On the Stochastic Sensitivity and Noise-Induced Transitions of a Kaldor-Type Business Cycle Model

Irina Bashkirtseva, Davide Radi, Lev Ryashko, Tatyana Ryazanova*

*Corresponding author

Research output: Contribution to journalArticle

Abstract

In the paper, we consider a Kaldor-type model of the business cycle with external additive and internal parametric disturbances. We study analytically and numerically the probability properties of stochastically forced equilibria and limit cycles via stochastic sensitivity function technique. In particular, we discuss the effects of additive and parametric noises on the economic variables and we detect some stochastic bifurcations such as a P-bifurcation, i.e a phenomenon of noise-induced transition from monostability to bistability. This stochastic bistability causes a new trigger regime in economic dynamics.
Original languageEnglish
Pages (from-to)699-718
Number of pages20
JournalComputational Economics
Volume51
DOIs
Publication statusPublished - 2018

Keywords

  • Noise-induced bi-stability
  • Stochastic sensitivity function
  • Stochastic business cycle model
  • Random disturbances

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