This paper deals with a simple model of financial fluctuations, where a crucial role is played by the dynamic interaction between aggregate current and intertemporal financial ratios. The model results in a 4D discrete-time dynamical system—capable of generating complex dynamics—which is analyzed by means of both analytical tools, such as local stability analysis and bifurcation theory, and numerical simulations. The behavior of the model is studied for different parameter regimes. We show that its dynamic behavior is very sensitive to the parameters that represent (1) the speed of adjustment of the desired current financial ratio towards a safe level of the intertemporal one and (2) the intensity with which aggregate current financial decisions affect future financial constraints. In particular, different parameter regimes are identified, giving rise to two different ‘‘routes’’ to complexity, one leading to chaotic dynamics, the other to a coexistence of attractors and path-dependence.
Dieci, R., Sordi, S., Vercelli, A. (2006). Financial fragility and global dynamics. CHAOS, SOLITONS AND FRACTALS, 29(3), 595-610 [10.1016/j.chaos.2005.08.092].
Financial fragility and global dynamics
SORDI, SERENA;VERCELLI, ALESSANDRO
2006-01-01
Abstract
This paper deals with a simple model of financial fluctuations, where a crucial role is played by the dynamic interaction between aggregate current and intertemporal financial ratios. The model results in a 4D discrete-time dynamical system—capable of generating complex dynamics—which is analyzed by means of both analytical tools, such as local stability analysis and bifurcation theory, and numerical simulations. The behavior of the model is studied for different parameter regimes. We show that its dynamic behavior is very sensitive to the parameters that represent (1) the speed of adjustment of the desired current financial ratio towards a safe level of the intertemporal one and (2) the intensity with which aggregate current financial decisions affect future financial constraints. In particular, different parameter regimes are identified, giving rise to two different ‘‘routes’’ to complexity, one leading to chaotic dynamics, the other to a coexistence of attractors and path-dependence.File | Dimensione | Formato | |
---|---|---|---|
118164_UPLOAD.pdf
non disponibili
Tipologia:
PDF editoriale
Licenza:
NON PUBBLICO - Accesso privato/ristretto
Dimensione
875.14 kB
Formato
Adobe PDF
|
875.14 kB | Adobe PDF | Visualizza/Apri Richiedi una copia |
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
https://hdl.handle.net/11365/21399
Attenzione
Attenzione! I dati visualizzati non sono stati sottoposti a validazione da parte dell'ateneo