Title
Interaction between Financial Markets and Real Sector: Modeling, Experiments, and Policy
Code
GA22-28882S
Summary
The project intends to contribute to our understanding of interaction between the stock market and the real economy. The novelty of the approach proposed here is to extend the models of financial markets with heterogeneous agents (so-called Heterogeneous Agent Models, HAMs) by including additional feedback between the real economy and the financial market via the fundamental asset valuation of these models, including expected dividend and risk evaluation. This is important to evaluate welfare implications of bubbles and crashes of financial market, including possibilities of contagion of those to the real sector. The novel experiments will provide a further way to test an impact of bubbles and crashes to the production side of the economy, whereas extensions of the baseline tractable models to agent-based version will produce realistic framework to test policy implications. The project thus combine three
methodologies: analytical modeling, experiments and simulations in order to produce a range of empirically motivated policy advises.
Start year
2022
End year
2024
Provider
Grantová agentura ČR
Category
Obecná forma
Type
Standardní projekty
Solver
Information system of research, development and innovation (in Czech)