Agent-based financial markets and New Keynesian macroeconomics: A synthesis

Arbeitspapier

We combine a simple agent-based model of financial markets with a standard New Keynesian macroeconomic model via two straightforward channels. The result is a macroeconomic model that allows for the endogenous development of stock price bubbles. Even with such a simplistic comprehensive model, we can show that the behavioral foundations of the stock market exert important influence on the macroeconomy, e.g. they change the impulse-response functions of macroeconomic variables significantly. We also analyze financial market transaction taxes as well as asset price bubble deflating monetary policy, and find that both can be used to reduce volatility and distortion of the macroeconomic aggregates.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Economics Working Paper ; No. 2010-10

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Monetary Policy ; Asset Pricing; Trading Volume; Bond Interest Rates ; General Financial Markets: Government Policy and Regulation
• Thema: agent-based financial markets ; New Keynesian macroeconomics ; stock market ; transaction tax ; Taylor rule ; Börsenkurs ; Bubbles ; Finanzmarkt ; Agent-based Model ; Ungleichgewichtstheorie ; Börsenumsatzsteuer ; Taylor-Regel ; Wirkungsanalyse ; Theorie

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Lengnick, Matthias ; Wohltmann, Hans-Werner
• Ereignis: Veröffentlichung
• (wer): Kiel University, Department of Economics
• (wo): Kiel
• (wann): 2010

Weitere Informationen

• Handle: http://hdl.handle.net/10419/41552
• Letzte Aktualisierung: 10.03.2025, 11:42 MEZ