Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/279554 
Erscheinungsjahr: 
2023
Schriftenreihe/Nr.: 
BERG Working Paper Series No. 189
Verlag: 
Bamberg University, Bamberg Economic Research Group (BERG), Bamberg
Zusammenfassung: 
We propose a simple agent-based version of Paul de Grauwe's chaotic exchange rate model. In particular, we assume that each speculator follows his own technical and fundamental trading rule. Moreover, a speculator's choice between these two trading philosophies depends on his individual assessment of current market circumstances. Our agent-based model setup is able to explain a number of important stylized facts of foreign exchange markets, including bubbles and crashes, excess volatility, fat-tailed return distributions, serially uncorrelated returns and volatility clustering. A stability and bifurcation analysis of its deterministic skeleton provides us with useful insights that foster our understanding of exchange rate dynamics.
Schlagwörter: 
Foreign exchange markets
exchange rates
chartists and fundamentalists
agent-based computational economics
stability and bifurcation analysis
JEL: 
D84
F31
G14
ISBN: 
978-3-949224-10-2
Dokumentart: 
Working Paper

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