Showing 1 - 10 of 71
Within the seminal cobweb model of Brock and Hommes, firms adapt their price expectations by a profit-based switching behavior between free näive expectations and costly rational expectations. Brock and Hommes demonstrate that fixed-point dynamics may turn into increasingly complex dynamics as...
Persistent link: https://www.econbiz.de/10011124445
We develop a simple agent-based financial market model in which heterogeneous speculators apply technical and fundamental analysis to trade in two different stock markets. Speculators׳ strategy/market selections are repeated at each time step and depend on predisposition effects, herding...
Persistent link: https://www.econbiz.de/10011051969
We develop a simple agent-based financial market model in which heterogeneous speculators apply technical and fundamental analysis to trade in two different stock markets. Speculators' strategy/market selections are repeated at each time step and depend on predisposition effects, herding...
Persistent link: https://www.econbiz.de/10010954951
Traditional exchange rate models fail to explain stylized facts such as the high volatility or high trading volumes in an adequate way. Contemporary research has therefore increasingly turned to model the foreign exchange market in a more realistic setting, highlighting for instance the high...
Persistent link: https://www.econbiz.de/10005537565
We develop a three-dimensional nonlinear dynamic model in which the stock markets of two countries are linked through the foreign exchange market. Connections are due to the trading activity of heterogeneous speculators. Using analytical and numerical tools, we seek to explore how the coupling...
Persistent link: https://www.econbiz.de/10005539001
In the fi…rst part of our paper we proposed a three-dimensional nonlinear dynamic model of interacting stock and foreign exchange markets, jointly driven by the speculative activity of heterogeneous investors. We focused, in particular, on the typical 'bull and bear' scenario that emerges from...
Persistent link: https://www.econbiz.de/10005539002
We propose a simple Keynesian business cycle model in which national income expectations of heterogeneous interacting investors affect their investment decisions. The investors' expectation formation is influenced by their sentiment: investors who hold optimistic views about the future state of...
Persistent link: https://www.econbiz.de/10005397249
As demonstrated by Samuelson, the interplay between the multiplier analysis and the principle of acceleration may generate temporary business cycles. We extend Samuelson's seminal framework in the sense that investors now apply a nonlinear mix of extrapolative and regressive expectation...
Persistent link: https://www.econbiz.de/10005468293
We seek to demonstrate that consumer sentiment may create fluctuations in economic activity. Our nonlinear discrete-time model possesses, for instance, a Neimark-Sacker bifurcation, after which a stable steady state is replaced by (quasi-)periodic motion. Countercyclical interventions to...
Persistent link: https://www.econbiz.de/10005468366
We develop a simple two-region, cobweb-type dynamic partial equilibrium model to demonstrate the existence of optimal, possibly non-zero, trade barriers. A pure comparative statics analysis of our model suggests that a reduction of trade barriers, modeled as small but positive import tariffs,...
Persistent link: https://www.econbiz.de/10011077517