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| Tekijä: | Marengo, L. Tordjman, H. |
| Otsikko: | Speculation, heterogeneity and learning: A simulation model of exchange rates dynamics |
| Lehti: | Kyklos
1996 : VOL. 49:3, p. 407-438 |
| Asiasana: | EXCHANGE RATES SPECULATION BUBBLES |
| Kieli: | eng |
| Tiivistelmä: | This paper presents a model of a speculative determination of exchange rates. Our basic claim is that speculation is intrinsically a disequilibrium phenomenon, mainly because the imperfect rationality of economic agents engenders heterogeneity of their beliefs, representations, and 'models of the world'. Hence, agents trade in non-equilibrium and changing environments, where the properties of individual and collective learning as well as the institutional characteristics of markets' arrangements may affect the dynamics of asset prices. We illustrate this point by developing a model of exchange rate dynamics, the foreign exchange market being one of the most speculative markets, and as such quite close to a market of 'pure speculation' (no fundamental determination of the asset price). |
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