Stochastic sensitivity analysis of the variability of dynamics and transition to chaos in the business cycles model

- A problem of analysis of stochastic processes in macroeconomics is discussed.
- The variety of stochastic phenomena in Kaldor model is studied.
- An intermittency of small- and large-amplitude oscillations is investigated.
- A constructive approach based on stochastic sensitivity analysis is used.

A problem of mathematical modeling of complex stochastic processes in macroeconomics is discussed. For the description of dynamics of income and capital stock, the well-known Kaldor model of business cycles is used as a basic example. The aim of the paper is to give an overview of the variety of stochastic phenomena which occur in Kaldor model forced by additive and parametric random noise. We study a generation of small- and large-amplitude stochastic oscillations, and their mixed-mode intermittency. To analyze these phenomena, we suggest a constructive approach combining the study of the peculiarities of deterministic phase portrait, and stochastic sensitivity of attractors. We show how parametric noise can stabilize the unstable equilibrium and transform dynamics of Kaldor system from order to chaos.