Macroeconomic and stock market interactions with endogenous aggregate sentiment dynamics

Abstract

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Investment behaviour and “bull & bear” dynamics: modelling real and stock market interactions

“…formalised a mechanism of mutual contagion in speculative markets that has been recently used to assess macroeconomic and stock market interactions (e.g. Franke, 2012;Flaschel et al, 2015Flaschel et al, , 2018. Following this literature, we assume agents decide whether to take either a chartist or a fundamentalist stance depending on the current composition of the market.…”

“…For example, making use of Lux (1995) formalisation of herd behaviour in speculative markets, Franke (2012) developed a macrodynamic model with a preliminary …nancial distress variable. His set up has been extended allowing for a link between real and …nancial sides of the economy through Tobin's q theory of investment (e.g Franke and Ghonghadze, 2014;Flaschel et al, 2018). A di¤erent strand of the literature, on the other hand, has preferred the Brock and Hommes (1997) approach for modelling changes in the share of agents that use di¤erent heuristics, though always maintaining the basic view on expectations under bounded rationality (for a discrete time example, see Proaño, 2011Proaño, , 2013.…”

Impact of Macroeconomic Variables on Stock Price Index: Evidence from Vietnam Stock Market

“…In another paper, the authors studied a macroeconomic model with endogenous Variables and heterogeneous expectations of the Weidlich-Haag-Lux method improved by Franke (2012). With this study, the authors focus on the impact of stock prices on macroeconomic activity through the Brainard-Tobin q model, which is quite simple because the price of goods is assumed to be constant (Peter Flaschel, Matthieu Charpe, Giorgos Galanis, 2017).…”

A dynamic model of global value network governance

“…For example, seeChiarella and Flaschel (2000),Chiarella et al (2006),Flaschel et al (2017) and references therein.3 For example seeMartin, R. and P. Sunley (2007) and references therein.…”