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Inequality and Financial Markets - A Simulation Approach in a Heterogeneous Agent Model

Fischer, Thomas
Teglio, Andrea (ed.) :

Inequality and Financial Markets - A Simulation Approach in a Heterogeneous Agent Model.
In: Managing Market Complexity - The Approach of Artificial Economics. Lecture notes in economics and mathematical systems (662). Springer, Berlin , S. 79-90. ISBN 978-3-642-31300-4
[Buchkapitel] , (2013)

Typ des Eintrags: Buchkapitel
Erschienen: 2013
Herausgeber: Teglio, Andrea
Autor(en): Fischer, Thomas
Titel: Inequality and Financial Markets - A Simulation Approach in a Heterogeneous Agent Model
Sprache: Englisch
Buchtitel: Managing Market Complexity - The Approach of Artificial Economics
Reihe: Lecture notes in economics and mathematical systems
(Heft-)Nummer: 662
Ort: Berlin
Verlag: Springer
Fachbereich(e)/-gebiet(e): 01 Fachbereich Rechts- und Wirtschaftswissenschaften
01 Fachbereich Rechts- und Wirtschaftswissenschaften > Volkswirtschaftliche Fachgebiete
01 Fachbereich Rechts- und Wirtschaftswissenschaften > Volkswirtschaftliche Fachgebiete > Fachgebiet Makroökonomie und Finanzmärkte
Hinterlegungsdatum: 27 Jul 2012 09:51
Zusätzliche Informationen:

JEL-Classification: C63 - D31 - E21 - E44

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Schlagworte in weiteren Sprachen:
Einzelne SchlagworteSprache
Heterogeneous Agent Model - Inequality - Financial Market Stability - Consumption - Colateral Constraints- DebtEnglisch
Alternatives Abstract:
Alternativer AbstractSprache
This paper presents a dynamic model with N heterogeneous consumers in the presence of financial markets allowing for saving and lending. Instead of adjusting their consumption based on utility maximization, agents use heuristics as suggested by behavioral theory. The main result of the model is that increased income inequality transforms into increased net worth inequality leading to increased price volatility on the market for durables. Unequal societies moreover are characterized by a current account surplus resulting from strong savings. Price volatility also increases if we increase heritage defined as the ratio of stock level of initial endowment to annual income. Medium size heritage on the other side increases the number of middle class households leading to a balanced current account. Extreme low or extreme high values for heritage contribute to a net debt situation with foreigners.Englisch
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