IDEAS home Printed from https://ideas.repec.org/p/kyo/wpaper/1128.html

Chaotic Asset Price Dynamics with Technology Choice and Imperfect Observation

Author

Listed:
  • Jing Zhang

    (Okayama University)

  • Takao Asano

    (Okayama University)

  • Akihisa Shibata

    (Osaka University of Economics)

  • Masanori Yokoo

    (Okayama University)

Abstract

Asset price volatility, characterized by episodic booms and busts, is a prominent feature of real economies. To explain these phenomena, most existing literature has relied on bounded rationality or exogenous shocks. This paper studies land price dynamics within a rational agent general equilibrium model that incorporates endogenous technology choice. Entrepreneurs choose between a Leontief technology and a linear technology so as to maximize firm value, based on their relative productivity, but they can only observe the current land price with some noise. This informational friction results in probabilistic mixing of technology choices, leading to a continuous nonlinear land pricing map. We demonstrate that, under parameter restrictions that yield the Markov property, the resulting map exhibits observable chaos, and its invariant densities can be characterized analytically.

Suggested Citation

  • Jing Zhang & Takao Asano & Akihisa Shibata & Masanori Yokoo, 2026. "Chaotic Asset Price Dynamics with Technology Choice and Imperfect Observation," KIER Working Papers 1128, Kyoto University, Institute of Economic Research.
    • Handle: RePEc:kyo:wpaper:1128
    as

    Download full text from publisher

    File URL: https://www.kier.kyoto-u.ac.jp/wp/wp-content/uploads/2026/06/DP1128.pdf
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    ;
    ;
    ;
    ;

    JEL classification:

    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • O33 - Economic Development, Innovation, Technological Change, and Growth - - Innovation; Research and Development; Technological Change; Intellectual Property Rights - - - Technological Change: Choices and Consequences; Diffusion Processes

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:kyo:wpaper:1128. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Makoto Watanabe (email available below). General contact details of provider: https://edirc.repec.org/data/iekyojp.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.