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.
- Sprache
-
Englisch
- Erschienen in
-
Series: CESifo Working Paper ; No. 1194
- Klassifikation
-
Wirtschaft
- Thema
-
exchange rate
bounded rationality
heterogeneous agents
bubbles and crashes
complex dynamics
- Ereignis
-
Geistige Schöpfung
- (wer)
-
De Grauwe, Paul
Grimaldi, Marianna
- Ereignis
-
Veröffentlichung
- (wer)
-
Center for Economic Studies and ifo Institute (CESifo)
- (wo)
-
Munich
- (wann)
-
2004
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- De Grauwe, Paul
- Grimaldi, Marianna
- Center for Economic Studies and ifo Institute (CESifo)
Entstanden
- 2004
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