Testing fundamentalist–momentum trader financial cycles: An empirical analysis via the Kalman filter

Gusella, Filippo; Stockhammer, Engelbert

doi:10.1111/meca.12347

Cited by 8 publications

(1 citation statement)

References 106 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…While there are empirical studies in the behavioural approach, they have so far focused on stock markets (Lof 2012;Chiarella et al 2014;Hommes and in 't Veld 2017) and foreign exchange markets (Westerhoff/Reitz 2003;de Jong et al 2010) rather than on housing. Gusella/ Stockhammer (2021) provide evidence that house price dynamics are consistent with momentum trader models based on aggregate data for the USA, UK and France. Empirical work in the Minsky tradition is sparse and has focussed on household debt rather than house prices (Palley 1994;Kim 2016).…”

Section: Heterodox Macroeconomics: Endogenous Booms and Busts In Hous...mentioning

confidence: 55%

House price cycles, housing systems, and growth models

Kohler,

Tippet,

Stockhammer

2023

European Journal of Economics and Economic Policies Intervention

View full text Add to dashboard Cite

The paper provides a framework for theorising the role of house price cycles in national growth models. We synthesise Minskyan approaches with comparative political economy (CPE) by arguing that institutions influence the extent to which countries experience what we call ‘house-price-driven growth models’. First, we argue that house price dynamics have been undertheorised in existing growth models analysis. Finance-led models can be properly understood only against the background of rising house prices that stimulate consumption through wealth effects and investment through construction. Second, we identify behavioural and Minskyan theories of housing cycles as suitable frameworks to theorise the impact of housing on growth. However, this literature does not provide an analysis of cross-country differences in housing cycles. Third, drawing on the CPE literature on housing systems, we argue that factors such as private homeownership and mortgage-credit encouraging institutions can explain differences in the intensity of housing cycles. We provide preliminary empirical support for this framework from a cross-country analysis. Our results show strong cross-country heterogeneity in the intensity of housing cycles. Countries with more intense house price cycles also tend to exhibit more volatile business and debt cycles. Homeownership rates and mortgage-credit encouraging institutions are positively correlated with the volatility of house price cycles.

show abstract

Section: Heterodox Macroeconomics: Endogenous Booms and Busts In Hous...mentioning

confidence: 55%

House price cycles, housing systems, and growth models

Kohler,

Tippet,

Stockhammer

2023

European Journal of Economics and Economic Policies Intervention

View full text Add to dashboard Cite

show abstract

Minskyan model with credit rationing in a network economy

Noguera

Montes‐Rojas²

2023

SN Bus Econ

View full text Add to dashboard Cite

The global financial crisis of 2007/2008 has shown the importance of modeling economic agents not in isolation but as interconnected and interactive components of dynamically evolving systems. Within this framework, the field of complex systems for the study of economic dynamics has been the object of renewed interest. This paper is based on Minsky's Financial Instability Hypothesis and on the literature of Agent-Based Models to analyze a bank credit market where heterogeneous firms and banks interact following game theory rules. The objective is twofold: (1) to evaluate the influence of bank behavior on the formation of the credit network and the spread of financial difficulties in an agent-based model; and, (2) to analyze the properties of the emerging credit network and its influence on macroeconomic performance. Our simulations suggest that aggregate economic instability may arise as a result of the liquidity preference behavior of banks that restrict credit to the productive sector when they have pessimistic expectations.

show abstract

A Critical Analysis of the Financial Frictions Approach in a Minskyan Perspective

Bertocco,

Kalajzić

2024

Journal of Economic Issues

View full text Add to dashboard Cite

Testing fundamentalist–momentum trader financial cycles: An empirical analysis via the Kalman filter

Cited by 8 publications

References 106 publications

House price cycles, housing systems, and growth models

House price cycles, housing systems, and growth models

Minskyan model with credit rationing in a network economy

A Critical Analysis of the Financial Frictions Approach in a Minskyan Perspective

Contact Info

Product

Resources

About