In the present paper, we investigate the dynamics of a model in which the real part of the economy, described within a multiplier-accelerator framework, interacts with a financial market with heterogeneous speculators, in order to study the channels through which the two sectors influence each other. Employing analytical and numerical tools, we investigate stability conditions as well as bifurcations and possible periodic, quasi-periodic, and chaotic dynamics, enlightening how the degree of market interaction, together with the accelerator parameter and the intervention of the fiscal authority, may affect the business cycle and the course of the financial market. In particular, we show that even if the steady state is locally stable, multistability phenomena can occur, with several and complex dynamic structures coexisting with the steady state. Finally, simulations reveal that the proposed model is able to explain several statistical properties and stylized facts observed in real financial markets, including persistent high volatility, fat-tailed return distributions, volatility clustering, and positive autocorrelation of absolute returns.
Cavalli, F., NAIMZADA, A., & Pecora, N. (2017). Real and financial market interactions in a multiplier-accelerator model: Nonlinear dynamics, multistability and stylized facts. CHAOS, 27(10).
|Citazione:||Cavalli, F., NAIMZADA, A., & Pecora, N. (2017). Real and financial market interactions in a multiplier-accelerator model: Nonlinear dynamics, multistability and stylized facts. CHAOS, 27(10).|
|Tipo:||Articolo in rivista - Articolo scientifico|
|Carattere della pubblicazione:||Scientifica|
|Presenza di un coautore afferente ad Istituzioni straniere:||No|
|Titolo:||Real and financial market interactions in a multiplier-accelerator model: Nonlinear dynamics, multistability and stylized facts|
|Autori:||Cavalli, F; NAIMZADA, A; Pecora, N|
CAVALLI, FAUSTO (Corresponding)
NAIMZADA, AHMAD KABIR (Corresponding)
|Data di pubblicazione:||2017|
|Digital Object Identifier (DOI):||http://dx.doi.org/10.1063/1.4994617|
|Appare nelle tipologie:||01 - Articolo su rivista|