Research at the Chair of Macroeconomics

Research at the Chair of Macroeconomics covers a wide range of topics and is mainly based on stochastic dynamic models with a particular focus on:

Public debt, in particular welfare effects in low interest rate environments
Computational economics, in particular global solution methods for high-dimensional (non-smooth) dynamic stochasic general equilibrium models
Macrofinance, in particular the macroeconomic role of collateral requirements
General equilibrium theory, in particular the existence of recursive equilibria in dynamic stochastic models with heterogeneous agents
Demographic change, demographic risk and the pension system

Relevant publications are listed below.

Public Debt

When Interest Rates Go Low, Should Public Debt Go High? (Johannes Brumm, Xiangyu Feng, Laurence Kotlikoff, and Felix Kubler), American Economic Journal: Macroeconomics, Volume 16, October 2024

Are Deficits Free? (Johannes Brumm, Xiangyu Feng, Laurence Kotlikoff, and Felix Kubler), Journal of Public Economics, Volume 208, April 2022

Public Debt in Calibrated OLG Models: Fiscal Arithmetic versus Welfare Analysis (Johannes Brumm, Jakob Hußmann), Revise and Resubmit at Journal of Monetary Economics

Computational Economics

Using Adaptive Sparse Grids to Solve High-Dimensional Dynamic Models (Johannes Brumm and Simon Scheidegger), Econometrica, Volume 85(5), 1575-1612, September 2017

Computing Equilibria in Dynamic Stochastic Macro-models with Heterogeneous Agents (Johannes Brumm, Felix Kubler, and Simon Scheidegger), Advances in Economics and Econometrics: Theory and Applications (Eleventh World Congress), November 2017

Scalable High-Dimensional Dynamic Stochastic Economic Modeling (Johannes Brumm, Dmitry Mikushin, Simon Scheidegger, and Olaf Schenk), Journal of Computational Science, Volume 11, 12–25, November 2015

Computing Equilibria in Dynamic Models with Occasionally Binding Constraints (Johannes Brumm and Michael Grill), Journal of Economic Dynamics and Control, Volume 38, 142-160, January 2014

Sparse grids for dynamic economic models (Johannes Brumm, Christopher Krause, Andreas Schaab, and Simon Scheidegger), Oxford Research Encyclopedia of Economics and Finance, November 2022

Macrofinance

Margin Regulation and Volatility (Johannes Brumm, Michael Grill, Felix Kubler and Karl Schmedders), Journal of Monetary Economics, Volume 75, 54-68, October 2015

Collateral Requirements and Asset Prices (Johannes Brumm, Michael Grill, Felix Kubler and Karl Schmedders), International Economic Review, Volume 56(1), 1-25, February 2015

Re-use of Collateral: Leverage, Volatility, and Welfare (Johannes Brumm, Michael Grill, Felix Kubler, and Karl Schmedders), Review of Economic Dynamics, Volume 47, 19-46, January 2023

Research at the Chair of Macroeconomics

Public Debt

Computational Economics

Macrofinance

Other Topics