Paper Info
Title
Uncertainty Analysis of Simple Macroeconomic Models Using Angel-Daemon Games.
Abstract
We propose the use of an angel-daemon framework to perform an uncertainty analysis of short-term macroeconomic models with exogenous components. An uncertainty profile $mathcal U$ is a short and macroscopic description of a potentially perturbed situation. The angel-daemon framework uses $mathcal U$ to define a strategic game where two agents, the angel and the daemon, act selfishly having different goals. The Nash equilibria of those games provide the stable strategies in perturbed situations, giving a natural estimation of uncertainty. this initial work we apply the framework in order to get an uncertainty analysis of linear versions of the IS-LM and the IS-MP models. In those models, by considering uncertainty profiles, we can capture different economical situations. Some of them can be described in terms of macroeconomic policy coordination. In other cases we just analyse the results of the system under some possible perturbation level. Besides providing examples of application we analyse the structure of the Nash equilibria in some particular cases of interest.
Year
Venue
Field
2016
arXiv: Computational Engineering, Finance, and Science
Mathematical economics,Mathematical optimization,Macroeconomic model,Sensitivity analysis,Uncertainty analysis,Nash equilibrium,Daemon,Mathematics,Perturbation (astronomy)
DocType
Volume
Citations 
Journal
abs/1609.06153
0
PageRank 
References 
Authors
0.34
2
2
Name
Order
Citations
PageRank
Joaquim Gabarró119728.76
Maria J. Serna247370.53