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Dynamic Model
Heterogeneous Agents
kolmogorov equation
Mean First Passage Time
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New Approaches to Macroeconomic Modeling
New Approaches to Macroeconomic Modeling,Masanao Aoki
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New Approaches to Macroeconomic Modeling
(
Citations: 65
)
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Masanao Aoki
This book contributes substantively to stateoftheart macroeconomic modeling by providing a method for modeling large collections of
heterogeneous agents
subject to nonpairwise externality called field effects, i.e. feedback of aggregate effects on individual agents or agents using statedependent strategies. Adopting a level of microeconomic description which keeps track of compositions of fractions of agents by 'types' or 'strategies', time evolution of the microeconomic states is described by (backward) ChapmanKolmogorov equations. Macroeconomic dynamics naturally arise by expansion of the solution in some
power series
of the number of participants. Specification of the microeconomic transition rates thus leads to macroeconomic dynamic models. This approach provides a consistent way for dealing with
multiple equilibria
of macroeconomic dynamics by ergodic decomposition and associated calculations of mean first passage times, and stationary probabilities of equilibria further provide useful information on macroeconomic behavior.
Published in 1996.
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Citation Context
(30)
...Interaction among agent is modelled by means of the meanfield approximation (
Aoki, 1996
) that, basically, consists in reducing the vector of observations for a variable over a population to a single value...
...2Namely,
Aoki (1996, 2002)
; Aoki and Yoshikawa (2006), with a further development pro...
Carl Chiarella
,
et al.
The financial instability hypothesis: A stochastic microfoundation fra...
...Aoki (
1996
, p...
Gianfranco Giulioni
,
et al.
Agent's behaviour in a sequential Dutch auction: evidence from the Pes...
...In this article we will concentrate our attention on aggregate behaviour modelling according to the perspective of Masanao Aoki (
Aoki 1996, 2002;
Aoki and Yoshikawa 2006), providing formal and technical insights into his methodology of modelling aggregate behaviour...
...In economics this procedure was introduced by
Aoki (1996)
and in physics it was firstly introduced by Kubo et al. (1973) and here we will show how to get their results in a simple way using the master equation...
...
Aoki (1996, 2002)
and Aoki and Yoshikawa (2006) in economics to study the aggregate behaviour and fluctuations...
...16 This is also what
Aoki (1996, 2002)
does and Aoki and Yoshikawa (2006) but he does not stress the...
...18 Usually t = τ means this difference on scale, see
Aoki (1996, 2002 )
a ndAoki and Yoshikawa (2006)...
...The equation (51) is the same obtained by
Aoki (1996)
and Kubo et al. (1973), and the equation (52) is the same given by Kubo while Aoki does not consider the last component −r ∂θ(y,r ) ∂ y ...
...which, according to
Aoki (1996)
, is a Riccati equation and can be solved...
...Since we think that macrovariables should be analyzed at their own scale level and that their fluctuations as well as their dynamics are due to heterogeneity and interaction processes of system’s constituents, we follow Aoki’s methodology (
Aoki 1996, 2002;
Aoki and Yoshikawa 2006) based on statistical mechanics...
Simone Landini
,
et al.
A Statistical Mechanic View of Macrodynamics in Economics
...(
2
) Discrete Choice Theory and Extreme Value Distributions...
Masanao Aoki
,
et al.
Uncertainty, policy ineffectiveness, and long stagnation of the macroe...
...More detailed accounts are available in
Aoki (1996, 2002)
; Aoki and Yoshikawa (2002, 2003, 2005); and Aoki, Yoshikawa, and Shimizu (2003)...
...I have shown in
Aoki (1996, p. 136)
, Aoki (1998), and Aoki (2002, p.44) that this mean value is governed by the differential equation...
Masanao Aoki
.
A New Stochastic Framework for Macroeconomics: Some Illustrative Examp...
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Citations
(65)
The financial instability hypothesis: A stochastic microfoundation framework
Carl Chiarella
,
Corrado Di Guilmi
Journal:
Journal of Economic Dynamics & Control  J ECON DYN CONTROL
, vol. 35, no. 8, pp. 11511171, 2011
Agent's behaviour in a sequential Dutch auction: evidence from the Pescara wholesale fish market
Gianfranco Giulioni
,
Edgardo Bucciarelli
Journal:
Applied Economics Letters  APPL ECON LETTERS
, vol. 18, no. 5, pp. 455460, 2011
A mathematicalmodel approach to human population explosions caused by migration
(
Citations: 2
)
Minoru Tabata
,
Nobuoki Eshima
,
Ichiro Takagi
Journal:
Nonlinear Analysisreal World Applications  NONLINEAR ANALREAL WORLD APP
, vol. 11, no. 5, pp. 40274042, 2010
Social distance, heterogeneity and social interactions
(
Citations: 1
)
Rama Cont
,
Matthias Löwe
Journal:
Journal of Mathematical Economics  J MATH ECON
, vol. 46, no. 4, pp. 572590, 2010
Uncertainty and Learning in Stochastic Macro Models
Piero Ferri
,
Anna Maria Variato
Journal:
International Advances in Economic Research
, vol. 16, no. 3, pp. 297310, 2010