A dynamic model of real-financial markets interaction

IF 4.2 2区经济学 Q1 ECONOMICS

Economic Modelling Pub Date : 2025-04-22 DOI:10.1016/j.econmod.2025.107103

Serena Sordi , Ahmad Naimzada , Marwil J. Davila-Fernandez

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Abstract

The global recession brought on by the financial crisis and the COVID-19 pandemic has reignited interest in understanding the relationship between business cycles and financial conditions. This paper proposes a macrodynamic model that captures the interaction between the stock market (SM) and the economy’s real sector (RS), which is fueled by two distinct sources of persistent fluctuations. The SM incorporates two types of speculators, namely, chartists and fundamentalists, whereas the RS is a simplified version of Goodwin’s growth cycle model that distinguishes between labor and capital incomes. This framework connects the chartist–fundamentalist literature to Goodwin’s model for the first time. The interaction is based on two key assumptions: (i) investment decisions are influenced by profits and stock prices, and (ii) speculators perceive the fundamental value of the stock as proportional to national output. This interaction of real and financial dynamics causes fluctuations due to the sensitivity of investment to stock prices and the proportionality between stock fundamentals and output.

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真实金融市场互动的动态模型

金融危机和COVID-19大流行带来的全球衰退重新激起了人们对理解商业周期与金融状况之间关系的兴趣。本文提出了一个宏观动力学模型，该模型捕捉了股票市场（SM）和经济实体部门（RS）之间的相互作用，这是由两个不同的持续波动来源推动的。SM包含了两种类型的投机者，即图表分析师和原教旨主义者，而RS是古德温增长周期模型的简化版本，区分了劳动收入和资本收入。这个框架第一次将宪章派原教旨主义文学与古德温的模型联系起来。这种相互作用基于两个关键假设：(i)投资决策受到利润和股票价格的影响，（ii）投机者认为股票的基本价值与国家产出成正比。由于投资对股票价格的敏感性以及股票基本面与产出之间的比例关系，这种实体和金融动态的相互作用导致了波动。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Economic Modelling ECONOMICS-

CiteScore

8.00

自引率

10.60%

发文量

295

期刊介绍： Economic Modelling fills a major gap in the economics literature, providing a single source of both theoretical and applied papers on economic modelling. The journal prime objective is to provide an international review of the state-of-the-art in economic modelling. Economic Modelling publishes the complete versions of many large-scale models of industrially advanced economies which have been developed for policy analysis. Examples are the Bank of England Model and the US Federal Reserve Board Model which had hitherto been unpublished. As individual models are revised and updated, the journal publishes subsequent papers dealing with these revisions, so keeping its readers as up to date as possible.