存档

‘Complex Economics’ 分类的存档

Evolutionary economic dynamics

2012年2月29日 没有评论
分类: Complex Economics 标签:

A Biological Perspective of Macro Dynamics and Division of Labor

2012年2月29日 没有评论

Persistent cycles, excess capacity, and disruptive technology in macro dynamics and division of labor cannot be explained within the equilibrium-mechanical framework.Macroeconomic movements can be better described by endogenous fluctuations, such as the birth-death process and color chaos. Uneven growth can be understood by market-share competition under resource constraint. Diversified patterns and corporate strategy in the division of labor is described by a risk culture in learning by trying. The Smith dilemma can be solved by the trade -off between stability and complexity. Economic complexity and market resilience provide a new perspective of economic dynamics.

A Biological Perspective of Macro Dynamics and Division of Labor.pdf

分类: Complex Economics 标签:

Microfoundations of Macroeconomic Fluctuations and the Laws of Probability Theory

2012年2月28日 没有评论
分类: Complex Economics 标签:

A Random-Walk or Color-Chaos on the Stock Market?

2012年2月28日 没有评论

The random-walk (white-noise) model and the harmonic model are two polar models in linear systems. A model in between is color chaos which generates irregular oscillations with a narrow frequency (color) band. Time-frequency analysis is introduced for evolutionary time series analysis.The deterministic component from noisy data can be recovered by a time-variant filter in Gabor space. The characteristic frequency is calculated from the Wigner decomposed distribution series. It is found that about seventy percent of fluctuations in Standard & Poor stock price indexes, such as the FSPCOM and FSDXP monthly series, detrended by the Hodrick-Prescott (HP) filter, can be explained by deterministic color chaos. The characteristic period of persistent cycles is around three to four years. Their correlation dimension is about 2.5.

The existence of persistent chaotic cycles reveals new perspective of market resilience and new sources of economic uncertainties. The nonlinear pattern in the stock market may not be wiped out by market competition under nonequilibrium situations with trend evolution and frequency shifts. The color-chaos model of stock-market movements may establish a link between business-cycle theory and asset-pricing theory.

A Random Walk or Color Chaos on the Stock Market?Time Frequency Analysis of S P Indexes

分类: Complex Economics 标签:

Trends, Shocks, Persistent Cycles in Evolving Economy

2012年2月28日 没有评论

One basic problem in business cycle studies is how to deal with nonstationary time series. Trend-cycle decomposition is critical for testing competing dynamic models, including deterministic and stochastic approaches in business cycle theory.

A new analytical tool of time-frequency analysis, based on the symmetry principle in frequency and time, is introduced for studies of business cycles. The Wigner-Gabor-Qian (WGQ) spectrogram shows a strong capability in revealing complex cycles from noisy and nonstationary time series.

Competing detrending methods, including the first difference (FD) and Hodrick-Prescott (HP) filter, are tested with the mixed case of cycles and noise.FD filter does not produce a consistent picture of business cycles. HP filter provides a good window for pattern recognition of business cycles.

Existence of stable characteristic frequencies from economic aggregates provide strong evidence of endogenous cycles and valuable information about structural changes. Economic behavior is more like an organism instead of random walks. Remarkable stability and resilience of market economy can be seen from the insignificance of the oil price shocks and the stock market crash.Surprising pattern changes occurred during wars, arm races, and the Reagan administration. Like microscopy for biology, nonstationary time series analysis opens a new space for business cycle studies and policy diagnostics.

The role of time scale and preferred reference from economic observation is discussed. Fundamental constraints for Friedman’s rational arbitrageurs are eexamined from the view of information ambiguity and dynamic instability. Nonlinear economic dynamics offers a new perspective in empirical measurement and theoretical analysis.

Trends Shocks Persistent Cycles in Evolving Economy

分类: Complex Economics 标签:

Empirical and theoretical evidence of economic chaos

2012年2月28日 没有评论

Empirical and theoretical investigations of chaotic phenomena in macroeconomic systems are presented. Basic issues and techniques in testing economic aggregate movements are discussed. Evidence of low dimensional strange attractors is found in several empirical monetary aggregates. A continuous time deterministic model with delayed feedback is proposed to describe the monetary growth. Phase transition from periodic to chaotic motion occurs in the model. The model offers an explanation of the multiperiodicity and irregularity in business cycles and of the low-dimensionality of chaotic monetary attractors. Implications in monetary control policy and a new approach to forecasting business cycles are suggested.

Empirical and theoretical evidence of economic chaos

分类: Complex Economics 标签: