Agent-based Computational Economics for Policy Analysis

Description du projet

L’impact de la dette privée sur les finances publiques

Par quels mécanismes la dette privée s’accumule-t-elle? En tenant compte du caractère interconnecté des institutions financières, une hausse de la dette privée peut-elle se traduire par une crise financière susceptible de se propager au secteur réel et ainsi générer une dette publique? Le projet ACEPOL, financé par l’UE, répondra à ces questions. Il compte développer de nouvelles techniques d’apprentissage statistique, économétriques et algorithmiques, et les appliquer à un modèle informatique économique basé sur des agents. Cela permettra aux chercheurs d’analyser des dynamiques de dettes privée et publique en suivant étroitement les secteurs financiers et réels au niveau micro. Les résultats de ce projet permettront d’améliorer notre compréhension des mesures politiques ex ante qui devraient être utilisées afin d’éviter des crises déclenchées par la dette, et les interventions politiques ex ante susceptibles de contribuer à atténuer ces effets négatifs.

Objectif

The recent economic crisis has also been a crisis for economic theory. Hence, the economic profession started to debate and prepare a methodological reconsideration about the general role of economic models; new modeling strategies, alternative and complementary to the standard Dynamic Stochastic General Equilibrium (DSGE) models, have therefore emerged. Among these innovative approaches, Agent-based Computational Economics (ACE) started to occupy a prominent role. However, ACE models still need to be improved in three main directions before being ready to be employed as a standard policy tool adopted by central banks. These three directions are: (i) calibration, (ii) external validation, (iii) formal evaluation of systemic risk.

This fellowship aims at directly tackling these three issues by employing new statistical learning, econometric, and algorithmic techniques and by applying them to an ACE model that enables one to analyze private and public debt dynamics by closely following the financial and real sectors at the micro-level.

The research plan here proposed aims at developing a calibrated and validated model able to explain how the rise in private debt and the interconnectedness of financial institutions might lead to financial crisis, which then might spread to the real sector and ask for a massive public sector intervention, possibly generating also public debt overhangs. Additionally, the innovativeness in the methods here employed will allow to establish higher standards for the development of descriptive ACE models. Once these model are properly and rigosously calibrated and validated by means of real-world datasets indeed, they can be adopted to evaluate a set of counterfactual policy exercises. In particular we aim at understanding which ex-ante policy measures might help avoiding debt-triggered crises and which ex-post policy interventions might help in mitigating their negative effects.