IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this paper or follow this series

Dynamic behavior of real and stock markets with a varying degree of interaction

  • Ahmad Naimzada
  • Marina Pireddu

We develop a macroeconomic behavioral model in order to analyze the interactions between real and financial markets. The real subsystem is represented by a simple Keynesian income-expenditure model, while the financial subsystem is represented by an equilibrium stock market with heterogeneous speculators, i.e., chartists and fundamentalists. The interactions between the two markets are modeled in the following way: the aggregate demand depends, among other variables, also on the stock market price, while the fundamental value used by speculators in their decisional process depends on real economic conditions. In our model we introduce a parameter that represents the degree of interaction. With the aid of analytical and numerical tools we show that an increasing degree of interaction between markets tends to locally stabilize the system. This stabilization occurs via a sequence of period-halving bifurcations. Globally, we find that the stabilization process implies multistability, i.e., the coexistence of different kinds of attractors.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://dipeco.economia.unimib.it/repec/pdf/mibwpaper245.pdf
File Function: First version, 2013
Download Restriction: no

Paper provided by University of Milano-Bicocca, Department of Economics in its series Working Papers with number 245.

as
in new window

Length: 18
Date of creation: Jun 2013
Date of revision: Jun 2013
Handle: RePEc:mib:wpaper:245
Contact details of provider: Postal: Piazza Ateneo Nuovo, 1 Milano 20126
Phone: +39 02 6448 3089
Fax: +39 02 6448 3085
Web page: http://dipeco.economia.unimib.it
Email:


More information through EDIRC

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

as in new window
  1. Lengnick, Matthias & Wohltmann, Hans-Werner, 2011. "Agent-based financial markets and New Keynesian macroeconomics: A synthesis," Economics Working Papers 2011,09, Christian-Albrechts-University of Kiel, Department of Economics.
  2. Scheffknecht, Lukas & Geiger, Felix, 2011. "A behavioral macroeconomic model with endogenous boom-bust cycles and leverage dynamcis," FZID Discussion Papers 37-2011, University of Hohenheim, Center for Research on Innovation and Services (FZID).
  3. Charpe, Matthieu & Flaschel, Peter & Hartmann, Florian & ProaƱo, Christian, 2011. "Stabilizing an unstable economy: Fiscal and monetary policy, stocks, and the term structure of interest rates," Economic Modelling, Elsevier, vol. 28(5), pages 2129-2136, September.
  4. Ahmad Naimzada & Marina Pireddu, 2013. "Dynamics in a nonlinear Keynesian good market model," Working Papers 254, University of Milano-Bicocca, Department of Economics, revised Sep 2013.
  5. repec:cup:cbooks:9781107019294 is not listed on IDEAS
Full references (including those not matched with items on IDEAS)

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:mib:wpaper:245. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Roberto Reale)

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.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with 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 profile, as there may be some citations waiting for confirmation.

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

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.