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Markus K.
Brunnermeier |
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News
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07/01/10 |
Guggenheim
Fellowship for studying "Financial Frictions and the Macroeconomy" -- various Video links |
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06/03/10 |
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05/20/10 |
ECB
Presentation (Papademos Colloquium) |
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05/17/10 |
Berlin
Lecture in Finance on the New Financial Architecture - Deutsche
Version |
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05/11/10 |
Zeitungsinterview zur Krise
in Griechenland |
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02/27/10 |
Hearing:
Financial Crisis Inquiry Commission of the United States of America |
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01/11/10 |
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08/06/09 |
The Economist
asked me to respond to Bob Lucas' article |
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06/10/09 |
Bernácer Prize
awarded annually to a European economist under 40 |
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26/01/09 |
Geneva Report:
The Fundamental Principles of Financial Regulation (with Andrew Crockett,
Charles Goodhart, Avi Persaud and Hyun Shin) - reviewed in the New York Book Review |
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11/15/08 |
Deciphering
the Liquidity and Credit Crunch 2007-08
- slides - featured
in New York Times - Chinese
version: 解密2007—2008年的流动性和信贷萎缩 |
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08/14/08 |
Charlie
Rose Show on bubbles, financial crisis and Fed (Roundtable with Harrison
Hong and Wei Xiong) |
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03/15/08 |
Bubbles -
Entry in The New Palgrave Dictionary of Economics - Wall
Street Journal front-page article |
Profile
A different
profile in the Yale Economic Review
Markus K. Brunnermeier is the Edwards S.
Sanford Professor at Princeton University. He is a faculty member of the
Department of Economics and affiliated with Princeton's Bendheim
Center for Finance and the International Economics Section. He is also a
research associate at CEPR, NBER, and CESifo, and a
visiting scholar at the Federal Reserve Bank of New York. He was awarded his Ph.D.
by the London School of Economics (LSE), where he was also affiliated with its
Financial Markets Group.
His research focuses on financial crisis, bubbles and significant mispricings due to institutional frictions, strategic
considerations, and behavioral trading. It explains why liquidity dries up when
it is needed the most and has important implications for risk management and
financial regulation. He is a Sloan Research Fellow and the recipient of the Bernácer Prize granted for outstanding
contributions in the fields of macroeconomics and finance. He recently received
a Guggenheim Fellowship for studying the impact of financial frictions on the macroeconomy. He is also an associated editor of the
American Economic Review, Journal of European Economic Association, Journal of Finance and was previously on the editorial board
of the Review of Financial Studies and the Journal of Financial Intermediation.
Research
A summary in the NBER Reporter
Work
in Progress
A Macroeconomic Model with a Financial
Sector, with Yuliy Sannikov, slides. (updated
version coming soon)
The i-Theory of Money with Yuliy Sannikov, slides.
(coming ...)
Risk Topography with Gary Gorton and Arvind
Krishnamurthy, slides.
Manuscripts
The Maturity Rat Race, with
Martin Oehmke, slides.
Computational
Complexity and Information Asymmetry in Financial Products, with Sanjeev Arora, Boaz Barak, and Rong Ge, slides.
CoVaR, with
Tobias Adrian, slides.
Predicting and measuring a financial institution's
contribution to systemic risk that internalizes externalities and avoids procyclicality.
Complexity in Financial Markets, with Martin Oehmke, slides.
An Economic Model of the Planning Fallacy, with Filippos Papakonstantinou and Jonathan Parker, slides.
Leadership,
Coordination and Mission-Driven Management, with
Patrick Bolton and Laura Veldkamp.
Winner
of JP Morgan Prize
for the best paper at the Utah Winter Finance Conference, 2008.
Overconfident leaders make more precise mission statement which enhances
coordination among the followers by reducing the leaders' time-inconsistency
problem.
Contrasting
Different Forms of Price Stickiness: Exchange Rate Overshooting and the Beggar
Thy Neighbor Policy, with Clemens Grafe; October
1999.
Contrasts retail and whole sale price stickiness in the new
open macroeconomic setting.
Publications
Book
Asset Pricing under Asymmetric Information - Bubbles, Crashes,
Technical Analysis and Herding
Oxford University Press, 2001.
