Homoclinic tangles in a Kaldor-like business cycle model

Agliari, Anna; Dieci, Roberto; Gardini, Laura

doi:10.1016/j.jebo.2005.07.009

Cited by 40 publications

(25 citation statements)

References 30 publications

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“…As a matter of fact, numerical investigations in Section 4 confirm that for any A and for sufficiently large γ , stable closed orbits no longer exist and the bi-stability structure, generated by the pitchfork bifurcation, prevails ('pitchfork scenario'). Moreover, for intermediate values of γ , two locally stable steady states may coexist with a stable closed orbit, which is a typical phenomenon in nonlinear dynamical models with a 'cubic' equation (Agliari et al 2007, Dieci andGallegati 2011).…”

Section: Backward-looking Expectationsmentioning

confidence: 99%

Heterogeneous Expectations, Boom-Bust Housing Cycles, and Supply Conditions: A Nonlinear Dynamics Approach

Dieci

Westerhoff

2015

SSRN Journal

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in AbstractWe combine a standard stock-flow housing market model, incorporating explicit relationships between house prices, the housing stock, and the rent level, with a parsimonious expectation formation scheme of housing market investors, reflecting an evolving mix of extrapolative and regressive expectation rules. The model results in a two-dimensional discrete-time nonlinear dynamical system. Based on realistic parameters, the model is able to generate endogenous boom-bust housing market dynamics with lasting periods of overvaluation and overbuilding. We thus exploit our model to investigate how real forces, in particular supply conditions, interact with expectations-driven housing market fluctuations.

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Section: Backward-looking Expectationsmentioning

confidence: 99%

Heterogeneous Expectations, Boom-Bust Housing Cycles, and Supply Conditions: A Nonlinear Dynamics Approach

Dieci

Westerhoff

2015

SSRN Journal

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“…The set of inequalities (A.2) provide a necessary and sufficient condition to guarantee that 9l 1;2 9 o1 (Agliari et al, 2007;Bischi et al, 2001;Dieci and Westerhoff, 2010). The inequality P 1 ð1Þ 40 is always satisfied under the assumptions made about a and r. From the condition P 1 ðÀ1Þ it follows that b ¼ b L 4ðaÀ2Þ=ar .…”

Section: A1 Proof Of Propositionmentioning

confidence: 99%

Animal spirits in the foreign exchange market

Kaltwasser

2012

Journal of Economic Dynamics and Control

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“…This coexistence scenario, which we do not explore in detail, occurs quite frequently in models in which a 'normal' steady state may become unstable via both a pitchfork and a Neimark-Sacker bifurcation, and generically entails very complicated dynamics and 'contact' bifurcations involving attracting and repelling invariant closed curves, and stable manifolds of saddle cycles (see, e.g. Agliari et al 2007). Finally note that, whatever the local bifurcation causing the loss of stability of the FSS, the scenario that prevails for very large values of the coefficient γ is a 'pitchfork scenario' followed by a regime where switches between phases of high and low prices occur at seemingly unpredictable points in time (middle panel).…”

Section: The Dynamic Interplay Between Extrapolative and Regressive Dmentioning

confidence: 99%

Modeling House Price Dynamics with Heterogeneous Speculators

Dieci

Westerhoff

2012

Global Analysis of Dynamic Models in Economics and Finance

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This paper investigates the impact of speculative behavior on house price dynamics. Speculative demand for housing is modeled using a heterogeneous agent approach, whereas 'real' demand and housing supply are represented in a standard way. Together, real and speculative forces determine excess demand in each period and house price adjustments. Three alternative models are proposed, capturing in different ways the interplay between fundamental trading rules and extrapolative trading rules, resulting in a 2D, a 3D, and a 4D nonlinear discretetime dynamical system, respectively. While the destabilizing effect of speculative behavior on the model's steady state is proven in general, the three specific cases illustrate a variety of situations that can bring about endogenous dynamics, with lasting and significant price swings around the 'fundamental' price, as we have seen in many real markets.

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Homoclinic tangles in a Kaldor-like business cycle model

Cited by 40 publications

References 30 publications

Heterogeneous Expectations, Boom-Bust Housing Cycles, and Supply Conditions: A Nonlinear Dynamics Approach

Heterogeneous Expectations, Boom-Bust Housing Cycles, and Supply Conditions: A Nonlinear Dynamics Approach

Animal spirits in the foreign exchange market

Modeling House Price Dynamics with Heterogeneous Speculators

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