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Isabelle Salle

Bio: Isabelle Salle is an academic researcher from University of Amsterdam. The author has contributed to research in topics: Monetary policy & Social learning. The author has an hindex of 12, co-authored 40 publications receiving 419 citations. Previous affiliations of Isabelle Salle include Centre national de la recherche scientifique & Bank of Canada.

Papers
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Journal ArticleDOI
TL;DR: In this article, the authors provide guidelines for the use of a much more efficient method that combines a parsimonious sampling of the parameter space using a specific design of experiments (DoE), with a well-suited metamodeling method first developed in geostatistics: kriging.
Abstract: Extensive exploration of simulation models comes at a high computational cost, all the more when the model involves a lot of parameters Economists usually rely on random explorations, such as Monte Carlo simulations, and basic econometric modeling to approximate the properties of computational models This paper aims to provide guidelines for the use of a much more efficient method that combines a parsimonious sampling of the parameter space using a specific design of experiments (DoE), with a well-suited metamodeling method first developed in geostatistics: kriging We illustrate these guidelines by following them in the analysis of two simple and well known economic models: Nelson and Winter's industrial dynamics model, and Cournot oligopoly with learning firms In each case, we show that our DoE experiments can catch the main effects of the parameters on the models' dynamics with a much lower number of simulations than the Monte-Carlo sampling (eg 85 simulations instead of 2,000 in the first case) In the analysis of the second model, we also introduce supplementary numerical tools that may be combined with this method, for characterizing configurations complying with a specific criterion (social optimal, replication of stylized facts, etc) Our appendix gives an example of the R-project code that can be used to apply this method on other models, in order to encourage other researchers to quickly test this approach on their models

60 citations

Journal ArticleDOI
TL;DR: In this paper, the authors investigated the performance of an inflation targeting regime in a learning economy framed as an Agent-Based Model (ABM), where the individual behavior of the agents was modeled under procedural rationality a la Simon.

51 citations

Posted Content
TL;DR: Jamel as discussed by the authors is an agent-based framework dedicated to modeling, simulation and analysis of complex monetary economies, and it contains the scenario used in the paper "Deleveraging crises and deep recessions: a behavioural approach" by Pascal Seppecher and Isabelle Salle.
Abstract: Jamel (Java Agent-based Macro-Economic Laboratory) is an open source agent-based framework dedicated to the modeling, the simulation and the analysis of complex monetary economies. This version (20140206) contains the scenario used in the paper "Deleveraging crises and deep recessions: a behavioural approach" by Pascal Seppecher and Isabelle Salle.

41 citations

Journal ArticleDOI
TL;DR: In this paper, the authors design an experiment to generate empirical evidence on the effectiveness of policies aimed at managing expectations against liquidity traps in a controlled laboratory environment where expectations are elicied directly from human subjects.
Abstract: The global economic crisis of 2007-8 pushed many advanced economies into a liquidity trap, a macroeconomic scenario characterised by nomial rates at the zero lower bound (ZLB), low inflation and output below trend. We design an experiment to generate empirical evidence on the effectiveness of policies aimed at managing expectations against liquidity traps in a controlled laboratory environment where expectations are elicied directly from human subjects. Our results suggest that monetary policy alone is not sufficient to insulate the economy form the risk of falling into a liquidity trap, even if it preventively cuts the policy augmented with a fiscal switching rule succeeds in avoiding and escapiing liquidity trap episodes. We also measure larger-than-unity fiscal mulipliers when monetary policy is constrained by the ZLB. Experimental results in different treatments are well explained by adaptive learning.

38 citations

Journal ArticleDOI
TL;DR: This article developed a decentralized and micro-founded macro-economic agent-based model, augmented with an opinion model, which produces endogenous waves of pessimism and optimism that feed back into firms' leverage and households' precautionary saving behavior.
Abstract: Macroeconomic dynamics are characterized by alternating patterns of periods of relative stability and large swings. Standard micro-founded macro-economic models account for these patterns through exogenous and persistent shocks. In this paper, we develop a fully decentralized and micro-founded macro-economic agent-based model, augmented with an opinion model, which produces endogenous waves of pessimism and optimism that feed back into firms' leverage and households' precautionary saving behaviour. A major emergent property of our model is precisely the complex successions of stable and unstable macro-economic regimes. The model is further able to account for a wide spectrum of macro-and micro empirical regularities. Within this framework, we analyse a series of macro-economic phenomena of key relevance in the current macro-economic debate, especially the occurrence of deleveraging crises and Fisherian debt-deflation recessions. Our analysis suggests that the relative dynamics of prices and wages and the resulting income distribution along a deflation-ary path are critical determinants of the severity of the recession, and the chances of recovery.

34 citations


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TL;DR: The Arrow-Pratt theory of risk aversion was shown to be isomorphic to the theory of optimal choice under risk in this paper, making possible the application of a large body of knowledge about risk aversion to precautionary saving.
Abstract: The theory of precautionary saving is shown in this paper to be isomorphic to the Arrow-Pratt theory of risk aversion, making possible the application of a large body of knowledge about risk aversion to precautionary saving, and more generally, to the theory of optimal choice under risk In particular, a measure of the strength of precautionary saving motive analogous to the Arrow-Pratt measure of risk aversion is used to establish a number of new propositions about precautionary saving, and to give a new interpretation of the Oreze-Modigliani substitution effect

1,944 citations

01 Jan 2016
TL;DR: Raghuram G. Rajan, a professor at the University of Chicago and former chief economist at the International Monetary Fund, proves the exception to Greenberg's rule of unsatisfactory endings.
Abstract: Maybe Greenberg hadn’t come across Fault Lines: How Hidden Fractures Still Threaten the World Economy. Raghuram G. Rajan, a professor at the University of Chicago and former chief economist at the International Monetary Fund, proves the exception to Greenberg’s rule of unsatisfactory endings. Where others have delved into the personalities and perverse systems that led to the financial crisis and then summed up with a half­baked list of policy ideas, Rajan puts a premium on policy. In fact, nearly half of Fault Lines is dedicated to policy choices that Rajan believes are not only realistically achievable but likely to be quite effective. He makes a good case.

386 citations

Journal ArticleDOI
TL;DR: This article used an agent-based model that is able to reproduce a wide array of macro- and micro-empirical regularities to find the most appropriate combination of fiscal and monetary policies in economies subject to banking crises and deep recessions.

240 citations