TY - JOUR
T1 - On the Stochastic Sensitivity and Noise-Induced Transitions of a Kaldor-Type Business Cycle Model
AU - Bashkirtseva, Irina
AU - Radi, Davide
AU - Ryashko, Lev
AU - Ryazanova, Tatyana
PY - 2018
Y1 - 2018
N2 - 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.
AB - 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.
KW - Noise-induced bi-stability
KW - Stochastic sensitivity function
KW - Stochastic business cycle model
KW - Random disturbances
KW - Noise-induced bi-stability
KW - Stochastic sensitivity function
KW - Stochastic business cycle model
KW - Random disturbances
UR - http://hdl.handle.net/10807/237957
U2 - 10.1007/s10614-016-9634-8
DO - 10.1007/s10614-016-9634-8
M3 - Article
SN - 0927-7099
VL - 51
SP - 699
EP - 718
JO - Computational Economics
JF - Computational Economics
ER -