Business cycles denote oscillations in economy as a result of downturns and expansions. The macroeconomic variable under our investigation is income as derived by the dynamic interaction with capital, consumption and investment. In this paper, a Kaldorian business cycle model is used to simulate real dynamics so that nonlinear techniques such as recurrence quantification analysis, Poincaré Plot and related quantifiers can be applied. Analysis of chaos brings evidences on fractal dimension and entropy measures for both real data and model’s simulations. The final goal is to discover whether real and simulated business cycle dynamics have similar characteristics and validate the model as a suitable tool to simulate reality.

Recurrence quantification analysis on a Kaldorian business cycle model

Orlando G.;
2020

Abstract

Business cycles denote oscillations in economy as a result of downturns and expansions. The macroeconomic variable under our investigation is income as derived by the dynamic interaction with capital, consumption and investment. In this paper, a Kaldorian business cycle model is used to simulate real dynamics so that nonlinear techniques such as recurrence quantification analysis, Poincaré Plot and related quantifiers can be applied. Analysis of chaos brings evidences on fractal dimension and entropy measures for both real data and model’s simulations. The final goal is to discover whether real and simulated business cycle dynamics have similar characteristics and validate the model as a suitable tool to simulate reality.
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11586/263285
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