IDEAS home Printed from https://ideas.repec.org/p/arx/papers/2401.09871.html
   My bibliography  Save this paper

Wealth dynamics in a multi-aggregate closed monetary system

Author

Listed:
  • Andrea Monaco
  • Matteo Ghio
  • Adamaria Perrotta

Abstract

We examine the statistical properties of a closed monetary economy with multi-aggregates interactions. Building upon Yakovenko's single-agent monetary model (Dragulescu and Yakovenko, 2000), we investigate the joint equilibrium distribution of aggregate size and wealth. By comparing theoretical and simulated data, we validate our findings and investigate the influence of both micro dynamics and macro characteristics of the system on the distribution. Additionally, we analyze the system's convergence towards equilibrium under various conditions. Our laboratory model may offer valuable insights into macroeconomic phenomena allowing to reproduce typical wealth distribution features observed in real economy.

Suggested Citation

  • Andrea Monaco & Matteo Ghio & Adamaria Perrotta, 2024. "Wealth dynamics in a multi-aggregate closed monetary system," Papers 2401.09871, arXiv.org.
    • Handle: RePEc:arx:papers:2401.09871
    as

    Download full text from publisher

    File URL: http://arxiv.org/pdf/2401.09871
    File Function: Latest version
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Pfeffer, Fabian T. & Waitkus, Nora, 2021. "The Wealth Inequality of Nations," SocArXiv 6msuf, Center for Open Science.
    2. Emmanuel Saez & Gabriel Zucman, 2020. "The Rise of Income and Wealth Inequality in America: Evidence from Distributional Macroeconomic Accounts," Journal of Economic Perspectives, American Economic Association, vol. 34(4), pages 3-26, Fall.
    3. Frederic S. Mishkin, 2009. "Monetary Policy Strategy," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262513374, April.
    4. Andrea Colciago & Anna Samarina & Jakob de Haan, 2019. "Central Bank Policies And Income And Wealth Inequality: A Survey," Journal of Economic Surveys, Wiley Blackwell, vol. 33(4), pages 1199-1231, September.
    5. A. Chakraborti & I. Muni-Toke & M. Patriarca & F. Abergel, 2011. "Econophysics Review : II. Agent-based models," Post-Print hal-03332946, HAL.
    6. Moritz Kuhn & Moritz Schularick & Ulrike I. Steins, 2020. "Income and Wealth Inequality in America, 1949–2016," Journal of Political Economy, University of Chicago Press, vol. 128(9), pages 3469-3519.
    7. Yves Achdou & Jiequn Han & Jean-Michel Lasry & Pierre-Louis Lionse & Benjamin Moll, 2022. "Income and Wealth Distribution in Macroeconomics: A Continuous-Time Approach," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 89(1), pages 45-86.
    8. Mark L.J. Wright & Esteban Rossi-Hansberg, 2004. "Firm Size Dynamics in the Aggregate Economy," 2004 Meeting Papers 878, Society for Economic Dynamics.
    9. Quah, Danny T, 1996. "Aggregate and Regional Disaggregate Fluctuations," Empirical Economics, Springer, vol. 21(1), pages 137-159.
    10. Anirban Chakraborti & Ioane Muni Toke & Marco Patriarca & Frederic Abergel, 2011. "Econophysics review: II. Agent-based models," Quantitative Finance, Taylor & Francis Journals, vol. 11(7), pages 1013-1041.
    11. Jess Benhabib & Alberto Bisin & Mi Luo, 2019. "Wealth Distribution and Social Mobility in the US: A Quantitative Approach," American Economic Review, American Economic Association, vol. 109(5), pages 1623-1647, May.
    12. Frederic S. Mishkin & Adam S. Posen, 1997. "Inflation targeting: lessons from four countries," Economic Policy Review, Federal Reserve Bank of New York, vol. 3(Aug), pages 9-110.
    13. Rigobon, Roberto & Sack, Brian, 2004. "The impact of monetary policy on asset prices," Journal of Monetary Economics, Elsevier, vol. 51(8), pages 1553-1575, November.
    14. Jeremy Rudd & Karl Whelan, 2007. "Modeling Inflation Dynamics: A Critical Review of Recent Research," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(s1), pages 155-170, February.
    15. repec:ebl:ecbull:v:15:y:2003:i:6:p:1-7 is not listed on IDEAS
    16. Chow, Gregory C., 1997. "Dynamic Economics: Optimization by the Lagrange Method," OUP Catalogue, Oxford University Press, number 9780195101928.
    17. Anirban Chakraborti & Ioane Muni Toke & Marco Patriarca & Frederic Abergel, 2011. "Econophysics review: I. Empirical facts," Quantitative Finance, Taylor & Francis Journals, vol. 11(7), pages 991-1012.
    18. Anand Banerjee & Victor M. Yakovenko, 2009. "Universal patterns of inequality," Papers 0912.4898, arXiv.org, revised Apr 2010.
    19. Giuseppe Bertola & Reto Foellmi & Josef Zweimüller, 2005. "Income Distribution in Macroeconomic Models," Economics Books, Princeton University Press, edition 1, number 8058.
    20. Anirban Chakraborti & Ioane Muni Toke & Marco Patriarca & Frédéric Abergel, 2011. "Econophysics review: II. Agent-based models," Post-Print hal-00621059, HAL.
    21. Esteban Rossi-Hansberg & Mark L. J. Wright, 2007. "Establishment Size Dynamics in the Aggregate Economy," American Economic Review, American Economic Association, vol. 97(5), pages 1639-1666, December.
