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SSRN Electronic Journal
Article . 2004 . Peer-reviewed
Data sources: Crossref
EconStor
Research . 2004
Data sources: EconStor
EconStor
Research . 2004
Data sources: EconStor
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Bubbles and Crashes in a Behavioural Finance Model

Authors: De Grauwe, Paul; Grimaldi, Marianna;

Bubbles and Crashes in a Behavioural Finance Model

Abstract

We develop a simple model of the exchange rate in which agents optimize their portfolio and use different forecasting rules. They check the profitability of these rules ex post and select the more profitable one. This model produces two kinds of equilibria, a fundamental and a bubble one. In a stochastic environment the model generates a complex dynamics in which bubbles and crashes occur at unpredictable moments. We contrast these behavioural bubbles with rational bubbles.

Keywords

ddc:330, exchange rate; bounded rationality; heterogeneous agents; bubbles and crashes; complex dynamics, bounded rationality, exchange rate, exchange rate, bounded rationality, heterogeneous agents, bubbles and crashes, complex dynamics, bubbles and crashes, exchange rate, bounded rationality, heterogeneous agents, bubbles and crashes, complex dynamics., G10, heterogeneous agents, complex dynamics, F41, F31, jel: jel:F31, jel: jel:F41, jel: jel:G10

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
2
Average
Average
Average
bronze