Economic forecasting and scenario analysis with agent-based modeling
The Institute of Economics will hold a seminar meeting as part of its Seminar Series on Tuesday, May 30, 2023: Sebastian Poledna from International Institute for Applied Systems Analysis (IIASA) will present the paper "Economic forecasting and scenario analysis with agent-based modeling".
We develop the first agent-based model (ABM) that can compete with benchmark VAR and DSGE models in out-of-sample forecasting of macro variables. Our ABM for a small open economy uses micro and macro data from national accounts, sector accounts, input-output tables, government statistics, and census and business demography data. The model incorporates all economic activities as classified by the European System of Accounts (ESA 2010) and includes all economic sectors populated with millions of heterogeneous agents. In addition to being a competitive model framework for forecasts of aggregate variables, the detailed structure of the ABM allows for detailed scenario and policy analysis. We demonstrate the ABM in a number of applications, such as forecasting the medium-run macroeconomic effects of lockdown measures taken in Austria to combat the COVID-19 pandemic, to understand the post-pandemic inflation in Canada, and to analyze the three recent major economic crises of the euro area: the Financial crisis of 2007-2008 and the subsequent Great Recession, the European sovereign debt crisis, and the COVID-19 recession.
The Seminar will be held in Aula 7 DAF.
For online partecipation, please use this link.