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

  • Christian Pierdzioch
  • Georg Stadtmann

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. In the present paper a non-linear dynamic macroeconomic model featuring temporary commodity market disequilibria and heterogeneous expectations on asset markets is utilized to simulate complex stock price and foreign exchange rate trajectories. The model is employed to highlight the implications of chartist and fundamentalist trading strategies for the volatility of asset prices. Analyses of the results of numerical simulations are carried out using techniques capable of detecting chaotic dynamics. The analytical framework is also used to study the implications of integrating asset prices into a money supply rule for the variability of asset prices and output. The results of the analyses lead us to conclude that depending upon the structural parameters of the model such a monetary policy might amplify the volatility of financial market prices and the output path.

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Paper provided by Kiel Institute for the World Economy in its series Kiel Working Papers with number 911.

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Length: 50 pages
Date of creation: Feb 1999
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Handle: RePEc:kie:kieliw:911
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