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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: The aim is to develop and estimate a Dynamic Stochastic General Equilibrium (DSGE) model with heterogeneous agents 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 the MitISEM. This econometric method is based on the importance sampling and avoids the Markov Chain Monte Carlo (MCMC) algorithm. There are several advantages associated with this method, e.g., parallelization and no autocorrelation of the draws. Results indicate that heterogeneity matters for the magnitude of crypto-specific shocks to the economy.