Markus Brunnermeier

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Markus K. Brunnermeier (2015)

Markus Konrad Brunnermeier (born March 22, 1969 in Landshut ) is a German economist , Edward S. Sanford Professor of Economics at Princeton University and Director of the Bendheim Center for Finance . He researches international financial markets and macroeconomics with a focus on price bubbles , liquidity , financial crises and monetary policy . His work contributes to the understanding of liquidity spirals and establishes the concept of the paradox of caution, the I-theory of money, and CoVaR as a systemic measure of risk.

He is or was a member of scientific advisory bodies to the International Monetary Fund (IMF), the Federal Reserve Bank of New York , the European Systemic Risk Board , the Deutsche Bundesbank , and the US Congressional Budget Office .

Youth and education

Brunnermeier grew up in Landshut . As a teenager he was convinced that as a carpenter he would follow in his father's footsteps. A slump in the construction industry took him on a different path. After working at the Landshut and Munich tax offices, he took his secondary school diploma. He then did his military service in the Bundeswehr and studied economics at the University of Regensburg from 1991 to 1993 . From 1993 to 1994 he studied as part of an exchange program at Vanderbilt University and earned a Master of Arts in Economics. He then began his doctoral thesis in the Graduate College of the Rheinische Friedrich-Wilhelms-Universität Bonn , but switched to the London School of Economics (LSE) in 1995 . There he wrote a book on asset prices, price bubbles , herd behavior , and crashes. In 1999 he received his PhD from the LSE.

research

As a result, Brunnermeier worked as an assistant professor at Princeton University . In 2006 he received a full professorship there . Since 2008 he has been the Edward S. Sanford Professor of Economics . In 2011 he founded the Julis Rabinowitz Center for Public Policy and Finance at Princeton's Woodrow Wilson School. Since 2014 he has also been director of the Bendheim Center for Finance.

Brunnermeier's research deals with questions of macro , money , and financial market economics . The focus of his research is on the consequences of frictions in the financial market . These frictions prevent market prices from taking into account all information of a market relevant to price formation and thus reflecting the fundamental value of an asset.

Price efficiency, speculative bubbles, liquidity concepts, and systemic risk

The dot-com bubble served Brunnermeier as motivation for a series of research projects. Together with Stefan Nagel, he documents that, contrary to the market efficiency hypothesis , hedge funds continued to invest in dotcom companies during the dot-com bubble, despite their knowledge of the bubble . With the help of theoretical models, Brunnermeier also offers explanations for the existence and collapse of bubbles in spite of rationally acting market participants. Information frictions play a key role in these models.

Together with Lasse Pedersen, Brunnermeier also introduces different concepts of liquidity and analyzes liquidity spirals, during which a self-reinforcing cycle of decreasing liquidity means that even comparatively small shocks can have a big impact. The article provides an explanation for the massive decline in the liquidity of many assets during the global financial crisis from 2007 .

Together with Tobias Adrian, Brunnermeier introduces CoVaR, one of the first measures of systemic risk. Based on the concept of value at risk, this measure quantifies the risk of carry-over and contagion effects in the financial system.

Macroeconomics and Financial Markets

Brunnermeier and Yuliy Sannikov introduce financial market frictions into macroeconomic models and models of the international economy. In doing so, they take into account non-linear relationships that occur in times of crisis. They also justify the concept of the volatility paradox. This paradox relates to the fact that risks in the financial market build up in quiet times, but only become visible during a crisis.

Monetary Theory and Financial Regulation

Brunnermeier and Sannikov's research on I-Theory of Money examines Fisher's debt deflation and the interaction between monetary policy and macroprudential policy. It represents an alternative to the prevailing Neo-Keynesian view, according to which price and wage rigidities are the primarily relevant frictions. He also coined the term “caution paradox ”, which states that microprudential behavior of individual financial intermediaries can lead to additional macro risks and therefore does not have to be macroprudential. The precautionary paradox is analogous to Keynes' saving paradox , but refers to the assumption of risk instead of the saving and consumption decision.

International financial markets

Brunnermeier's work on international financial market economics shows the links between carry trades and currency crises . He also analyzes the sudden drying up of international credit flows and other inefficiencies caused by financial externalities .

Euro and business philosophies

Further research by Brunnermeier deals with the architecture of the euro and the euro zone . In the book "Euro: Battle of the Economic Cultures", written together with Harold James and Jean-Pierre Landau, he shows how core problems of the Euro can also be traced back to fundamentally different political and economic philosophies of the founding countries of the Eurozone, especially those of France and Germany. The authors also discuss how a synthesis of these competing philosophies can be achieved. In further research, Brunnermeier and co-authors propose the creation of structured government debt bonds , secure government bonds without joint liability, so-called European Safe Assets (ESBies), to break the vicious circle between the risks of governments and banks . In times of crisis, ESBies could at the same time replace the flight of investors to safe assets across national borders with a flight through various tranches of these European government debt bonds.

