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Komplexe Aktien- und Wechselkursdynamik in einem makroökonomischen Modell mit heterogener Erwartungsbildung

Author

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  • Pierdzioch, Christian
  • Stadtmann, Georg

Abstract

Komplexe Aktien- und Wechselkurstrajektorien werden im Rahmen eines nichtlinearen dynamischen makroökonomischen Modells mit träger Outputanpassung am Gütermarkt und heterogener Erwartungsbildung auf den Assetmärkten abgeleitet. Die Implikationen des Aufeinandertreffens von Chartisten und Fundamentalisten für die Assetpreisvolatilität werden beleuchten. Dabei gelangen Analyseverfahren der Chaostheorie zur Anwendung. In einem weiteren Analyseschritt werden die Auswirkungen einer an Assetpreisen orientierten Geldpolitik auf die Variabilität der Finanzmarktvariablen und des Outputs betrachtet. Die modelltheoretische Analyse zeigt, daß in Abhängigkeit von den Modellparametern eine zunehmende Assetpreissensitivität der Geldpolitik die Volatilität der Assetpreise und des Outputs erhöhen kann.

Suggested Citation

  • Pierdzioch, Christian & Stadtmann, Georg, 1999. "Komplexe Aktien- und Wechselkursdynamik in einem makroökonomischen Modell mit heterogener Erwartungsbildung," Kiel Working Papers 911, Kiel Institute for the World Economy (IfW Kiel).
    • Handle: RePEc:zbw:ifwkwp:911
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    References listed on IDEAS

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    More about this item

    Keywords

    Aktien- und Wechselkursdynamik; deterministisches Chaos; heterogene Erwartungsbildung; technische Kursanalyse; monetary conditions index;
    All these keywords.

    JEL classification:

    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
    • F47 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Forecasting and Simulation: Models and Applications
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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