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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:

  • Macrofinance, 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
  • Fiscal policy, in particular transmission channels and its distributional consequences in the presence of private borrowing constraints

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



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

Entrepreneurial Risk, Collateral Constraints, and Macroeconomic Fluctuations (Johannes Brumm), working paper

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


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), Novermber 2017

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

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

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


General Equilibrium Theory

Recursive Equilibria in Dynamic Economies with Stochastic Production (Johannes Brumm, Dominika Kryczka, and Felix Kubler), Econometrica, Volume 85(5), 1467-1499, September 2017

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


Fiscal Policy

Borrowing Constraints, Equilibrium Default, and Progressive Taxation (Christopher Krause), working paper

Fiscal Policy over the Business Cycle (Christopher Krause), work in progress


Other Topics

Reform Support in Times of Crisis: The Role of Family Ties (Elias Brumm and Johannes Brumm), Economic Inquiry, Volume 55(3), 1416-1429, July 2017

Global Value Chain Participation and Current Account Imbalances (Johannes Brumm, Georgios Georgiadis, Johannes Gräb, and Fabian Trottner), Journal of International Money and Finance, forthcoming

Income Redistribution, Consumer Credit, and Keeping up with the Riches (Mathias Klein and Christopher Krause), working paper