Nonlinear expectation formation, endogenous business cycles and stylized facts

Autor(en): Westerhoff, Frank H.
Stichwörter: Business & Economics; Economics; EXCHANGE-RATE EXPECTATIONS; Mathematical Methods In Social Sciences; MODEL; Social Sciences, Mathematical Methods
Erscheinungsdatum: 2006
Herausgeber: BERKELEY ELECTRONIC PRESS
Journal: STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS
Volumen: 10
Ausgabe: 4
Zusammenfassung: 
We modify Samuelson's multiplier-accelerator model to explore the influence of expectations on fluctuations in economic activity. Within our model, the agents use a nonlinear mix of extrapolative and regressive forecast rules to predict the output. Our model is able to mimic some generic features of business cycles. In particular, consumption is procyclical and fluctuates less than output while investment is procyclical and fluctuates more than output.
ISSN: 10811826

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