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- Macroeconomic dynamics
- Business Cycle analysis
- Behavioral models of Asset Pricing Bubbles
- Dynamic Stochastic General Equilibrium modeling
- Computational Economics methods
- Quantitative research methods
I strongly believe in the importance of building new knowledge from the cross-fertilization of the social sciences and the hard sciences. One relevant avenue of research that offers great potential is the application of complex systems for social science research, in particular:
- Network structure modeling
- Evolution and learning algorithms
- Large scale macroeconomic modeling of many-type agents
Yepez,C. et al. (2008). Credit-Network Model of the US Housing Market. mimeo CSSS. Santa Fe, NM.
We implement a Heterogeneous Interacting Agents (HIA) model in an attempt to model a credit network of the US housing market. We draw on a financial fragility model by Delli Gatti et al. (2005, 2008) and adapt it for capture the salient features of the US housing market. Although our model is very simple, it does a good job in replicating qualitatively the short-run fluctuations of credit creation and credit defaults observed in the US housing market. We propose further directions to expand the model including the capability for endogenous price determination, and an additional layer by including a complex commercial banking network.
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