On the Stochastic Sensitivity and Noise-Induced Transitions of a Kaldor-Type Business Cycle Model

Irina Bashkirtseva (), Davide Radi (), Lev Ryashko () and Tatyana Ryazanova ()
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Irina Bashkirtseva: Ural Federal University
Lev Ryashko: Ural Federal University
Tatyana Ryazanova: Ural Federal University

Computational Economics, 2018, vol. 51, issue 3, No 16, 699-718

Abstract: Abstract In the paper, we consider a Kaldor-type model of the business cycle with external additive and internal parametric disturbances. We study analytically and numerically the probability properties of stochastically forced equilibria and limit cycles via stochastic sensitivity function technique. In particular, we discuss the effects of additive and parametric noises on the economic variables and we detect some stochastic bifurcations such as a P-bifurcation, i.e a phenomenon of noise-induced transition from monostability to bistability. This stochastic bistability causes a new trigger regime in economic dynamics.

Keywords: Stochastic business cycle model; Random disturbances; Stochastic sensitivity function; Noise-induced bi-stability (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1007/s10614-016-9634-8

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