Fjármálastöðugleiki, lánsfjárskömmtun og hagsveiflur: Agent-based haglíkan fyrir Ísland

Verkefnislok - fréttatilkynning verkefnisstjóra

24.10.2014

The Iceace research project has now been completed. The project is a three year international research project hosted by Reykjavik University and supported by the Icelandic Research Fund. Within the project a comprehensive macro-economic simulation model of the Icelandic economy was developed based on agent-based modeling techniques. 

Heiti verkefnis: Fjármálastöðugleiki, lánsfjárskömmtun og hagsveiflur: Agent-based haglíkan fyrir Ísland
Verkefnisstjóri: Hlynur Stefánsson/Marco Raberto

Tegund styrks: Verkefnisstyrkur
Styrkár: 2011-2013
Fjárhæð styrks: 19,42 millj. kr. alls
Tilvísunarnúmer Rannís:  110653

The Iceace model is composed of different economic agents, such as households, firms, banks, central bank and government that interact using simple behavioral rules through various markets, such as the consumption goods market, the labor market, the credit market and the housing market. The Iceace model is intended to help with understanding the endogenous roots of instability in the financial system and to devise the relationship between macroeconomic activity, credit supply and assets bubbles. Different computational experiments have been carried out, for example in order to explore the effects of different households' creditworthiness conditions required by banks in order to grant a mortgage. Results show that easier access to credit inflates housing prices, triggering a short run output expansion. However, the artificial economy becomes more unstable and prone to recessions. With stricter conditions the economy is more stable and does not fall into serious recessions, although a too severe regulation can slow down economic growth. The use of the agent-based approach allows encompassing important realistic features of economic agents, like bounded rationality, information asymmetry, and direct interactions. These features are usually neglected within mainstream economic models, based on fully rational and informed representative agents, but they may be responsible for important aggregate economic outcomes, in particular in financial and credit markets, like bubbles and crashes, market failures, bankruptcy chains and depressions. The Iceace simulator has proven to be a powerful computational facility which can be used to perform large-scale experiments on realistic economic environments and to test different policy alternatives. The project has received insights and directions from the Icelandic Financial Supervisory Authority and the Central Bank of Iceland which has proved very beneficial and indeed vital for ensuring the practical relevance of the project results. In addition to practical impact the project group has published four journal papers and book chapters and presented the project outcome at 11 conferences.

 










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