A behavioral macroeconomic model with endogenous boom-bust cycles and leverage dynamcis

Scheffknecht, Lukas; Geiger, Felix

A behavioral macroeconomic model with endogenous boom-bust cycles and leverage dynamcis

dc.contributor.author	Scheffknecht, Lukas	de
dc.contributor.author	Geiger, Felix	de
dc.date.accessioned	2024-04-08T08:46:20Z
dc.date.available	2024-04-08T08:46:20Z
dc.date.created	2011-12-13
dc.date.issued	2011
dc.description.abstract	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.	en
dc.identifier.swb	354873520
dc.identifier.uri	https://hohpublica.uni-hohenheim.de/handle/123456789/5542
dc.identifier.urn	urn:nbn:de:bsz:100-opus-6628
dc.language.iso	eng
dc.relation.ispartofseries	FZID discussion papers; 37
dc.rights.license	publ-ohne-pod	en
dc.rights.license	publ-ohne-pod	de
dc.rights.uri	http://opus.uni-hohenheim.de/doku/lic_ubh.php
dc.subject	Behavioral economics	en
dc.subject	New-Keynesian macroeconomics	en
dc.subject	Monetary policy	en
dc.subject	Agent-based financial market model	en
dc.subject	Leverage	en
dc.subject	Macroprudential regulation	en
dc.subject.ddc	330
dc.subject.gnd	Geldpolitik	de
dc.title	A behavioral macroeconomic model with endogenous boom-bust cycles and leverage dynamcis	de
dc.type.dcmi	Text	de
dc.type.dini	WorkingPaper	de
local.access	uneingeschränkter Zugriff	en
local.access	uneingeschränkter Zugriff	de
local.bibliographicCitation.publisherPlace	Universität Hohenheim	de
local.export.bibtex	@techreport{Scheffknecht2011, url = {https://hohpublica.uni-hohenheim.de/handle/123456789/5542}, author = {Scheffknecht, Lukas and Geiger, Felix}, title = {A behavioral macroeconomic model with endogenous boom-bust cycles and leverage dynamcis}, year = {2011}, school = {Universität Hohenheim}, series = {FZID discussion papers}, }
local.export.bibtexAuthor	Scheffknecht, Lukas and Geiger, Felix
local.export.bibtexKey	Scheffknecht2011
local.export.bibtexType	@techreport
local.faculty.number	7	de
local.faculty.number	3	de
local.institute.number	795	de
local.institute.number	520	de
local.opus.number	662
local.series.issueNumber	37
local.series.title	FZID discussion papers
local.university	Universität Hohenheim	de
local.university.faculty	Landesanstalten	de
local.university.faculty	Faculty of Business, Economics and Social Sciences	en
local.university.faculty	Fakultät Wirtschafts- und Sozialwissenschaften	de
local.university.institute	Forschungszentrum Innovation und Dienstleistung	de
local.university.institute	Institute for Economics	en
local.university.institute	Institut für Volkswirtschaftslehre	de

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