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Author

  • Frank Westerhoff (3)
  • Reiner Franke (2)
  • Fabio Tramontana (1)
  • Frank H. Westerhoff (1)
  • Laura Gardini (1)

Document Type

  • Arbeitspapier (4) (remove)

Keywords

  • Capital-Asset-Pricing Modell ; Mehragentensystem ; Volabilität ; Online-Publikation (1)
  • Goods market, stock market, heterogeneous speculators, stability analysis, complex dynamics (1)
  • Gütermarkt ; Aktienmarkt ; Börsenspekulation ; Dynamisches Modell ; Online-Publikation (1)
  • Structural stochastic volatility; method of simulated moments; autocorrelation pattern; fat tails; bootstrapped p-values (1)

Institute

  • Lehrstuhl für Volkswirtschaftslehre, insbesondere Wirtschaftspolitik (4) (remove)

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The bull and bear market model of Huang and Day: some extensions and new results (2012)
Fabio Tramontana Frank Westerhoff Laura Gardini
Show/Hide Abstract Interactions between the real economy and the stock market (2012)
Frank Westerhoff
We develop a simple behavioral macro model to study interactions between the real economy and the stock market. The real economy is represented by a Keynesian goods market approach while the setup for the stock market includes heterogeneous speculators. Using a mixture of analytical and numerical tools we find, for instance, that speculators may create endogenous boom-bust dynamics in the stock market which, by spilling over into the real economy, can cause lasting fluctuations in economic activity. However, fluctuations in economic activity may, by shaping the firms’ fundamental values, also have an impact on the dynamics of the stock market.
Show/Hide Abstract Why a Simple Herding Model May Generate the Stylized Facts of Daily Returns: Explanation and Estimation (2012)
Reiner Franke Frank Westerhoff
The paper proposes an elementary agent-based asset pricing model that, invoking the two trader types of fundamentalists and chartists, comprises four features: (i) price determination by excess demand; (ii) a herding mechanism that gives rise to a macroscopic adjustment equation for the market fractions of the two groups; (iii) a rush towards fundamentalism when the price misalignment becomes too large; and (iv) a stronger noise component in the demand per chartist trader than in the demand per fundamentalist trader, which implies a structural stochastic volatility in the returns. Combining analytical and numerical methods, the interaction between these elements is studied in the phase plane of the price and a majority index. In addition, the model is estimated by the method of simulated moments, where the choice of the moments reflects the basic stylized facts of the daily returns of a stock market index. A (parametric) bootstrap procedure serves to set up an econometric test to evaluate the model’s goodness-of-fit, which proves to be highly satisfactory. The bootstrap also makes sure that the estimated structural parameters are well identified.
Agent-based models for economic policy design : two illustrative examples (2012)
Frank H. Westerhoff Reiner Franke

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