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Multi-country ABM perspective on business cycles and deleveraging crises
Mačejovský, Alexander ; Kukačka, Jiří (advisor) ; Baxa, Jaromír (referee)
Multi-country ABM perspective on business cycles and deleveraging crises Thesis Abstract Alexander Maèejovský August 2, 2022 We contribute to the existing literature on macroeconomic impacts of wage exibility by examining complexly interacting open economies which undergo economic crises characterized by debt-de ation. More generally, con- sideration of complexity of interactions and feedback eects between trading countries in our model also constitutes an interesting contribution to the literature on open economies, which usually utilizes small open economy mo- dels. We utilize multi-country agent-based model with decentralized markets which produces endogenous economic crises characterized by de ation and excessive levels of private debt. We examine scenarios with dierent inter- national trade settings and sizes of countries. We nd that under almost all scenarios, more stable wages have stabilizing macroeconomic eects as demand-driven recovery is faster and smoother than the one driven by incre- ased margins of rms and consequent debt deleveraging. Moreover, if coun- tries with dierent levels of wage exibilities trade with each other, recessions in the country with more exible wages become milder as international trade helps to increase sales of crisis-hit rms without initiating crisis of a similar...
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The Impact of the Tobin Tax in a Heterogeneous Agent Model of the Foreign Exchange Market
Staněk, Filip ; Kukačka, Jiří (advisor) ; Klinger, Tomáš (referee)
In this thesis, we assess the impact of the Tobin tax on key statistics of exchange rate returns with use of a heterogeneous agent based model. The answer to the question of how transaction costs affect exchange rate dynamics is not only interesting from a theoretical point of view but also has practical implications as several regulators are contemplating imposition of such a tax nowadays. Motivated by the recent research showing the great importance of the mar- ket micro structure, we choose to explore the impact of the tax in a market cleared by the Walrasian auctioneer. This settings, as we argue, could resem- ble the two layered structure of the real foreign exchanges more closely than a price impact function which is often adopted in studies regarding the Tobin tax. To assess the impact of the tax, we extend the model of De Grauwe & Grimaldi (2004) by the inclusion of transaction costs. The original model con- sists of boundedly rational agents who use a blend of fundamental and technical analysis to predict the future exchange rate. An ongoing competition between the forecasting rules creates chaotic price movements not dissimilar to the ones observed in the real foreign exchanges. We use computational methods to assess the effect of the Tobin tax within the model and find that the Tobin tax is...
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Agent-based modeling of dual currency economy
Vlk, Bořivoj ; Skuhrovec, Jiří (advisor) ; Klinger, Tomáš (referee)
1 Abstract Thesis describes close relationship between Dynamic programming and rein- forcement learning algorithms on the example of a model of a dual currency economy. Dynamic programming is methodology used for deriving equilibria of Search-Theoretic equilibrium monetary models, which provide evidence for emergence of fiat currency or emergence of internationally circulating curren- cies without any human institutions. Particular previously published Search- Theoretic framework of dual currency economy is used as a background for de- velopment of Agent-based Computational model. Both models are compared based on their ability to reach specified equilibria and their assumptions, with the conclusion, that models are closely related and with the same assumptions would have the same results. Agent-based model also provides possibility of relaxing assumptions on perfect information distribution and static environ- ment. In this setting, the model will reach different equilibria, that correspond better to the real human behavior, observed in previously published laboratory experiments. JEL Classification D83, E40 Keywords Agent-based Modeling, Currency, Currency switch, Dollarization Author's e-mail borivoj.vlk@gmail.com Supervisor's e-mail jskuhrovec@gmail.com
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