Browsing by Person "Geiger, Felix"

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A behavioral macroeconomic model with endogenous boom-bust cycles and leverage dynamcis
(2011) Scheffknecht, Lukas; Geiger, Felix
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 financial market model produces endogenously arising boom-bust cycles. It is also capable to generate highly non-linear deleveraging processes, fire 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.
Deflationary vs. inflationary expectations : a new-Keynesian perspective with heterogeneous agents and monetary believes
(2009) Sauter, Oliver; Geiger, Felix
We expand a standard New-Keynesian model by allowing for a special role of money in the inflation and expectations building process. Motivated by the two-pillar Phillips curve, we introduce heterogeneous expectations. Thereby a fraction of agents forms inflation expectations by observing trend money growth. We show that in the presence of these monetary believers, contractive shocks to the economy produce smoother dynamics for inflation and output. We also find that monetary policy should follow a conventional Taylor rule with contemporaneous inflation and output data, if it is uncertain about the fraction of monetary believers.
International interest-rate risk premia in affine term structure models
(2009) Geiger, Felix
I estimate a Gaussian two-factor affine term structure model of bond yields for three countries, the United States, the United Kingdom and Germany. I find a considerable time-varying component of excess returns in the data. They are positively correlated with the slope of the term structure and negatively with the short-term policy rate. In addition, the panel clearly indicates to co-movements in the same directions on an international level. When testing the estimated model for the expectations puzzle of the the term structure, at least at one end of the yield curve, this puzzle can be resolved when applying risk-adjusted yield changes.
The camp view of inflation forecasts
(2009) Schmid, Kai Daniel; Sauter, Oliver; Geiger, Felix
Analyzing sample moments of survey forecasts, we derive disagreement and un- certainty measures for the short- and medium term inflation outlook. The latter provide insights into the development of inflation forecast uncertainty in the context of a changing macroeconomic environment since the beginning of 2008. Motivated by the debate on the role of monetary aggregates and cyclical variables describing a Phillips-curve logic, we develop a macroeconomic indicator spread which is assumed to drive forecasters? judgments. Empirical evidence suggests procyclical dynamics between disagreement among forecasters, individual forecast uncertainty and the macro-spread. We call this approach the camp view of inflation forecasts and show that camps form up whenever the spread widens.