Starting from a Muthian cobweb model, we extend the profit-based evolutionary setting in Hommes and Wagener (2010) by assuming that, in addition to pessimistic, optimistic and unbiased fundamentalists, the market is populated by rational producers, which correctly anticipate the next period price. Thanks to their introduction, we find that, differently from the framework in Hommes and Wagener (2010), the map governing the dynamics is no more monotonically decreasing. Hence, if on the one hand adding rational agents enlarges the local stability region of the steady state, on the other hand their consideration opens the door to complex dynamic outcomes, characterized by chaotic attractors and rich multistability phenomena, that we investigate along the paper.

Naimzada, A., Pireddu, M. (2020). Rational expectations (may) lead to complex dynamics in a Muthian cobweb model with heterogeneous agents. JOURNAL OF ECONOMIC BEHAVIOR & ORGANIZATION, 177, 415-432 [10.1016/j.jebo.2020.06.024].

Rational expectations (may) lead to complex dynamics in a Muthian cobweb model with heterogeneous agents

Naimzada, A
;
Pireddu, M
2020

Abstract

Starting from a Muthian cobweb model, we extend the profit-based evolutionary setting in Hommes and Wagener (2010) by assuming that, in addition to pessimistic, optimistic and unbiased fundamentalists, the market is populated by rational producers, which correctly anticipate the next period price. Thanks to their introduction, we find that, differently from the framework in Hommes and Wagener (2010), the map governing the dynamics is no more monotonically decreasing. Hence, if on the one hand adding rational agents enlarges the local stability region of the steady state, on the other hand their consideration opens the door to complex dynamic outcomes, characterized by chaotic attractors and rich multistability phenomena, that we investigate along the paper.
Articolo in rivista - Articolo scientifico
Muthian cobweb model; evolutionary learning; heterogeneous agents; rational expectations; complex dynamics
English
10-lug-2020
2020
177
415
432
none
Naimzada, A., Pireddu, M. (2020). Rational expectations (may) lead to complex dynamics in a Muthian cobweb model with heterogeneous agents. JOURNAL OF ECONOMIC BEHAVIOR & ORGANIZATION, 177, 415-432 [10.1016/j.jebo.2020.06.024].
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10281/279108
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