    22. Adrian Dragulescu & Victor M. Yakovenko, 2000. "Statistical mechanics of money," Papers cond-mat/0001432, arXiv.org, revised Aug 2000.
    23. A. Drăgulescu & V.M. Yakovenko, 2001. "Evidence for the exponential distribution of income in the USA," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 20(4), pages 585-589, April.
    24. Erik Hurst & Ming Ching Luoh & Frank P. Stafford, 1998. "The Wealth Dynamics of American Families, 1984-94," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 29(1), pages 267-338.
    25. Danny Quah, 1996. "Aggregate and Regional Disaggregate Fluctuations," CEP Discussion Papers dp0275, Centre for Economic Performance, LSE.
    26. repec:cup:cbooks:9781107013445 is not listed on IDEAS
    27. Corrado Di Guilmi & Mauro Gallegati & Edoardo Gaffeo, 2003. "Power Law Scaling in the World Income Distribution," Economics Bulletin, AccessEcon, vol. 15(6), pages 1-7.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Fei Cao & Sebastien Motsch, 2021. "Derivation of wealth distributions from biased exchange of money," Papers 2105.07341, arXiv.org.
    2. Ignacio Ormazábal & F. A. Borotto & H. F. Astudillo, 2017. "Influence of Money Distribution on Civil Violence Model," Complexity, Hindawi, vol. 2017, pages 1-15, November.
    3. Aydiner, Ekrem & Cherstvy, Andrey G. & Metzler, Ralf, 2018. "Wealth distribution, Pareto law, and stretched exponential decay of money: Computer simulations analysis of agent-based models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 278-288.
    4. Christoph J. Borner & Ingo Hoffmann & John H. Stiebel, 2024. "A closer look at the chemical potential of an ideal agent system," Papers 2401.09233, arXiv.org.
    5. Kiran Sharma & Subhradeep Das & Anirban Chakraborti, 2017. "Global Income Inequality and Savings: A Data Science Perspective," Papers 1801.00253, arXiv.org, revised Aug 2018.
    6. Hernández-Ramírez, E. & del Castillo-Mussot, M. & Hernández-Casildo, J., 2021. "World per capita gross domestic product measured nominally and across countries with purchasing power parity: Stretched exponential or Boltzmann–Gibbs distribution?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 568(C).
    7. Ban Zheng & François Roueff & Frédéric Abergel, 2014. "Ergodicity and scaling limit of a constrained multivariate Hawkes process," Post-Print hal-00777941, HAL.
    8. Hong Guo & Jianwu Lin & Fanlin Huang, 2023. "Market Making with Deep Reinforcement Learning from Limit Order Books," Papers 2305.15821, arXiv.org.
    9. Pierre Gosselin & Aïleen Lotz & Marc Wambst, 2020. "A path integral approach to business cycle models with large number of agents," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 15(4), pages 899-942, October.
    10. Pierre Gosselin & Aïleen Lotz & Marc Wambst, 2019. "A Statistical Field Approach to Capital Accumulation," Working Papers hal-02280634, HAL.
    11. Stein, Julian Alexander Cornelius & Braun, Dieter, 2019. "Stability of a time-homogeneous system of money and antimoney in an agent-based random economy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 520(C), pages 232-249.
    12. Hua, Jia-Chen & Chen, Lijian & Falcon, Liberty & McCauley, Joseph L. & Gunaratne, Gemunu H., 2015. "Variable diffusion in stock market fluctuations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 419(C), pages 221-233.
    13. repec:hal:wpaper:hal-00777941 is not listed on IDEAS
    14. Pierre Gosselin & Aïleen Lotz & Marc Wambst, 2017. "A Path Integral Approach to Interacting Economic Systems with Multiple Heterogeneous Agents," Working Papers hal-01549586, HAL.
    15. Tian, Songtao & Liu, Zhirong, 2020. "Emergence of income inequality: Origin, distribution and possible policies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 537(C).
    16. Ivan Jericevich & Patrick Chang & Tim Gebbie, 2021. "Simulation and estimation of an agent-based market-model with a matching engine," Papers 2108.07806, arXiv.org, revised Aug 2021.
    17. Inoua, Sabiou M. & Smith, Vernon L., 2023. "A classical model of speculative asset price dynamics," Journal of Behavioral and Experimental Finance, Elsevier, vol. 37(C).
    18. Nikolaos Th. Chatzarakis, 2021. "Revisiting the role and consequences of Econophysics from a Marxian perspective," Bulletin of Political Economy, Bulletin of Political Economy, vol. 15(1), pages 45-68, June.
    19. Ban Zheng & Franc{c}ois Roueff & Fr'ed'eric Abergel, 2013. "Ergodicity and scaling limit of a constrained multivariate Hawkes process," Papers 1301.5007, arXiv.org, revised Feb 2014.
    20. Martin Šmíd, 2016. "Estimation of zero-intelligence models by L1 data," Quantitative Finance, Taylor & Francis Journals, vol. 16(9), pages 1423-1444, September.
    21. Pierre Gosselin & Aïleen Lotz & Marc Wambst, 2021. "A statistical field approach to capital accumulation," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 16(4), pages 817-908, October.

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:2401.09871. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.