EconPapers    
Economics at your fingertips  
 

Investment behaviour and “bull & bear” dynamics: Modelling real and stock market interactions

Serena Sordi () and Marwil Dávila-Fernández

Department of Economics University of Siena from Department of Economics, University of Siena

Abstract: We develop a simple behavioural macrodynamic model in continuous-time with the purpose of investigating the interaction of the real economy and the ?financial markets. Building on Westerfhoff (2012), we improve the specification of aggregate demand by distinguishing between consumption and investment expenditure and assuming that the latter is determined by the ?flexible accelerator principle. We remove the ad-hoc nonlinearity in the fundamentalist behavioural rule and allow the composition of the population between chartists and fundamentalists to be endogenously determined. The resulting nonlinear dynamic systems are shown to generate various dynamic regimes, among which the coexistence of periodic attractors with interesting economic implications.

Keywords: Real-financial interaction; multiplier; nonlinear accelerator; heterogenous speculators; complex dynamics. (search for similar items in EconPapers)
JEL-codes: E12 E24 E32 E44 (search for similar items in EconPapers)
Date: 2019-01
New Economics Papers: this item is included in nep-mac and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://repec.deps.unisi.it/quaderni/800.pdf (application/pdf)

Related works:
Journal Article: Investment behaviour and “bull & bear” dynamics: modelling real and stock market interactions (2020) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:usi:wpaper:800

Access Statistics for this paper

More papers in Department of Economics University of Siena from Department of Economics, University of Siena Contact information at EDIRC.
Bibliographic data for series maintained by Fabrizio Becatti ().

 
Page updated 2021-12-21
Handle: RePEc:usi:wpaper:800