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Prices, debt and market structure in an agent-based model of the financial market
Fischer, Thomas; Riedler, Jesper - In: Journal of Economic Dynamics and Control 48 (2014) C, pp. 95-120
higher levels of leverage lead to a greater inequality among agents. Furthermore, greater leverage increases the frequency of … key difference in the relation between leverage and assets observed for different bank types. Lowering credit frictions … leads to an increasingly procyclical behavior of leverage, which is typical for investment banks. Nevertheless, the impact …
Persistent link: https://www.econbiz.de/10011077522
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Is consumer confidence an indicator of JSE performance?
Solanki, Kamini; Seetharam, Yudhvir - In: Contemporary economics 8 (2014) 3, pp. 257-273
While most studies examine the impact of business confidence on market performance, we instead focus on the consumer because consumer spending habits are a natural extension of trading activity on the equity market. This particular study examines investor sentiment as measured by the Consumer...
Persistent link: https://www.econbiz.de/10010414775
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Introduction to general equilibrium
Balasko, Yves; Geanakoplos, John - In: Journal of Economic Theory 147 (2012) 2, pp. 400-406
This introduces the symposium on general equilibrium.
Persistent link: https://www.econbiz.de/10010572387
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Endogenous leverage and asset pricing in double auctions
Breuer, Thomas; Jandačka, Martin; Summer, Martin; … - In: Journal of Economic Dynamics and Control 53 (2015) C, pp. 144-160
framework we validate recent results in general equilibrium theory about endogenous leverage and its consequences for asset …
Persistent link: https://www.econbiz.de/10011209192
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Inflation targeting in a learning economy: An ABM perspective
Salle, Isabelle; Yıldızoğlu, Murat; Sénégas, … - In: Economic Modelling 34 (2013) C, pp. 114-128
This paper investigates the performances of an inflation targeting regime in a learning economy framed as an Agent-Based Model (ABM). We keep our ABM as close as possible to the original New Keynesian (NK) model, but we model the individual behaviour of the agents under procedural rationality à...
Persistent link: https://www.econbiz.de/10011048696
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Structural contagion and vulnerability to unexpected liquidity shortfalls
Giansante, Simone; Chiarella, Carl; Sordi, Serena; … - In: Journal of Economic Behavior & Organization 83 (2012) 3, pp. 558-569
This paper assumes that financial fluctuations are the result of the dynamic interaction between liquidity and solvency conditions of individual economic units. The framework is an extention of Sordi and Vercelli (2012) designed as an heterogeneous agent model which proceeds through discrete...
Persistent link: https://www.econbiz.de/10010594597
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Unemployment benefits and financial leverage in an agent based macroeconomic model
Ricetti, Luca; Russo, Alberto; Gallegati, Mauro - 2013
This paper is aimed at investigating the effects of government intervention through unemployment benefits on macroeconomic dynamics in an agent based decentralized matching framework. The major result is that the presence of such a public intervention in the economy stabilizes the aggregate...
Persistent link: https://www.econbiz.de/10010210551
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Groupthink: Collective Delusions in Organizations and Markets
Bénabou, Roland - C.E.P.R. Discussion Papers - 2009
I develop a model of (individually rational) collective reality denial in groups, organizations and markets. Whether participants' tendencies toward wishful thinking reinforce or dampen each other is shown to hinge on a simple and novel mechanism. When an agent can expect to benefit from other's...
Persistent link: https://www.econbiz.de/10005666620
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Groupthink: Collective Delusions in Organizations and Markets
Benabou, Roland - National Bureau of Economic Research (NBER) - 2009
I develop a model of (individually rational) collective reality denial in groups, organizations and markets. Whether participants' tendencies toward wishful thinking reinforce or dampen each other is shown to hinge on a simple and novel mechanism. When an agent can expect to benefit from other's...
Persistent link: https://www.econbiz.de/10005588916
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Herding, trend chasing and market volatility
Di Guilmi, Corrado; He, Xue-Zhong; Li, Kai - In: Journal of Economic Dynamics and Control 48 (2014) C, pp. 349-373
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