WorldCat Identities

Brunnermeier, Markus Konrad

Overview
Works: 45 works in 207 publications in 1 language and 1,531 library holdings
Genres: History  Conference proceedings 
Classifications: HG4636, 332.63222
Publication Timeline
Key
Publications about  Markus Konrad Brunnermeier Publications about Markus Konrad Brunnermeier
Publications by  Markus Konrad Brunnermeier Publications by Markus Konrad Brunnermeier
Most widely held works by Markus Konrad Brunnermeier
Asset pricing under asymmetric information : bubbles, crashes, technical analysis, and herding by Markus Konrad Brunnermeier ( Book )
21 editions published between 2000 and 2004 in English and held by 518 WorldCat member libraries worldwide
The role of information is central to the academic debate on finance. This book provides a detailed, current survey of theoretical research into the effect on stock prices of the distribution of information, comparing major models
The fundamental principles of financial regulation by C. A. E Goodhart ( Book )
9 editions published in 2009 in English and held by 172 WorldCat member libraries worldwide
"Today's financial regulatory systems assume that regulations which make individual banks safe also make the financial system safe. The eleventh Geneva Report on the World Economy shows that this thinking is flawed. Actions that banks take to make themselves safer can - in times of crisis - undermine the system's stability. The Report argues for a different approach."--P. xvi
Predatory trading by Markus Konrad Brunnermeier ( Book )
15 editions published between 2003 and 2004 in English and held by 84 WorldCat member libraries worldwide
"This paper studies predatory trading: trading that induces and/or exploits other investors' need to reduce their positions. We show that if one trader needs to sell, others also sell and subsequently buy back the asset. This leads to price overshooting and a reduced liquidation value for the distressed trader. Hence, the market is illiquid when liquidity is most needed. Further, a trader profits from triggering another trader's crisis, and the crisis can spill over across traders and across markets"--National Bureau of Economic Research web site
Optimal expectations by Markus Konrad Brunnermeier ( Book )
14 editions published between 2002 and 2004 in English and held by 82 WorldCat member libraries worldwide
"This paper introduces a tractable, structural model of subjective beliefs. Forward-looking agents care about expected future utility flows, and hence have higher current felicity if they believe that better outcomes are more likely. On the other hand, biased expectations lead to poorer decisions and worse realized outcomes on average. Optimal expectations balance these forces by maximizing average felicity. A small bias in beliefs typically leads to first-order gains due to increased anticipatory utility and only to second-order costs due to distorted behavior. We show that in a portfolio choice problem, agents overestimate the return on their investment and exhibit a preference for skewness. In general equilibrium, agents' prior beliefs are endogenously heterogeneous. Finally, in a consumption-saving problem with stochastic income, agents are both overconfident and overoptimistic"--National Bureau of Economic Research web site
Money illusion and housing frenzies by Markus Konrad Brunnermeier ( )
13 editions published between 2006 and 2007 in English and held by 68 WorldCat member libraries worldwide
A reduction in inflation can fuel run-ups in housing prices if people suffer from money illusion. For example, investors who decide whether to rent or buy a house by simply comparing monthly rent and mortgage payments do not take into account that inflation lowers future real mortgage costs. We decompose the price-rent ratio in a rational component -- meant to capture the proxy effect and risk premia -- and an implied mispricing. We find that inflation and nominal interest rates explain a large share of the time-series variation of the mispricing, and that the tilt effect is unlikely to rationalize this finding
Market liquidity and funding liquidity by Markus Konrad Brunnermeier ( )
11 editions published in 2007 in English and held by 64 WorldCat member libraries worldwide
"We provide a model that links an asset's market liquidity - i.e., the ease with which it is traded - and traders' funding liquidity - i.e., the ease with which they can obtain funding. Traders provide market liquidity, and their ability to do so depends on their availability of funding. Conversely, traders' funding, i.e., their capital and the margins they are charged, depend on the assets' market liquidity. We show that, under certain conditions, margins are destabilizing and market liquidity and funding liquidity are mutually reinforcing, leading to liquidity spirals. The model explains the empirically documented features that market liquidity (i) can suddenly dry up, (ii) has commonality across securities, (iii) is related to volatility, (iv) is subject to "flight to quality", and (v) comoves with the market, and it provides new testable predictions"--NBER website
Optimal beliefs, asset prices, and the preference for skewed returns by Markus Konrad Brunnermeier ( )
13 editions published in 2007 in English and held by 61 WorldCat member libraries worldwide
