Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/323353 
Erscheinungsjahr: 
2024
Quellenangabe: 
[Journal:] Computational Economics [ISSN:] 1572-9974 [Volume:] 65 [Issue:] 2 [Publisher:] Springer US [Place:] New York, NY [Year:] 2024 [Pages:] 845-876
Verlag: 
Springer US, New York, NY
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
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Dokumentart: 
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Dokumentversion: 
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