Mittwoch, 13. August 2014

DSGE vs ABM

Werden agentenbasierte Modelle (ABM) die derzeit in der Makroökonomik hautsächlich genutzten Modelle des allgemeinen Gleichgewichts (DSGE) verdrängen?
Mark Buchanan meint definitiv ja:
"[...] agent-based modelling completely overtakes the field. It will be seen by policy makers and regulators and research funding bodies and anyone else interested in understanding economies in a fundamental way as BY FAR the most powerful and flexible way to go. In a forthcoming column at Bloomberg, I look very briefly at one recent macroeconomic agent-based models developed by Domenico Delli Gatti, Mauro Gallegati and a number of colleagues, including some physicists and computer scientists. This model — and it is just one of a handful I might have looked at — illustrates just how sophisticated these things are becoming. Meanwhile, it seems, very few economists are paying attention."
Chris House ist skeptisch und meint eher nein:
"Whether ABMs have any future in economics is not clear. I suspect that the rule-based approach at the heart of the ABMs will ultimately limit their usefulness – particularly if outcomes depend importantly on subtle differences in specifications of the rules or if individuals have to adhere to simple rules even when the system starts acting wild.

Another problem facing the ABMs is that they appear to be suggested as a solution to a problem that might not exist.  In their 2009 Nature article, J. Doyne Farmer and Duncan Foley write that DSGE models “assume a perfect world, and by their very nature rule out crises of the type” we experienced in 2007-2008.  DSGE models do not “assume a perfect world.” Economists are enthusiastically adding frictions and modifications to DSGE models which incorporate many real-world types of market failures.  I will concede that I would be reluctant to offer a particular version of a DSGE model that I felt accurately captured what was going on during the crisis but I don’t think this is because of a limitation of the DSGE approach.  It’s a limitation of economists fundamental understanding of financial crises.  And that’s not something that ABMs are going to fix." 
Ich forsche weder auf dem Gebiet der DSGE-Modelle noch auf jenem der ABM, so dass ich dazu nicht wirklich eine fundierte Position habe. Klar ist allerdings, dass ein möglicher Wandel sehr, sehr lange dauern würde, weil (fast) alle Ökonomen, die im Bereich der DSGE-Modelle ausgebildet sind,  mit diesem Framework bis zur Rente weiterarbeiten werden ...

Update: Rajiv Sethi hat eine kritische Antwort auf den Beitrag von Chris House geschrieben. Sein wichtigster Punkt ist, dass auch ABM von optimierendem Verhalten einzelner Agenten ausgehen können. Ihr Design stellt aber auch dann nicht sicher, dass sich das System ex-ante im Gleichgewicht befindet.

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