Awards, memberships, and editorial activities

In 1999 he was selected to participate in the Review of Economic Studies Tour. In 2004 he received the Smith Breeden Prize and in 2005 the Sloan Research Fellowship . In 2008 he was awarded the Germán Bernácer Prize , which annually honors an economist under 40 for outstanding contributions in the field of macroeconomics and finance. In 2010 he received the Guggenheim Fellowship and was appointed a Fellow of the Econometric Society . In 2013 he was awarded the Brattle Prize. In 2016, the Bank for International Settlements named Brunnermeier a Lamfalussy Fellow.

In addition to his activities in the scientific advisory bodies of the International Monetary Fund (IMF), the Federal Reserve Bank of New York , the European Systemic Risk Committee , the Deutsche Bundesbank , and the US Congressional Budget Office , Brunnermeier is with the National Bureau of Economic Research , the Center for Economic Policy Research in London, and affiliated with the CESifo network. At CESifo he heads the "Macro, Money and International Finance" department.

Brunnermeier has worked for academic journals, including as Associate Editor for the American Economic Review , the Journal of Finance , the Review of Financial Studies , the Journal of the European Economic Association , and the Journal of Financial Intermediation .

Web links

Individual evidence

  1. ^ Young Guns: Five Hot Minds in Economics: Markus Brunnermeier . In: Yale University (Ed.): Yale Economic Review . ( princeton.edu ).
  2. ↑ a b Justin Lahart: Bernanke's Bubble Laboratory . In: The Wall Street Journal . May 16, 2008 ( wsj.com ).
  3. ↑ a b c d Markus Brunnermeier: Markus Brunnermeier's profile. Retrieved January 18, 2018 .
  4. ↑ Markus Brunnermeier: Asset Pricing under Asymmetric Information: Bubbles, Crashes, Technical Analysis and Herding . Ed .: Oxford University Press. Oxford, UK 2001, ISBN 978-0-19-829698-0 .
  5. ^ Markus K. Brunnermeier, Stefan Nagel: Hedge Funds and the Technology Bubble . In: The Journal of Finance . tape 59 , no. 5 , 2004, p. 2013-2040 .
  6. ^ Markus K. Brunnermeier: Asset Pricing under Asymmetric Information . In: Bubbles, Crashes, Technical Analysis, and Herding. Oxford University Press, 2001.
  7. ^ Dilip Abreu, Markus K. Brunnermeier: Synchronization risk and delayed arbitrage . In: Journal of Financial Economics . tape 66 , no. 2-3 , 2002, pp. 341-360 .
  8. ^ Dilip Abreu, Markus K. Brunnermeier: Bubbles and Crashes . In: Econometrica . tape 71 , no. 1 , 2003, p. 173-204 .
  9. ^ Markus K. Brunnermeier, Lasse H. Pedersen: Market Liquidity and Funding Liquidity . In: Review of Financial Studies . tape 22 , no. 6 , 2009, p. 2201-2238 .
  10. ^ Tobias Adrian, Markus K. Brunnermeier : CoVaR . In: American Economic Review . tape 106 , no. 7 , 2016, p. 1705-1741 .
  11. ↑ Markus K. Brunner Meier, Yuliy Sannikov : A Macroeconomic Model with a Financial Sector . In: American Economic Review . tape 104 , no. 2 , 2014, p. 379-421 ( aeaweb.org ).
  12. ↑ Markus K. Brunner Meier, Yuliy Sannikov : The I Theory of Money . In: NBER Working Paper (22533) . 2016.
  13. ^ Markus K. Brunnermeier, Stefan Nagel, Lasse H. Pedersen: Carry Trades and Currency Crashes . In: Kenneth Rogoff, Michael Woodford, Daron Acemoglu (Eds.): NBER Macroeconomics Annual . tape 23 , 2008, p. 313-347 .
  14. ^ Markus K. Brunnermeier, Harold James, Jean-Pierre Landau: Euro: Battle of the economic cultures . CH Beck, 2018, ISBN 978-3-406-71233-3 .
  15. ↑ Markus K. Brunnermeier, Sam Langfield, Marco Pagano, Ricardo Reis, Stijn Van Nieuwerburgh, Dimitri Vayanos: ESBies: Safety in the tranches . In: Economic Policy . tape 32 , no. 90 , 2017, p. 175-219 .
  16. ↑ Bernácer Prize: Prize Winners. Retrieved January 22, 2018 .
  17. ^ Bendheim Center for Finance: Prizes and awards from the members of the Bendheim Center for Finance. Retrieved January 18, 2018 .
  18. ↑ Bank for International Settlements: Lamfalussy Fellows Appointment 2016. Accessed January 22, 2018 .
  19. ^ Markus K. Brunnermeier: contact details. Center for Economic Policy Research, accessed January 18, 2018 .
  20. ^ Markus K. Brunnermeier: contact details. National Bureau of Economic Research, accessed January 18, 2018 .
  21. ^ Macro, Money, and International Finance Group des CESifo. CESifo, accessed January 22, 2018 .
personal data
SURNAME Brunnermeier, Markus
ALTERNATIVE NAMES Brunnermeier, Markus Konrad (full name)
BRIEF DESCRIPTION German economist
DATE OF BIRTH March 22, 1969
PLACE OF BIRTH Landshut