interactions between the real economy and the stock market a simple agent-based approach实体经济和股票市场之间的相互作用一个简单的基于代理的方法.pdfVIP

Hindawi Publishing Corporation Discrete Dynamics in Nature and Society Volume 2012, Article ID 504840, 21 pages doi:10.1155/2012/504840 Research Article Interactions between the Real Economy and the Stock Market: A Simple Agent-Based Approach Frank Westerhoff Department of Economics, University of Bamberg, Feldkirchenstrasse 21, 96045 Bamberg, Germany Correspondence should be addressed to Frank Westerhoff, frank.westerhoff@uni-bamberg.de Received 12 March 2012; Accepted 15 May 2012 Academic Editor: Aura Reggiani Copyright q 2012 Frank Westerhoff. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. We develop a simple behavioral macromodel to study interactions between the real economy and the stock market. The real economy is represented by a Keynesian-type 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. 1. Introduction Over the last 20 years, many interesting agent-based financial market models have been proposed to study the dynamics of financial markets for recent surveys, see 1–4. As revealed by these models, it is the trading activity of heterogeneous interacting speculators that accounts for a large part of the dynamics of financial markets. Even in the