The paper investigates the emergence of complex market expectations (opinion dynamics) around nominal exchange rate adjustments using a macro-financial model of a small open economy featuring heterogeneous expectation formation (chartists and fundamentalists) and gradual adjustment processes in...

We develop a constrained bivariate switching model to explore empirically the behavior of wage and price Phillips-curves for high- and low-inflation regimes. Using this switching regression technique with a structural simultaneous equations model of Phillips curves, we identify significant lower...

Trade among individuals occurs either because tastes (risk aversion) differ, endowments differ, or beliefs differ. Utilising the concept of "adaptively rational equilibrium" and a recent framework of Brock and Hommes (1977, 1997) this paper incorporates risk and learning schemes into a simple...

We analyse the Bouchouev integral equation for the deterministic volatility function in the Black–Scholes option pricing model. We areable to reduce Bouchouev's original triple integral equation to a single integral equation and describe its numerical solution. Moreover we show empirically...

In this paper, we investigate the presence of rationalherding on asset price dynamics during the intra-day trading withheterogeneous interacting agents, whose information set is notcomplete. In the model, individual probability measures offinancial investment strategies are defined using...