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Economics > General Economics
Title: Odd period cycles and ergodic properties in price dynamics for an exchange economy
(Submitted on 17 Sep 2023 (v1), last revised 14 Apr 2024 (this version, v3))
Abstract: In the first part of this paper (Sections 1-4), we study a standard exchange economy model with Cobb-Douglas type consumers and give a necessary and sufficient condition for the existence of an odd period cycle in the Walras-Samuelson (tatonnement) price adjustment process. We also give a sufficient condition for a price to be eventually attracted to a chaotic region. In the second part (Sections 5 and 6), we investigate ergodic properties of the price dynamics showing that the existence of chaos is not necessarily bad. (The future is still predictable on average.) Moreover, supported by a celebrated work of Avila et al. (Invent. Math., 2003), we conduct a sensitivity analysis to investigate a relationship between the ergodic sum (of prices) and the speed of price adjustment. We believe that our methods in this paper can be used to analyse many other chaotic economic models.
Submission history
From: Tomohiro Uchiyama [view email][v1] Sun, 17 Sep 2023 06:55:36 GMT (6kb)
[v2] Fri, 22 Dec 2023 03:48:37 GMT (27kb)
[v3] Sun, 14 Apr 2024 03:22:43 GMT (363kb,D)
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