This paper aims to study price dynamics in two different continuous time cobweb models with delays close to [Hommes, 1994]. In both cases, the stationary equilibrium may be not representative of the long-term dynamics of the model, since it is possible to observe endogenous and persistent fluctuations (supercritical Hopf bifurcations) even if a deterministic context without external shocks is considered. In the model in which markets are in equilibrium every time, we show that the existence of time delays in the expectations formation mechanism may cause chaotic dynamics similar to those obtained in [Hommes, 1994] in a discrete time context. From a mathematical point of view, we apply the Poincaré-Lindstedt perturbation method to study the local dynamic properties of the models. In addition, several numerical experiments are used to investigate global properties of the systems.

Equilibrium and disequilibrium dynamics in cobweb models with time delays

Gori, Luca;SODINI, MAURO
2015-01-01

Abstract

This paper aims to study price dynamics in two different continuous time cobweb models with delays close to [Hommes, 1994]. In both cases, the stationary equilibrium may be not representative of the long-term dynamics of the model, since it is possible to observe endogenous and persistent fluctuations (supercritical Hopf bifurcations) even if a deterministic context without external shocks is considered. In the model in which markets are in equilibrium every time, we show that the existence of time delays in the expectations formation mechanism may cause chaotic dynamics similar to those obtained in [Hommes, 1994] in a discrete time context. From a mathematical point of view, we apply the Poincaré-Lindstedt perturbation method to study the local dynamic properties of the models. In addition, several numerical experiments are used to investigate global properties of the systems.
2015
Gori, Luca; Guerrini, Luca; Sodini, Mauro
File in questo prodotto:
File Dimensione Formato  
Gori, Guerrini and Sodini 2015 IJBC.pdf

solo utenti autorizzati

Tipologia: Versione finale editoriale
Licenza: NON PUBBLICO - Accesso privato/ristretto
Dimensione 362.15 kB
Formato Adobe PDF
362.15 kB Adobe PDF   Visualizza/Apri   Richiedi una copia
IJBC_Post_Print.pdf

Open Access dal 01/07/2016

Tipologia: Documento in Post-print
Licenza: Tutti i diritti riservati (All rights reserved)
Dimensione 380.61 kB
Formato Adobe PDF
380.61 kB Adobe PDF Visualizza/Apri

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11568/791244
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 12
  • ???jsp.display-item.citation.isi??? 10
social impact