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Komplexe Aktien- und Wechselkursdynamik in einem makroökonomischen Modell mit heterogener Erwartungsbildung
Pierdzioch, Christian | Stadtmann, Georg
Credit and Capital Markets – Kredit und Kapital, Vol. 33 (2000), Iss. 3 : pp. 377–409
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Christian Pierdzioch, Kiel
Georg Stadtmann, Vallendar
References
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Abstract
Heterogenous Expectations Based on a Macroeconomic Model of a Complex Stock-Price and Exchange-Rate Dynamism
In this contribution, complex stock-price and exchange-rate trajectories are derived within the framework of a non-linear dynamic macroeconomic model with inert output adjustment in the goods market and heterogenous expectations for the asset markets. Some light is thrown on the implications of the conflict between chartists and fundamentalists for the asset-price volatility. This contribution shows that this model allows to explain in theoretical terms the empirically proven GARCH effects on financial-market prices. To this end, chaos theory-based analysis procedures are applied. The next analytical step is to look into the effects of an asset price-based monetary policy on the variance of financial-market variables and of output. The model-theoretic analysis shows that, depending on the model parameters, an increasing asset-price sensitivity of monetary policy may increase the volatility of asset prices and of output.