Arbeitspapier
A behavioral macroeconomic model with endogenous boom-bust cycles and leverage dynamcis
We merge a financial market model with leverage-constrained, heterogeneous agents with a reduced-form version of the New-Keynesian standard model. Agents in both submodels are assumed to be boundedly rational. The fi nancial market model produces endogenously arising boom-bust cycles. It is also capable to generate highly non-linear deleveraging processes, fi re sales and ultimately a default scenario. Asset price booms are triggered via self-fulfilling prophecies. Asset price busts are induced by agents' choice of an increasingly fragile balance sheet structure during good times. Their vulnerability is inevitably revealed by small, randomly occurring shocks. Our transmission channel of financial market activity to the real sector embraces a recent strand of literature shedding light on the link between the active balance sheet management of financial market participants, the induced procyclical fluctuations of desired risk compensations and their final impact on the real economy. We show that a systematic central bank reaction on financial market developments dampens macroeconomic volatility considerably. Furthermore, restricting leverage in a countercyclical fashion limits the magnitude of financial cycles and hence their impact on the real economy.
- Sprache
-
Englisch
- Erschienen in
-
Series: FZID Discussion Paper ; No. 37-2011
- Klassifikation
-
Wirtschaft
Price Level; Inflation; Deflation
Demand for Money
Money and Interest Rates: Forecasting and Simulation: Models and Applications
Monetary Policy
- Thema
-
behavioral economics
New-Keynesian macroeconomics
monetary policy
agent-based financial market model
leverage
macroprudential regulation
financial stability
asset price bubbles
systemic risk
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Scheffknecht, Lukas
Geiger, Felix
- Ereignis
-
Veröffentlichung
- (wer)
-
Universität Hohenheim, Forschungszentrum Innovation und Dienstleistung (FZID)
- (wo)
-
Stuttgart
- (wann)
-
2011
- Handle
- URN
-
urn:nbn:de:bsz:100-opus-6628
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Scheffknecht, Lukas
- Geiger, Felix
- Universität Hohenheim, Forschungszentrum Innovation und Dienstleistung (FZID)
Entstanden
- 2011
Ähnliche Objekte (12)
A behavioral macroeconomic model with endogenous boom-bust cycles and leverage dynamcis
Optimal monetary policy during endogenous housing-market boom-bust cycles
Credit Booms Gone Bust: Monetary Policy, Leverage Cycles and Financial Crises, 1870-2008
Monetary policy and boom-bust cycles
Liquidity shocks and asset price boom/bust cycles
Kaldorian boom-bust cycles in the housing market
Housing boom-bust cycles and asymmetric macroprudential policy
Monetary policy and stock market boom-bust cycles
Debt, Boom, Bust: A Theory of Minsky-Veblen Cycles
Can we prevent boom-bust cycles during euro area accession?
Boom-Bust Cycles in Middle Income Countries: Facts and Explanation
Bank leverage cycles
A behavioral macroeconomic model with endogenous boom-bust cycles and leverage dynamcis
Optimal monetary policy during endogenous housing-market boom-bust cycles
Credit Booms Gone Bust: Monetary Policy, Leverage Cycles and Financial Crises, 1870-2008
Monetary policy and boom-bust cycles
Liquidity shocks and asset price boom/bust cycles
Kaldorian boom-bust cycles in the housing market
Housing boom-bust cycles and asymmetric macroprudential policy
Monetary policy and stock market boom-bust cycles
Debt, Boom, Bust: A Theory of Minsky-Veblen Cycles
Can we prevent boom-bust cycles during euro area accession?
Boom-Bust Cycles in Middle Income Countries: Facts and Explanation
Bank leverage cycles
A behavioral macroeconomic model with endogenous boom-bust cycles and leverage dynamcis
Optimal monetary policy during endogenous housing-market boom-bust cycles
Credit Booms Gone Bust: Monetary Policy, Leverage Cycles and Financial Crises, 1870-2008
Monetary policy and boom-bust cycles
Liquidity shocks and asset price boom/bust cycles
Kaldorian boom-bust cycles in the housing market
Housing boom-bust cycles and asymmetric macroprudential policy
Monetary policy and stock market boom-bust cycles
Debt, Boom, Bust: A Theory of Minsky-Veblen Cycles
Can we prevent boom-bust cycles during euro area accession?
Boom-Bust Cycles in Middle Income Countries: Facts and Explanation