Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/323353 
Year of Publication: 
2024
Citation: 
[Journal:] Computational Economics [ISSN:] 1572-9974 [Volume:] 65 [Issue:] 2 [Publisher:] Springer US [Place:] New York [Year:] 2024 [Pages:] 845-876
Publisher: 
Springer US, New York
Abstract: 
Abstract 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.
Subjects: 
Foreign exchange markets
Exchange rates
Chartists and fundamentalists
Agent-based computational economics
Stability and bifurcation analysis
Persistent Identifier of the first edition: 
Additional Information: 
D84;F31;G14
Creative Commons License: 
cc-by Logo
Document Type: 
Article
Document Version: 
Published Version
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