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Title: Heterogeneous agents and cryptocurrency Authors:  Marco Lorusso - Newcastle University (United Kingdom) [presenting]
Francesco Ravazzolo - Free University of Bozen-Bolzano (Italy)
Stefano Grassi - University of Rome 'Tor Vergata' (Italy)
Abstract: A Dynamic Stochastic General Equilibrium (DSGE) model with heterogeneous agents is developed and estimated in which a first group of agents participates in the cryptocurrency market, whereas a second group of agents does not hold a cryptocurrency. We estimate our model using a Mixture of Students t by Importance Sampling weighted Expectation-Maximization (MitISEM). The use of Importance Sampling and of an adaptive scheme based on Expectation-Maximization allows us to efficiently estimate our heterogeneous agent macro model with aggregate shocks. Results indicate that heterogeneity matters for the magnitude of crypto-specific shocks to the economy.