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題名 Social Networks, Social Interaction and Macroeconomic Dynamics: How Much Could Ernst Ising Help DSGE?
作者 陳樹衡
Chen, Shu-Heng ;Chang, Chia-Ling ;Tseng, Yi-Heng
貢獻者 經濟系
關鍵詞 New Keynesian DSGE (dynamic stochastic general equilibrium) model; Adaptive belief system; Social network; Ising model; Market sentiment
日期 2014.01
上傳時間 14-May-2014 12:18:35 (UTC+8)
摘要 In this paper, two different versions of the agent-based DSGE (dynamic stochastic general equilibrium) model are studied in comparison The first version is the mesoscopic modeling of market sentiment using the Brock–Hommes adaptive belief system (ABS). The second version is the microscopic modeling of market sentiment by applying the Ising model to different social networks. The issue is to examine whether the distribution of market sentiment generated by the ABS machine can emerge from some kinds of local mimetic interactions, and hence the macroeconomic behavior of the two versions will be essentially the same. Our simulation results show that it is rather hard to have the equivalence of these two versions in the Kolmogorov–Smirnov sense. Hence, directly incorporating social networks and social interactions into microscopic modeling has its own values and may not be replaced or simplified by the mesoscopic counterpart.
關聯 Research in International Business and Finance, 30, 312-335
資料類型 article
DOI http://dx.doi.org/http://dx.doi.org/10.1016/j.ribaf.2012.08.004
dc.contributor 經濟系en_US
dc.creator (作者) 陳樹衡zh_TW
dc.creator (作者) Chen, Shu-Heng ;Chang, Chia-Ling ;Tseng, Yi-Hengen_US
dc.date (日期) 2014.01en_US
dc.date.accessioned 14-May-2014 12:18:35 (UTC+8)-
dc.date.available 14-May-2014 12:18:35 (UTC+8)-
dc.date.issued (上傳時間) 14-May-2014 12:18:35 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/66028-
dc.description.abstract (摘要) In this paper, two different versions of the agent-based DSGE (dynamic stochastic general equilibrium) model are studied in comparison The first version is the mesoscopic modeling of market sentiment using the Brock–Hommes adaptive belief system (ABS). The second version is the microscopic modeling of market sentiment by applying the Ising model to different social networks. The issue is to examine whether the distribution of market sentiment generated by the ABS machine can emerge from some kinds of local mimetic interactions, and hence the macroeconomic behavior of the two versions will be essentially the same. Our simulation results show that it is rather hard to have the equivalence of these two versions in the Kolmogorov–Smirnov sense. Hence, directly incorporating social networks and social interactions into microscopic modeling has its own values and may not be replaced or simplified by the mesoscopic counterpart.en_US
dc.format.extent 4012545 bytes-
dc.format.mimetype application/pdf-
dc.language.iso en_US-
dc.relation (關聯) Research in International Business and Finance, 30, 312-335en_US
dc.subject (關鍵詞) New Keynesian DSGE (dynamic stochastic general equilibrium) model; Adaptive belief system; Social network; Ising model; Market sentimenten_US
dc.title (題名) Social Networks, Social Interaction and Macroeconomic Dynamics: How Much Could Ernst Ising Help DSGE?en_US
dc.type (資料類型) articleen
dc.identifier.doi (DOI) 10.1016/j.ribaf.2012.08.004en_US
dc.doi.uri (DOI) http://dx.doi.org/http://dx.doi.org/10.1016/j.ribaf.2012.08.004en_US