Stock-flow consistent macroeconomic model with nonuniform distributional constraint

Aurélien Hazan (1)

1 UPEC UP12 - Université Paris-Est Créteil Val-de-Marne - Paris 12

We report on results concerning a partially aggregated Stock Flow Consistent (SFC) macroeconomic model in the stationary state where the sectors of banks and firms are aggregated, the sector of households is dis-aggregated, and the probability density function (pdf) of the wealth of households is exogenous, constrained by econometric data. It is shown that the equality part of the constraint can be reduced to a single constant-sum equation, which relates this problem to the study of continuous mass transport problems, and to the sum of iid random variables. Existing results can thus be applied, and provide marginal probabilities, and the location of the critical point before condensation occurs. Various numerical experiments are performed using Monte Carlo sampling of the hit-and-run type, using wealth and income data for France.

Mots clés: economics; condensation; physics and society; monte carlo; constraint satisfaction; finance; mass transport; random network

Domaines: Physique et Société [physics.soc-ph]; Modélisation et simulation; Applications [stat.AP]

Aurélien Hazan. Stock-flow consistent macroeconomic model with nonuniform distributional constraint. 2017. ⟨hal-01571202⟩