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.
The economic crisis has brought a new situation also for the Hungarian economic
policy, as neoliberalism as the main trend in economic thought is no
longer valid. This phenomenon cannot be reduced to be a mere macroeconomic
course shift, as an entire economic philosophy and approach has lost its relevance.
One consequence of this is the need for a thorough revision of the theory
and practice of business management, along with the re-evaluation of the notion
and position of the corporation.
Our study aims to contribute to this theoretical reformation, presenting that social
values derived from psychological and sociological findings such as human
motivational theories or trust are fundamental elements of the 21st century corporate
model. To point to this, we use the ideological correspondences, while
proving that our national research on corporate theory and even rather its application
are far behind the 21st century requirements and lack even the Western
view of the 20th century.
In the framework of small-scale agent-based financial market models, the paper starts
out from the concept of structural stochastic volatility, which derives from different noise
levels in the demand of fundamentalists and chartists and the time-varying market shares
of the two groups. It advances several different specifications of the endogenous switching
between the trading strategies and then estimates these models by the method of simulated
moments (MSM), where the choice of the moments reflects the basic stylized facts
of the daily returns of a stock market index. In addition to the standard version of MSM
with a quadratic loss function, we also take into account how often a great number of
Monte Carlo simulation runs happen to yield moments that are all contained within their
empirical confidence intervals. The model contest along these lines reveals a strong role
for a (tamed) herding component. The quantitative performance of the winner model is
so good that it may provide a standard for future research.
Dieser Artikel zeigt, dass eine Subvention der heimischen Kreditzinsen zu einem
Rückgang der Auslandsverschuldung führen kann. Ausgehend von der Mittelwert-
Varianz- und der Erwartungsnutzentheorie wurde ein Modell entwickelt, in dessen
Rahmen der Wirtschaftsakteur sein internationales Kreditportfolio optimiert.
Eine Einbeziehung der Zinsparitätenbedingung war in der Analyse jedoch nicht
zielführend. In den Modellrahmen wird eine staatliche Zinssubvention eingeführt
und ihre theoretische Wirkung auf die Fremdwährungsverschuldung der Haushalte