Adverse effects of leverage and short-selling constraints in a financial market model with heterogeneous agents

DOI10.1016/j.jedc.2016.05.005zbMath1401.91082OpenAlexW2401705356MaRDI QIDQ1655720

Daan in 't Veld

Publication date: 9 August 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2016.05.005

zbMATH Keywords

heterogeneous agentsfinancial stabilityasset pricing modelshort-selling bansleverage constraints

Mathematics Subject Classification ID

Related Items (9)

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Cites Work

• The heterogeneous expectations hypothesis: Some evidence from the lab
• The impact of short-selling constraints on financial market stability in a heterogeneous agents model
• More hedging instruments may destabilize markets
• ``Period three to period two bifurcation for piecewise linear models
• Border-collision bifurcations including ``period two to period three for piecewise smooth systems
• Heterogeneous beliefs and routes to chaos in a simple asset pricing model
• Endogenous fluctuations in a simple asset pricing model with heterogeneous agents
• Belief Disagreements and Collateral Constraints
• Leverage causes fat tails and clustered volatility
• Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations
• A Rational Route to Randomness
• Asset price and wealth dynamics under heterogeneous expectations

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