Heterogeneity of agents, transactions costs and the exchange rate

DOI10.1016/J.JEDC.2004.01.004zbMATH Open1202.91236OpenAlexW2022344275MaRDI QIDQ953773FDOQ953773

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

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zbMATH Keywords

chaosheterogeneous agentstransaction costsexchange ratesensitivity to initial conditions

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (18)

• Currency manipulation and currency wars: analyzing the dynamics of competitive central bank interventions
• Optimal monetary policy in a New Keynesian model with animal spirits and financial markets
• 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
• Time-varying arbitrage and dynamic price discovery
• Is more memory in evolutionary selection (de)stabilizing?
• Behavioral heterogeneity in the option market
• An analysis of the effect of investor sentiment in a heterogeneous switching transition model for G7 stock markets
• 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
• 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
• Revisiting Paul de Grauwe's chaotic exchange rate model: new analytical insights and agent-based explorations
• Adaptive learning, endogenous uncertainty, and asymmetric dynamics

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