Showing 1 - 10 of 135
We introduce a heterogeneous agent asset pricing model in continuous-time to show that, although trend chasing, switching and herding all contribute to market volatility in price and return and to volatility clustering, their impacts are different. The fluctuations of the market price and return...
Persistent link: https://www.econbiz.de/10011077524
In an evolutionary model, players from a given population meet randomly in pairs each instant to play a coordination game. At each instant, the learning model used is determined via some replicator dynamics that respects payoff fitness. We allow for two such models: a belief-based best-response...
Persistent link: https://www.econbiz.de/10011051897
The paper studies the dynamics of housing prices in a pure exchange overlapping generations framework a la Samuelson (1958) and Gale (1973), which is extended to include housing as a utility-yielding durable good and a credit sector. We completely characterize the equilibrium dynamics, which...
Persistent link: https://www.econbiz.de/10011190679
We examine the stability under learning (E-stability) of sunspot equilibria in non-convex real business cycle models. The production technology is Cobb–Douglas with externalities generated by factor inputs. We establish that, with a general utility function, the well-known Benhabib–Farmer...
Persistent link: https://www.econbiz.de/10010871022
We consider a Ramsey model with a continuum of Cournotian industries where free entry generates an endogenous markup. The model produces two different regimes, monopolistic and Cournotian monopolistic competition, resulting in non-smooth dynamics. We analyze the global dynamics of the model,...
Persistent link: https://www.econbiz.de/10011051978
This paper presents an agent based model which underlines the importance of credit network and leverage dynamics in determining the resilience of the system, defining an early warning indicator for crises. The model reproduces macroeconomic dynamics emerging from the interactions of...
Persistent link: https://www.econbiz.de/10011190655
In this paper we build on the network-based financial accelerator model of Delli Gatti et al. (2010), modelling the firms' financial structure following the “dynamic trade-off theory”, instead of the “packing order theory”. Moreover, we allow for multiperiodal debt structure and consider...
Persistent link: https://www.econbiz.de/10011051909
This paper argues that the stock market crash of 2008, triggered by a collapse in house prices, caused the Great Recession. The paper has three parts. First, it provides evidence of a high correlation between the value of the stock market and the unemployment rate in U.S. data since 1929....
Persistent link: https://www.econbiz.de/10010574006
In a repeated market for short-lived assets, we investigate wealth-driven selection among investment rules that depend on endogenous market variables, such as current and past prices. We study the random dynamical system describing prices and wealth dynamics and characterize local stability of...
Persistent link: https://www.econbiz.de/10011077521
We develop an agent-based model in which heterogeneous and boundedly rational agents interact by trading a risky asset at an endogenously set price. Agents are endowed with balance sheets comprising the risky asset as well as cash on the asset side and equity capital as well as debt on the...
Persistent link: https://www.econbiz.de/10011077522