"Human beings want to believe that good outcomes in the future are more likely, but also want to make good decisions that increase average outcomes in the future. We consider a general equilibrium model with complete markets and show that when investors hold beliefs that optimally balance these two incentives, portfolio holdings and asset prices match six observed patterns: (i) because the cost of biased beliefs are typically second-order, investors typically hold biased assessments of probabilities and so are not perfectly diversified according to objective metrics; (ii) because the costs of biased beliefs temper these biases, the utility costs of the lack of diversification are limited; (iii) because there is a complementarity between believing a state more likely and purchasing more of the asset that pays off in that state, investors over-invest in only one Arrow-Debreu security and smooth their consumption well across the remaining states; (iv) because different households can settle on different states to be optimistic about, optimal portfolios of ex ante identical investors can be heterogeneous; (v) because low-price and low-probability states are the cheapest states to buy consumption in, overoptimism about these states distorts consumption the least in the rest of the states, so that investors tend to overinvest in the most skewed securities; (vi) finally, because investors with optimal expectations have higher demand for more skewed assets, ceteris paribus, more skewed asset can have lower average returns"--NBER website
Do wealth fluctuations generate time-varying risk aversion? micro-evidence on individuals' asset allocation by Markus Konrad Brunnermeier ( )
7 editions published in 2006 in English and held by 49 WorldCat member libraries worldwide
We use data from the PSID to investigate how households' portfolio allocations change in response to wealth fluctuations. Persistent habits, consumption commitments, and subsistence levels can generate time-varying risk aversion with the consequence that when the level of liquid wealth changes, the proportion a household invests in risky assets should also change in the same direction. In contrast, our analysis shows that the share of liquid assets that households invest in risky assets is not affected by wealth changes. Instead, one of the major drivers of households' portfolio allocation seems to be inertia: households rebalance only very slowly following inflows and outflows or capital gains and losses
Deciphering the liquidity and credit crunch 2007-08 by Markus Konrad Brunnermeier ( )
7 editions published in 2008 in English and held by 42 WorldCat member libraries worldwide
This paper summarizes and explains the main events of the liquidity and credit crunch in 2007-08. Starting with the trends leading up to the crisis, I explain how these events unfolded and how four different amplification mechanisms magnified losses in the mortgage market into large dislocations and turmoil in financial markets
A note on liquidity risk management by Markus Konrad Brunnermeier ( )
7 editions published in 2009 in English and held by 41 WorldCat member libraries worldwide
When a firm is unable to rollover its debt, it may have to seek more expensive sources of financing or even liquidate its assets. This paper provide a normative analysis of minimizing such rollover risk, through the optimal dynamic choice of the maturity structure of debt. The objective of a firm with long-term assets is to maximize the effective maturity of its liabilities across several refinancing cycles, rather than to maximize the maturity of the current bonds outstanding. An advantage of short-term financing is that a firm, while in good financial health, can readjust its maturity structure more quickly in response to changes in its asset value
An economic model of the planning fallacy by Markus Konrad Brunnermeier ( )
6 editions published in 2008 in English and held by 39 WorldCat member libraries worldwide
People tend to underestimate the work involved in completing tasks and consequently finish tasks later than expected or do an inordinate amount of work right before projects are due. We present a theory in which people underpredict and procrastinate because the ex-ante utility benefits of anticipating that a task will be easy to complete outweigh the average ex-post costs of poor planning. We show that, given a commitment device, people self-impose deadlines that are binding but require less smoothing of work than those chosen by a person with objective beliefs. We test our theory using extant experimental evidence on differences in expectations and behavior. We find that reported beliefs and behavior generally respond as our theory predicts. For example, monetary incentives for accurate prediction ameliorate the planning fallacy while incentives for rapid completion aggravate it
The maturity rat race by Markus Konrad Brunnermeier ( )
4 editions published in 2010 in English and held by 36 WorldCat member libraries worldwide
We develop a model of endogenous maturity structure for financial institutions that borrow from multiple creditors. We show that a maturity rat race can occur: an individual creditor can have an incentive to shorten the maturity of his own loan to the institution, allowing him to adjust his financing terms or pull out before other creditors can. This, in turn, causes all other lenders to shorten their maturity as well, leading to excessively short-term financing. This rat race occurs when interim information is mostly about the probability of default rather than the recovery in default, and is most pronounced during volatile periods and crises. Overall, firms are exposed to unnecessary rollover risk
Carry trades and currency crashes by Markus Konrad Brunnermeier ( )
7 editions published in 2008 in English and Undetermined and held by 35 WorldCat member libraries worldwide
