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Behavioural heterogeneity and shift-contagion: Evidence from the Asian crisis

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  • de Jong, Eelke
  • Verschoor, Willem F.C.
  • Zwinkels, Remco C.J.

Abstract

In this paper, we propose an empirical model based on the heterogeneous agents literature. Price changes are induced by fundamental, technical, and international factors. The model is estimated for Hong Kong and Thailand surrounding the Asian crisis. We find that the three sources are relevant and that their relative price impact fluctuates conditional on price impact in the previous period. Results imply that the crisis is triggered in Thailand due to an increased focus on the fundamental price, followed by an increase in chartism and finally aggravated by a focus on foreign developments. Furthermore, the crisis deepens in Hong Kong because of increased attention for foreign markets.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

Volume (Year): 33 (2009)
Issue (Month): 11 (November)
Pages: 1929-1944

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Handle: RePEc:eee:dyncon:v:33:y:2009:i:11:p:1929-1944

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Web page: http://www.elsevier.com/locate/jedc

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Keywords: Heterogeneous expectations Contagion Asian crisis Dynamic models;

References

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Citations

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Cited by:
  1. Jongen, Ron & Verschoor, Willem F.C. & Wolff, Christian C.P. & Zwinkels, Remco C.J., 2012. "Explaining dispersion in foreign exchange expectations: A heterogeneous agent approach," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 36(5), pages 719-735.
  2. Frijns, Bart & Lehnert, Thorsten & Zwinkels, Remco C.J., 2010. "Behavioral heterogeneity in the option market," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 34(11), pages 2273-2287, November.
  3. Assenza, T. & Brock, W.A. & Hommes, C.H., 2012. "Animal Spirits, Heterogeneous Expectations and the Amplification and Duration of Crises," CeNDEF Working Papers 12-07, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  4. Jongen, Ron & Verschoor, Willem F C & Wolff, Christian C & Zwinkels, Remco C.J., 2008. "Dispersion of Beliefs in the Foreign Exchange Market," CEPR Discussion Papers 6738, C.E.P.R. Discussion Papers.
  5. Baur, Dirk G. & Glover, Kristoffer J., 2014. "Heterogeneous expectations in the gold market: Specification and estimation," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 40(C), pages 116-133.
  6. Anufriev, M. & Hommes, C.H., 2011. "Evolutionary Selection of Individual Expectations and Aggregate Outcomes in Asset Pricing Experiments (revised version of WP 09-09)," CeNDEF Working Papers 11-06, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  7. repec:ipg:wpaper:31 is not listed on IDEAS
  8. Marc Joëts, 2013. "Heterogeneous beliefs, regret, and uncertainty: The role of speculation in energy price dynamics," Working Papers 2013-031, Department of Research, Ipag Business School.
  9. de Jong, Eelke & Verschoor, Willem F.C. & Zwinkels, Remco C.J., 2010. "Heterogeneity of agents and exchange rate dynamics: Evidence from the EMS," Journal of International Money and Finance, Elsevier, Elsevier, vol. 29(8), pages 1652-1669, December.
  10. Thorsten Lehnert & Bart Frijns & Remco Zwinkels, 2009. "Behavioral Heterogeneity in the Option Market," LSF Research Working Paper Series 09-07, Luxembourg School of Finance, University of Luxembourg.
  11. Jiri Kukacka & Jozef Barunik, 2012. "Behavioural breaks in the heterogeneous agent model: the impact of herding, overconfidence, and market sentiment," Papers 1205.3763, arXiv.org, revised May 2013.
  12. Cornea, A. & Hommes, C.H. & Massaro, D., 2012. "Behavioral Heterogeneity in U.S. Inflation Dynamics," CeNDEF Working Papers 12-03, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  13. Wilko Bolt & Maria Demertzis & Cees Diks & Marco van der Leij, 2011. "Complex Methods in Economics: An Example of Behavioral Heterogeneity in House Prices," DNB Working Papers, Netherlands Central Bank, Research Department 329, Netherlands Central Bank, Research Department.
  14. Tiziana Assenza & William Brock & Cars Hommes, 2013. "Animal Spirits, Heterogeneous Expectations and the Emergence of Booms and Busts," DISCE - Working Papers del Dipartimento di Economia e Finanza def7, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
  15. Hommes, Cars, 2011. "The heterogeneous expectations hypothesis: Some evidence from the lab," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 35(1), pages 1-24, January.
  16. Anufriev, M. & Tuinstra, J. & Bao, T., 2013. "Fund Choice Behavior and Estimation of Switching Models: An Experiment," CeNDEF Working Papers 13-04, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  17. Carl Chiarella & Xue-Zhong He & Weihong Huang & Huanhuan Zheng, 2011. "Estimating Behavioural Heterogeneity Under Regime Switching," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney 290, Quantitative Finance Research Centre, University of Technology, Sydney.
  18. Mikhail Anufriev & Cars Hommes, 2012. "Evolutionary Selection of Individual Expectations and Aggregate Outcomes in Asset Pricing Experiments," American Economic Journal: Microeconomics, American Economic Association, vol. 4(4), pages 35-64, November.
  19. Carl Chiarella & Xue-Zhong He & Remco C.J. Zwinkels, 2014. "Heterogeneous Expectations in Asset Pricing:Empirical Evidence from the S&P500," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney 344, Quantitative Finance Research Centre, University of Technology, Sydney.

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