On boom-bust stock market dynamics, animal spirits, and the destabilizing nature of temporarily attracting virtual fixed points
Identifikátory výsledku
Kód výsledku v IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F24%3A10255634" target="_blank" >RIV/61989100:27510/24:10255634 - isvavai.cz</a>
Výsledek na webu
<a href="https://www.cambridge.org/core/journals/macroeconomic-dynamics/article/on-boombust-stock-market-dynamics-animal-spirits-and-the-destabilizing-nature-of-temporarily-attracting-virtual-fixed-points/315C6BB0F10851BC290256BD056D8E5D" target="_blank" >https://www.cambridge.org/core/journals/macroeconomic-dynamics/article/on-boombust-stock-market-dynamics-animal-spirits-and-the-destabilizing-nature-of-temporarily-attracting-virtual-fixed-points/315C6BB0F10851BC290256BD056D8E5D</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1017/S1365100524000439" target="_blank" >10.1017/S1365100524000439</a>
Alternativní jazyky
Jazyk výsledku
angličtina
Název v původním jazyce
On boom-bust stock market dynamics, animal spirits, and the destabilizing nature of temporarily attracting virtual fixed points
Popis výsledku v původním jazyce
We propose a stock market model with chartists, fundamentalists and market makers. Chartists chase stock price trends, fundamentalists bet on mean reversion, and market makers adjust stock prices to reflect current excess demand. Fundamentalists' perception of the stock market's fundamental value is subject to animal spirits. As long as the stock market is relatively stable, fundamentalists neutrally believe in a normal fundamental value. However, fundamentalists optimistically (pessimistically) believe in a high (low) fundamental value when the stock market rises (falls) sharply. Our framework may produce boom-bust stock market dynamics that coevolve with waves of optimism and pessimism for parameter settings that would ensure globally stable stock market dynamics in the absence of animal spirits. Responsible for such a surprising outcome is the destabilizing nature of temporarily attracting virtual fixed points, brought about by animal spirits.
Název v anglickém jazyce
On boom-bust stock market dynamics, animal spirits, and the destabilizing nature of temporarily attracting virtual fixed points
Popis výsledku anglicky
We propose a stock market model with chartists, fundamentalists and market makers. Chartists chase stock price trends, fundamentalists bet on mean reversion, and market makers adjust stock prices to reflect current excess demand. Fundamentalists' perception of the stock market's fundamental value is subject to animal spirits. As long as the stock market is relatively stable, fundamentalists neutrally believe in a normal fundamental value. However, fundamentalists optimistically (pessimistically) believe in a high (low) fundamental value when the stock market rises (falls) sharply. Our framework may produce boom-bust stock market dynamics that coevolve with waves of optimism and pessimism for parameter settings that would ensure globally stable stock market dynamics in the absence of animal spirits. Responsible for such a surprising outcome is the destabilizing nature of temporarily attracting virtual fixed points, brought about by animal spirits.
Klasifikace
Druh
J<sub>imp</sub> - Článek v periodiku v databázi Web of Science
CEP obor
—
OECD FORD obor
50200 - Economics and Business
Návaznosti výsledku
Projekt
<a href="/cs/project/GA22-28882S" target="_blank" >GA22-28882S: Interakce mezi finančními trhy a reálným sektorem: Modelování, experimenty a politika</a><br>
Návaznosti
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Ostatní
Rok uplatnění
2024
Kód důvěrnosti údajů
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Údaje specifické pro druh výsledku
Název periodika
Macroeconomic Dynamics
ISSN
1365-1005
e-ISSN
1469-8056
Svazek periodika
29
Číslo periodika v rámci svazku
September
Stát vydavatele periodika
US - Spojené státy americké
Počet stran výsledku
31
Strana od-do
"e35"
Kód UT WoS článku
001319952600001
EID výsledku v databázi Scopus
2-s2.0-85205424289