Grant detail

402/03/H057 Nonlinear Dynamical Economic Systems:Theory and Applications

Principal investigator: prof. Ing. Miloslav Vošvrda CSc.
Collaborators: prof. RNDr. Jiří Hlaváček CSc.
PhDr. Michal Hlaváček Ph.D.
RNDr. Vlasta Kaňková CSc.
Mgr. Martin Schimek
Ing. Karel Sladký CSc.
Mgr. Lukáš Vácha Ph.D.
PhDr. Filip Žikeš MSc.
Description: The aim of the proposed project is an analysis of macroeconomic systems primarily by methods of nonlinear dynamics. Special attention will be focused on the behavior of the corresponding financial markets. The investigated models are described either by systems of nonlinear differencial equations (the case of continuous--time models) or by systems of difference equations (the case of discrete--time models), containing eventually also random noise.Attention will be primarily focused on the limiting behavior of the models concerning conditions guaranteering stability or existence of limit cycles. In addition, attention will also concern optimal behaviour of the dynamical models both in the continuous and discrete--time setting using methods of the calculus of variation or the modern optimal control approaches.The mainstream research areas of the project are: (i) Analysis of dynamics of the individual macroeconomic variables. (ii) Microeconomic analysis of dynamics of the considered macroeconomic models. (iii) Analysis of the financial markets. Research in all above areas should be helpful for elucidation of the complex behaviour of the economy. The obtained theoretical results will be verified on econometric models using the data of the Czech economy.
Participation: University of Economics in Prague,
Institute of Information Theory and Automation,
Academy of Sciences
Czech Republic
Work in grant: Special issue of Acta Oeconomica Pragensia 1/2005, Oeconomica 2005 ISSN 0572-3043 is devoted to results obtained during the first year period of this project
Web link: http://ces.utia.cas.cz
Finance: Czech Science Foundation (GA ČR)
End date: 12/2007
Publications:

A Simple Model of Interaction between CPI and PPI: Application to Monthly Data of EU Countries

Correcting Predictive Models of Chaotic Reality

Choice between the Discrete and Continuous Models in Economic Applications and Its Implications

Stock Market Optimism and Cointegration among Stocks: The Case of the Prague Stock Exchange

Stress Testing of Probability of Default of Individuals

Conferences:

20 Years of Cointegration: Theory and Practice in Prospect and Retrospect

EURO 2007

Mathematica User Conference

New 2004 Complexity, Salerno

Research visit at STICERD/LSE (June)

Research visit at STICERD/LSE (June)

Research visit at STICERD/LSE (May)

Research visit at STICERD/LSE (May)