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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:

  • Macro-finance, in particular the macroeconomic role of collateral requirements
  • Computational economics, in particular global solution methods for high-dimensional (non-smooth) dynamic stochasic general equilibrium models
  • General equilibrium theory, in particular the existence of recursive equilibria in dynamic stochastic models with heterogeneous agents

Relevant publications, working papers, and work in progress are listed below.

Macro-finance

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

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

Amplification of aggregate shocks when entrepreneurs face collateral constraints and idiosyncratic risk (Johanens Brumm), working paper

Re-use of Collateral: Leverage, Volatility, and Welfare (Johannes Brumm, Michael Grill, Felix Kubler, and Karl Schmedders), work in progress

Computational economics

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

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

Applying Negishi’s method to stochastic models with overlapping generations (Johannes Brumm and Felix Kubler), working paper

Computing Equilibria in Dynamic Stochastic Macro-models with Heterogeneous Agents (Johannes Brumm, Felix Kubler, and Simon Scheidegger), work in progress

General equilibrium theory

Recursive Equilibria in Dynamic Economies with Stochastic Production (Johannes Brumm, Dominika Kryczka, and Felix Kubler), working paper

Applying Negishi’s method to stochastic models with overlapping generations (Johannes Brumm and Felix Kubler), working paper

Other topics

Reform Support in Times of Crisis: The Role of Family Ties (Elias Brumm and Johannes Brumm), accepted for publication at Economic Inquiry

Global Value Chain Participation and Current Account Imbalances (Johannes Brumm, Georgios Georgiadis, Johannes Gräb, and Fabian Trottner), work in progress