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dc.contributor.authorScheffknecht, Lukasen_US
dc.contributor.authorGeiger, Felixen_US
dc.date.accessioned2011-12-14en_US
dc.date.accessioned2011-12-15T15:07:28Z-
dc.date.available2011-12-15T15:07:28Z-
dc.date.issued2011en_US
dc.identifier.piurn:nbn:de:bsz:100-opus-6628en_US
dc.identifier.urihttp://hdl.handle.net/10419/54191-
dc.description.abstractWe 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 fi nancial market model produces endogenously arising boom-bust cycles. It is also capable to generate highly non-linear deleveraging processes, fi re 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_US
dc.language.isoengen_US
dc.publisherUniv. Hohenheim, Forschungszentrum Innovation und Dienstleistung Stuttgarten_US
dc.relation.ispartofseriesFZID discussion papers 37-2011en_US
dc.subject.jelE31en_US
dc.subject.jelE41en_US
dc.subject.jelE47en_US
dc.subject.jelE52en_US
dc.subject.ddc330en_US
dc.subject.keywordbehavioral economicsen_US
dc.subject.keywordNew-Keynesian macroeconomicsen_US
dc.subject.keywordmonetary policyen_US
dc.subject.keywordagent-based financial market modelen_US
dc.subject.keywordleverageen_US
dc.subject.keywordmacroprudential regulationen_US
dc.subject.keywordfinancial stabilityen_US
dc.subject.keywordasset price bubblesen_US
dc.subject.keywordsystemic risken_US
dc.titleA behavioral macroeconomic model with endogenous boom-bust cycles and leverage dynamcisen_US
dc.typeWorking Paperen_US
dc.identifier.ppn679702776en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:fziddp:372011-
Appears in Collections:FZID Discussion Papers, Universität Hohenheim

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