This paper documents that carry traders are subject to crash risk: i.e. exchange rate movements between high-interest-rate and low-interest-rate currencies are negatively skewed. We argue that this negative skewness is due to sudden unwinding of carry trades, which tend to occur in periods in which risk appetite and funding liquidity decrease. Funding liquidity measures predict exchange rate movements, and controlling for liquidity helps explain the uncovered interest-rate puzzle. Carry-trade losses reduce future crash risk, but increase the price of crash risk. We also document excess co-movement among currencies with similar interest rate. Our findings are consistent with a model in which carry traders are subject to funding liquidity constraints
CoVaR by Tobias Adrian ( )
6 editions published between 2008 and 2011 in English and held by 35 WorldCat member libraries worldwide
We propose a measure for systemic risk: CoVaR, the value at risk (VaR) of the financial system conditional on institutions being under distress. We define an institution's contribution to systemic risk as the difference between CoVaR conditional on the institution being under distress and the CoVaR in the median state of the institution. From our estimates of CoVaR for the universe of publicly traded financial institutions, we quantify the extent to which characteristics such as leverage, size, and maturity mismatch predict systemic risk contribution. We also provide out of sample forecasts of a countercyclical, forward looking measure of systemic risk and show that the 2006Q4 value of this measure would have predicted more than half of realized covariances during the financial crisis
Leadership, coordination and mission-driven management by Patrick Bolton ( )
6 editions published in 2008 in English and held by 34 WorldCat member libraries worldwide
What makes a good leader? A good leader is able to coordinate his followers around a credible mission statement, which communicates the future course of action of the organization. In practice, leaders learn about the best course of action for the organization over time. While learning helps improve the organization's goals it also creates a time-consistency problem. Leader resoluteness is a valuable attribute in such a setting, since it slows down the leader's learning and thus improves the credibility of the mission statement. But resolute leaders also inhibit communication with followers and leader resoluteness is costly when followers have sufficiently valuable signals
Macroeconomics with financial frictions a survey by Markus Konrad Brunnermeier ( )
6 editions published between 2012 and 2013 in English and held by 33 WorldCat member libraries worldwide
This article surveys the macroeconomic implications of financial frictions. Financial frictions lead to persistence and when combined with illiquidity to non-linear amplification effects. Risk is endogenous and liquidity spirals cause financial instability. Increasing margins further restrict leverage and exacerbate downturns. A demand for liquid assets and a role for money emerges. The market outcome is generically not even constrained efficient and the issuance of government debt can lead to a Pareto improvement. While financial institutions can mitigate frictions, they introduce additional fragility and through their erratic money creation harm price stability
Bubbles, financial crises, and systemic risk by Markus Konrad Brunnermeier ( )
4 editions published in 2012 in English and held by 32 WorldCat member libraries worldwide
This chapter surveys the literature on bubbles, financial crises, and systemic risk. The first part of the chapter provides a brief historical account of bubbles and financial crisis. The second part of the chapter gives a structured overview of the literature on financial bubbles. The third part of the chapter discusses the literatures on financial crises and systemic risk, with particular emphasis on amplification and propagation mechanisms during financial crises, and the measurement of systemic risk. Finally, we point toward some questions for future research
Optimal expectation by Markus Konrad Brunnermeier ( Book )
6 editions published in 2004 in English and held by 17 WorldCat member libraries worldwide
Bubbles and crashes by Dilip Abreu ( Book )
6 editions published between 2001 and 2002 in English and held by 12 WorldCat member libraries worldwide
Predatory short selling by Markus Konrad Brunnermeier ( )
2 editions published in 2013 in English and held by 11 WorldCat member libraries worldwide
Financial institutions may be vulnerable to predatory short selling. When the stock of a financial institution is shorted aggressively, leverage constraints imposed by short-term creditors can force the institution to liquidate long-term investments at fire sale prices. For financial institutions that are sufficiently close to their leverage constraints, predatory short selling equilibria co-exist with no-liquidation equilibria (the vulnerability region) or may even be the unique equilibrium outcome (the doomed region). Increased coordination among short sellers expands the doomed region, where liquidation is the unique equilibrium. Our model provides a potential justification for temporary restrictions on short selling of vulnerable institutions and can be used to assess recent empirical evidence on short-sale bans
 
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Alternative Names
Brunnemeier, M. K.
Brunnermeier, Markus
Brunnermeier, Markus K.
Brunnermeier, Markus Konrad.
Languages
English (169)
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