Based on the seminal asset-pricing model by Brock and Hommes (1998), we analytically show that higher wealth taxes increase the risky asset’s fundamental value, enlarge its local stability domain, may prevent the birth of nonfundamental steady states and, if they exist, reduce the risky...

This paper proposes a new method for financial portfolio optimization based on reducing simultaneous asset shocks across a collection of assets. This may be understood as an alternative approach to risk reduction in a portfolio based on a new mathematical quantity. First, we apply recently...

The present study is on the five cryptocurrency daily mean return time series linearity dynamics during the Covid-19 period. These cryptocurrencies were chosen based on their influence on the market, primarily driven by its market capitalisation. Tether is included as the most important stable...

Tests of excessive volatility along the lines of Shiller (1981) and Leroy and Porter (1981) count among the most convincing pieces of evidence against the validity of the time-honored efficient market hypothesis. Recently, using Shiller s distinction between ex-ante rational (fundamental) price...

In this study, I apply a bibliometric analysis paired with a subsequent snowball sampling procedure. Moreover, I display a full citation network analysis, outlining the most relevant publications and contributions, defining relevant measures and show the interconnectivities and gaps within the...

Chronoamperometry (CA), phase space reconstruction, correlation dimension, multifractal detrended fluctuation analysis (MFDFA) combining linear sweep voltammetry (LSV), electrochemical impedance spectroscopy (EIS), and surface morphology observation were used to systematically analyze the...

We propose an empirically motivated financial market model in which speculators rely on trend-following, contrarian and fundamental trading rules to determine their orders. Speculators' probabilistic rule-selection behavior - the only type of randomness in our model - depends on past and future...

Based on the seminal asset-pricing model by Brock and Hommes (1998), we analytically show that higher wealth taxes increase the risky asset's fundamental value, enlarge its local stability domain, may prevent the birth of nonfundamental steady states and, if they exist, reduce the risky asset's...

The objective of this research was to demonstrate the (nonlinear) risks of sovereign insolvency and explore the applicability of stochastic modeling in public debt management, given a structural economic model of stochastic government debt dynamics. A stochastic optimal control model was...

In this paper, we look for the relevance of chaos in the well-known Hicks-Samuelson's oscillator model investigating the endogenous fluctuations of the national income between two limits: full employment income and under-employment income. We compute the Lyapunov exponent, via Monte-Carlo...

The objective of this research was to demonstrate the (nonlinear) risks of sovereign insolvency and explore the applicability of stochastic modeling in public debt management, given a structural economic model of stochastic government debt dynamics. A stochastic optimal control model was...

This paper studies dynamics of endogenous business cycles and exchange rate volatility in a small open economy. Without market imperfections, domestic price and wage adjustments respond sluggishly to disequilibrium situations on real domestic markets while prices on international capital markets...

In this paper we develop a model of the exchange rate. The existence of transactions costs introduces an important non-linearity. Agents have different beliefs about the future exchange rate. We show that this simple model creates great complexity in the market which is characterised by the fact...

We analyse the workings of a simple non-linear exchange rate model in which agents hold different beliefs about the underlying model. We distinguish between "chartists" and "fundamentalists". The non-linearities in the model originate from transactions costs and from the existence of non-linear...

This profile of Jean-Michel Grandmont is based on several interviews we had with him between September 2016 and April 2017. The interviews took place at our CREST offices, located at that time in Malakoff, just south of Paris. The objective of the profile is twofold. First, we trace the career...

We study environmental policy in an economy-ecology model featuring multiple deterministic stable steady-state ecological equilibria. The economy-ecology does not settle in either of the deterministic steady states as the environmental system is hit by random shocks. Individual live for two...

An accurate global projection algorithm is critical for quantifying the basic moments of the Diamond-Mortensen-Pissarides model. Log linearization under- states the mean and volatility of unemployment, but overstates the volatility of labor market tightness and the magnitude of the...

Tests of excessive volatility along the lines of Shiller (1981) and Leroy and Porter (1981) count among the most convincing pieces of evidence against the validity of the time-honored efficient market hypothesis. Recently, using Shiller’s distinction between ex-ante rational (fundamental)...

The present study is on the five cryptocurrency daily mean return time series linearity dynamics during the Covid-19 period. These cryptocurrencies were chosen based on their influence on the market, primarily driven by its market capitalisation. Tether is included as the most important stable...

This paper proposes a conceptualization of business cycle fluctuations in which the role of financial conditions and nonlinear dynamics are explicitly incorporated. We highlight the role of investment demand in driving economic fluctuations, consider its endogenous dynamic interactions with...

Investors pay a substantial premium to hedge against fluctuations in volatility—the variance risk premium (VRP). The asset-pricing literature has presented numerous models with jumps in economic fundamentals to reproduce the properties and the time variation of the VRP. This paper shows that...

We provide a review of macro-finance models featuring nonlinear dynamics. We survey the models developed recently in the literature, including models with amplification effects of financial constraints, models with households' leverage constraints, and models with financial networks. We also...

Agent-based models are usually claimed to generate complex dynamics; however, the link to such complexity has not been subject to rigorous examination. This paper studies this link between the complexity of financial time series---measured by their multifractal properties---and the design of...

Based on a behavioral stock-flow housing market model in which the expectation formation behavior of boundedly rational and heterogeneous investors may generate endogenous boom-bust cycles, we explore whether central banks can stabilize housing markets via the interest rate. Using a mix of...

We propose an empirically motivated financial market model in which speculators rely on trend-following, contrarian and fundamental trading rules to determine their orders. Speculators' probabilistic rule-selection behavior - the only type of randomness in our model - depends on past and future...

Increases in the federal funds rate aimed at stabilizing the economy have inevitably been followed by recessions. Recently, peaks in the federal funds rate have occurred 6-16 months before the start of recessions; reductions in interest rates apparently occurred too late to prevent those...

The methodology presented provides a quantitative way to characterize investor behavior and price dynamics within a particular asset class and time period. The methodology is applied to a data set consisting of over 250,000 data points of the S&P 100 stocks during 2004-2018. Using a two-way...

Increases in the federal funds rate aimed at stabilizing the economy have inevitably been followed by recessions. Recently, peaks in the federal funds rate have occurred 6-16 months before the start of recessions; reductions in interest rates apparently occurred too late to prevent those...

Fluctuations of exchange rates, like any other economic variables, are very common in financial markets. However, sometimes because of political and economic tensions, exchange rates exhibit abrupt crashes that lead to structural break. In this paper, the author answers the question whether a...

Based on a behavioral stock-flow housing market model in which the expectation formation behavior of boundedly rational and heterogeneous investors may generate endogenous boom-bust cycles, we explore whether central banks can stabilize housing markets via the interest rate. Using a mix of...