unimportant in the post-war period – which implies that supply shocks were more important – an estimate of the Italian experience gives evidence of the importance of both causes.     

Increasing inequality,consumer credit and financial fragility in an agent based macroeconomic model

We investigate the interplay between increasing inequality and consumer credit in a complex macroeconomic system with financially fragile heterogeneous households, firms and banks. Simulation results show that there are pros and cons of introducing consumer credit: on the one hand, for a certain time, it leads to lower unemployment through boosting aggregate demand; on the other hand, it accelerates the system tendency to the crisis. Since the increase of financial profits goes with a decline of households’ real wealth, a policy trade-off emerges.     

AN ANNUAL CHAIN INDEX OF ITALY'S "REAL" PRODUCT, 1861–1989

The construction and application of a Paasche annual chain index to the Italian GDP figures between 1861 and 1989 is the subject of this article. Comparison with product at constant prices shows, except for war periods, a revaluation of GDP in favour of the annual chain index of around 0.10 percent. The most striking differences are concentrated into periods of marked changes in relative prices, and the new index modifies the temporal pattern of the growth trend by accentuating, without altering the periodization, cyclical fluctuations.     

Correction to: Mis-measurement of inequality: a critical reflection and new insights

Journal of Economic Interaction and Coordination - In the original publication of the article, caption of Figure 3 on the third page of Sect. 4.1 was incorrectly published as.