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Odd period cycles and ergodic properties in price dynamics for an exchange economy

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  • Tomohiro Uchiyama

Abstract

In the first part of this paper (Sections 1-4), we study a standard exchange economy model with Cobb-Douglas type consumers and give a necessary and sufficient condition for the existence of an odd period cycle in the Walras-Samuelson (tatonnement) price adjustment process. We also give a sufficient condition for a price to be eventually attracted to a chaotic region. In the second part (Sections 5 and 6), we investigate ergodic properties of the price dynamics showing that the existence of chaos is not necessarily bad. (The future is still predictable on average.) Moreover, supported by a celebrated work of Avila et al. (Invent. Math., 2003), we conduct a sensitivity analysis to investigate a relationship between the ergodic sum (of prices) and the speed of price adjustment. We believe that our methods in this paper can be used to analyse many other chaotic economic models.

Suggested Citation

  • Tomohiro Uchiyama, 2023. "Odd period cycles and ergodic properties in price dynamics for an exchange economy," Papers 2309.09176, arXiv.org, revised Apr 2024.
    • Handle: RePEc:arx:papers:2309.09176
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    References listed on IDEAS

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    1. Deng, Liuchun & Khan, M. Ali & Mitra, Tapan, 2022. "Continuous unimodal maps in economic dynamics: On easily verifiable conditions for topological chaos," Journal of Economic Theory, Elsevier, vol. 201(C).
    2. Bhattacharya,Rabi & Majumdar,Mukul, 2007. "Random Dynamical Systems," Cambridge Books, Cambridge University Press, number 9780521825658, June.
    3. Bhattacharya,Rabi & Majumdar,Mukul, 2007. "Random Dynamical Systems," Cambridge Books, Cambridge University Press, number 9780521532723, June.
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    Cited by:

    1. Tomohiro Uchiyama, 2024. "Characterising the existence of an odd period cycle in price dynamics for an exchange economy," Economics Bulletin, AccessEcon, vol. 44(3), pages 983-989.

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