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.     

The dynamic of innovation networks: a switching model on technological change

In this paper, we introduce an agent-based model where heterogeneous firms compare and modify their innovation strategies, so generating an evolving network structure. By implementing dynamic behavioral switching via a fitness mechanism based on agents’ performance, companies can endogenously modify their tactics for technological change and switch among three groups: stand-alone innovators, collaborative innovators and imitators. On the one hand, we study the properties of the emerging networks and we show that they reproduce the stylized facts of innovation networks. Moreover, we focus the analysis on the impact of these three innovation categories on the macro economic aggregate, finding that collaborative companies are those having the highest positive impact on the economic system. On the other hand, we use the model to study the effect of different economic innovation policies in increasing macroeconomic performance.     

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.     

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.

     

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.     

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.     

A NONLINEAR MODEL OF THE BUSINESS CYCLE WITH MONEY AND FINANCE (*)

In this paper we analyze the working of a capitalist system with sophisticated financial institutions, where the Modigliani-Miller theorem does not apply, so that the financial part of the economy affects the working of the real side. This model, in which the real and the financial sectors are connected throught a simple portfolio approach, and where the ratio between cash flow and debt commitment affects the pace of investment, explains the emergence of instability and, more generally, the cyclical behavior of the economy as an internally generated phenomenon of a capitalist system. As far as the dynamic behavior of the model is concerned, we can envisage the following process: when investment activity is low, the system evolves toward a stationary state; as soon as the accumulation rate starts growing, the model shows the existence of limited cycles and, when the elasticity of investment to internal finance increases further, a chaotic dynamic appears. Finally, we expect a situation of financial crisis to emerge when the elasticity of investment to internal financing constraint goes beyond a certain level, i.e. when the realized flow of profits is not sufficiently high to validate the debt commitments. The working of the model is referred to an economics with no technical change, while its dynamic properties will be investigated by the use of numerical simulation.     

对融资约束与资产负债表渠道的再解释

总需求模型扩展了IS／LM模型的固定价格框架，对信贷渠道——即信贷观点认为通过“资产负债表渠道”和“银行贷款渠道”起作用的传统货币传导机制——产生了机制强化作用。本文在假定投资既可以通过内部、也可以通过外部融资的条件下，对IS／LM扩展模型作了修改。在IS／LM固定价格扩展模型中引入内部资金表明：对作为一种强化机制，通过借款数量——而非借款成本——产生货币政策放大效应的“资产负债表渠道”，做出了不同解释。因而，借款人的周期净财富变化与资产负债表渠道的传统解释不同，它是直接地、而非间接地放大和传播了产出波动。对意大利过去十年货币传导机制的经验分析是符合本文对资产负债表渠道的论述的。     

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.     

Robotization and labour dislocation in the manufacturing sectors of OECD countries: a panel VAR approach

Robots are the most important innovation which has affected the production process in the last three decades. Thanks to the latest advances in technology, they have been able to perform an ever-increasing number of tasks, eventually replacing human work within the whole production process. However, because of the scarcity of suitable data, the extent of this potentially disrupting process is not fully assessed. This paper makes up for the lack of empirical evidence on the effect of robotization on labour dislocation using data collected by the International Federation of Robotics (IFR) on the number of robots installed in the different manufacturing industries of 16 OECD countries over the period 2011–2016. We show that at the industry level a 1% growth in the number of robots reduces the growth rate of worked hours by 0.16, as well as the selling prices and the real values of the compensations of employees. Moreover, we show that a given sector is more likely to be robotized when it is expanding both in terms of relative prices and employee compensations. We conclude that, at least in the selected countries, the introduction of robots plays a key role in slowing down human labour and compensation growth.