Showing 1 - 10 of 14
We propose an empirical test to depict possible endogenous cycles within Heterogeneous Agent Models (HAMs). We consider a 2-type HAM into a standard small-scale dynamic asset pricing framework. On the one hand, fundamentalists base their expectations on the deviation of fundamental value from...
Persistent link: https://www.econbiz.de/10013225981
Persistent link: https://www.econbiz.de/10015147865
Given the unobserved nature of expectations, this paper employs latent variable analysis to examine three financial instability models and assess their out-of-sample forecasting accuracy. We compare a benchmark linear random walk model, which implies exogenous instability phenomena, with a...
Persistent link: https://www.econbiz.de/10014521225
Persistent link: https://www.econbiz.de/10014540598
We extend the multi-country, multi-sector agent-based model in Dosi et al. (2019, 2021) by incorporating an exchange rate market where heterogeneous chartist and fundamentalist financial traders exchange foreign currencies. This introduces complex interactions between the real and financial side...
Persistent link: https://www.econbiz.de/10015069712
Persistent link: https://www.econbiz.de/10012492765
Persistent link: https://www.econbiz.de/10009269936
Starting from the premise that productivity is heterogeneous across firms, Melitz (2003) explains why individual productivity is key in determining the capability of a firm to export. In this paper we build a model along Melitz's lines to show that also financial capacity, captured by the level...
Persistent link: https://www.econbiz.de/10011492068
In his seminal paper, starting from the premise that productivity is heterogeneous across firms, Melitz (2003) nicely accounts for the stylized fact that the level of individual productivity is key in determining the capability of a firm to export. In this paper we build a model along Melitz's...
Persistent link: https://www.econbiz.de/10011775922
Starting from the premise that productivity is heterogeneous across firms, Melitz (2003) explains why individual productivity is key in determining the capability of a firm to export. In this paper we build a model along Melitz's lines to show that also financial capacity, captured by the level...
Persistent link: https://www.econbiz.de/10012986270