Một mô hình vĩ mô kiểu dáng với các thị trường thực, tiền tệ và chứng khoán tương tác
Tóm tắt
Từ khóa
Tài liệu tham khảo
Agliari A, Naimzada A, Pecora N (2018) Boom-bust dynamics in a stock market participation model with heterogeneous traders. J Econ Dyn Control 91:458–468
Aliber RZ, Kindleberger CP (2017) Manias, panics, and crashes: a history of financial crises. Springer, Berlin
Asada T, Chiarella C, Flaschel P, Mouakil T, Proaño CR, Semmler W (2010) Stabilizing an unstable economy: on the choice of proper policy measures. Econ Open Access E J 4
Ascari G, Pecora N, Spelta A (2018) Booms and busts in a housing market with heterogeneous agents. Macroecon Dyn 22(7):1808–1824
Blanchard OJ (1981) Output, the stock market, and interest rates. Am Econ Rev 71(1):132–143
Blaurock I, Schmitt N, Westerhoff F (2018) Market entry waves and volatility outbursts in stock markets. J Econ Behav Organ 153:19–37
Brock WA, Hommes CH (1998) Heterogeneous beliefs and routes to chaos in a simple asset pricing model. J Econ Dyn Control 22(8–9):1235–1274
Browne F, Cronin D (2012) The new dynamic between US stock prices and money holdings. World Econ 13(1):137–156
Carlson JB, Schwarz JC (1999) Effects of movements in equities prices on M2 demand. Tech. Rep. 35, Economic Review-Federal Reserve Bank of Cleveland
Cavalli F, Naimzada AK, Pecora N, Pireddu M (2018) Agents’ beliefs and economic regimes polarization in interacting markets. Chaos Interdiscip J Nonlinear Sci 28(5):055911
Charpe M, Flaschel P, Hartmann F, Proaño C (2011) Stabilizing an unstable economy: Fiscal and Monetary policy, stocks, and the term structure of interest rates. Econ Model 28(5):2129–2136
Chen Q, Goldstein I, Jiang W (2007) Price informativeness and investment sensitivity to stock price. Rev Financ Stud 20(3):619–650
Chiarella C, Flaschel P, Semmler C (2001) Real-financial interaction: a reconsideration of the Blanchard model with state-of-market dependent reaction coefficient. Tech. rep., Working Paper, School of Finance and Economics, UTS
Chiarella C, Semmler W, Mittnik S, Zhu P (2002) Stock market, interest rate and output: a model and estimation for US time series data. Stud Nonlinear Dyn Econ 6(1):1–39
Chiarella C, Giansante S, Sordi S, Vercelli A (2010) Financial fragility and interacting units: an exercise. In: Decision theory and choices: a complexity approach. Springer, pp 117–126
Chiarella C, He XZ, Zwinkels RC (2014) Heterogeneous expectations in asset pricing: empirical evidence from the s&p500. J Econ Behav Organ 105:1–16
De Grauwe P, Kaltwasser PR (2012) Animal spirits in the foreign exchange market. J Econ Dyn Control 36(8):1176–1192
Dow JP, Elmendorf DW (1998) The effect of stock prices on the demand for money market mutual funds. Tech. rep., Division of Research and Statistics, Division of Monetary Affairs, Federal Reserve Board
Flaschel P, Charpe M, Galanis G, Proaño CR, Veneziani R (2018) Macroeconomic and stock market interactions with endogenous aggregate sentiment dynamics. J Econ Dyn Control 91:237–256
Gori M, Ricchiuti G (2018) A dynamic exchange rate model with heterogeneous agents. J Evolut Econ 28(2):399–415
Hicks JR (1937) Mr. Keynes and the classics; a suggested interpretation. Econ J Econ Soc 5(2):147–159
Hommes C (2011) The heterogeneous expectations hypothesis: some evidence from the lab. J Econ Dyn Control 35(1):1–24
Hommes C (2013) Behavioral rationality and heterogeneous expectations in complex economic systems. Cambridge University Press, Cambridge
Keynes JM (1936) The general theory of employment, interest and money. Palgrave Macmillan, London
Kirman A, Zimmermann JB (eds) (2012) Economics with heterogeneous interacting agents. Springer, Berlin
Lengnick M, Wohltmann HW (2013) Agent-based financial markets and New Keynesian macroeconomics: a synthesis. J Econ Interact Coord 8(1):1–32
Lengnick M, Wohltmann HW (2016) Optimal monetary policy in a New Keynesian model with animal spirits and financial markets. J Econ Dyn Control 64:148–165
Manski CF, McFadden D et al (1981) Structural analysis of discrete data with econometric applications. MIT Press, Cambridge
Naimzada A, Pecora N (2017) Dynamics of a multiplier-accelerator model with nonlinear investment function. Nonlinear Dyn 88(2):1147–1161
Naimzada A, Pireddu M (2015) Real and financial interacting markets: a behavioral macro-model. Chaos Solitons Fract 77:111–131
Noussair C, Robin S, Ruffieux B (2001) Price bubbles in laboratory asset markets with constant fundamental values. Exp Econ 4(1):87–105
Schmitt N, Westerhoff F (2017) Heterogeneity, spontaneous coordination and extreme events within large-scale and small-scale agent-based financial market models. J Evolut Econ 27(5):1041–1070
Semmler W (2011) Asset prices, booms and recessions: financial economics from a dynamic perspective. Springer, Berlin
Shiller RJ (2015) Irrational exuberance: revised and expanded, 3rd edn. Princeton University Press, Princeton
Sordi S, Davila-Fernandez MJ (2020) Investment behaviour and bull & bear dynamics: modelling real and stock market interactions. J Econ Interact Coord
Tramontana F, Westerhoff F, Gardini L (2010) On the complicated price dynamics of a simple one-dimensional discontinuous financial market model with heterogeneous interacting traders. J Econ Behav Organ 74(3):187–205