Heterogeneity of agents, transactions costs and the exchange rate

DOI10.1016/J.JEDC.2004.01.004MaRDI QIDQ953773zbMATH OpenOpenAlexFDO

Authors Paul De Grauwe, Marianna Grimaldi

Publication date 6 November 2008

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jedc.2004.01.004

zbMATH Keywords

chaosheterogeneous agentstransaction costsexchange ratesensitivity to initial conditions

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82) Heterogeneous agent models (91B69)

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Cites work

• A Rational Route to Randomness
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• Financial markets as nonlinear adaptive evolutionary systems
• Heterogeneous beliefs and routes to chaos in a simple asset pricing model
• Microeconomic Models for Long Memory in the Volatility of Financial Time Series
• On nonlinear, stochastic dynamics in economic and financial time series
• VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS

Cited in

(25)

• Adaptive learning, endogenous uncertainty, and asymmetric dynamics
• The real exchange rate and household consumption heterogeneity: testing Kocherlakota and Pistaferri's (2007) model
• Optimal monetary policy in a New Keynesian model with animal spirits and financial markets
• Currency manipulation and currency wars: analyzing the dynamics of competitive central bank interventions
• Model uncertainty and exchange rate volatility
• Performance of rational and boundedly rational agents in a model with persistent exchange-rate volatility
• Estimation of financial agent-based models with simulated maximum likelihood
• Modeling exchange rate behavior with a genetic algorithm
• Optimal monetary policy in a regime-switching economy: The response to abrupt shifts in exchange rate dynamics
• Macroeconomic and stock market interactions with endogenous aggregate sentiment dynamics
• The Euro/Dollar exchange rate: chaotic or non-chaotic? A continuous time model with heterogeneous beliefs
• Time-varying arbitrage and dynamic price discovery
• Is more memory in evolutionary selection (de)stabilizing?
• Animal spirits in the foreign exchange market
• Behavioral heterogeneity in the option market
• An analysis of the effect of investor sentiment in a heterogeneous switching transition model for G7 stock markets
• Representativeness of news and exchange rate dynamics
• The interplay between two stock markets and a related foreign exchange market: A simulation approach
• Heterogeneous speculators, endogenous fluctuations and interacting markets: a model of stock prices and exchange rates
• BUBBLES IN FOREIGN EXCHANGE MARKETS
• Robust mathematical formulation and probabilistic description of agent-based computational economic market models
• Genetic learning as an explanation of stylized facts of foreign exchange markets
• Exchange rate dynamics in a target zone-A heterogeneous expectations approach
• Uncertainty aversion in a heterogeneous agent model of foreign exchange rate formation
• Revisiting Paul de Grauwe's chaotic exchange rate model: new analytical insights and agent-based explorations

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