Arbeitspapier
Bubbles and Crashes in a Behavioural Finance Model
We develop a simple model of the exchange rate in which agents optimize their portfolio and use different forecasting rules. They check the profitability of these rules ex post and select the more profitable one. This model produces two kinds of equilibria, a fundamental and a bubble one. In a stochastic environment the model generates a complex dynamics in which bubbles and crashes occur at unpredictable moments. We contrast these behavioural bubbles with rational bubbles.
- Language
-
Englisch
- Bibliographic citation
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Series: CESifo Working Paper ; No. 1194
- Classification
-
Wirtschaft
- Subject
-
exchange rate
bounded rationality
heterogeneous agents
bubbles and crashes
complex dynamics
- Event
-
Geistige Schöpfung
- (who)
-
De Grauwe, Paul
Grimaldi, Marianna
- Event
-
Veröffentlichung
- (who)
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Center for Economic Studies and ifo Institute (CESifo)
- (where)
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Munich
- (when)
-
2004
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- De Grauwe, Paul
- Grimaldi, Marianna
- Center for Economic Studies and ifo Institute (CESifo)
Time of origin
- 2004
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