Articles
Clock Games: Theory and Experiments,
with John Morgan; Games and Economic Behavior, forthcoming, 2006 version, slides.
Timing games with pre-emption and waiting motive as well as
information clustering.
A Note on Liquidity Risk
Management, with Motohiro Yogo;
American Economics Review (Papers and Proceedings), 2009, 99(2),
578-583, slides.
Duration hedging might give the wrong prescription for
minimizing rollover risk.
Deciphering the Liquidity
and Credit Crunch 2007-08, Journal of Economic Perspectives, 2009,
23(1), 77-100, slides.
NBER
08 longer version
Version in Chinese 解密2007—2008年的流动性和信贷萎缩
Deutsche Version
Carry Trades and
Currency Crashes, with Stefan Nagel and Lasse
Pedersen, NBER Macroeconomics Annual 2008, 2009, 23, 313-347, slides.
Currency crash risk caused by sudden unwinding of carry
trades may discourage speculators from taking on large enough positions to
enforce UIP.
Market Liquidity and Funding Liquidity,
with Lasse Pedersen; Review of Financial Studies,
2009, 22(6), 2201-2238, slides.
Market liquidity and the funding of traders are mutually
reinforcing, giving rise to "liquidity phenomena" like fragility,
commonality and flight to quality.
Do Wealth Fluctuations
Generate Time-varying Risk Aversion? Micro-Evidence on Individuals' Asset
Allocation, with Stefan Nagel, American Economic Review, 2008,
98(3), 713-736.
Wealth shocks do not change the fraction individuals invest
in risky assets, suggesting that individuals' risk aversion is not
time-varying.
Money Illusion and
Housing Frenzies, with Christian Julliard; Review of Financial Studies,
2008, 21(1), 135-180, slides.
The confusion between changes in nominal and real interest
rates boosts real house prices when inflation declines.
Optimal Beliefs,
Asset Prices and the Preference for Skewed Returns, with Christian Gollier and Jonathan Parker; American Economics Review
(Papers and Proceedings), 2007, 97(2), 159-165.
Different households overinvest in different positively
skewed assets, making portfolio returns idiosyncratically skewed and lowering
returns on these skewed assets.
Optimal
Expectations, with Jonathan Parker; American Economics Review, 2005,
95(4), 1092-1118.
A structural model of "optimal"
belief distortions due to anticipatory utility.
Predatory Trading, with Lasse Pedersen; Journal of Finance, 2005, 60(4),
1825-1863.
Barclays
Global Investors Award for the best conference paper at the European Finance
Association, 2003.
Nominated for Smith Breeden Prize for the best article published in the Journal of
Finance, 2005.
When a large trader has to liquidate,
"predators" also sell and withdraw liquidity. This leads to price
overshooting and systemic risk.
Information Leakage and Market Efficiency; Review of Financial Studies, 2005, 18(2), 417-457.
BGI/Micheal Brennan Award (runner up) for the best paper
published in the Review of Financial Studies, 2005.
Information leakage lowers market efficiency in the long
run.
Hedge
Funds and the Technology Bubble, with Stefan Nagel; Journal of Finance,
2004, 59(5), 2013-2040.
Winner
of Smith Breeden
Prize for the best article published in the Journal of Finance,
2004.
Hedge funds were riding
the technology bubble instead of exerting a price correcting force.
Learning
to Re-optimize Consumption at New Income Levels: A Rationale for Prospect
Theory; Journal of European Economic Association,
2004, 2(1), 98-114.
Rationalizes three elements of Prospect
Theory.
Bubbles
and Crashes, with Dilip Abreu; Econometrica, 2003, 71(1), 173-204.
Bubbles persist since each rational arbitrageur does not
know when other arbitrageurs will attack.
Synchronization
Risk and Delayed Arbitrage, with Dilip Abreu; Journal
of Financial Economics, 2002, 66, 341-360.
Reprinted in The Psychology of World Equity Markets,
edited by Werner De Bondt, Edward Elgar Publishing
Ltd. Cheltenham, U.K.
Models the Wile E. Coyote effect, since synchronization risk
leads to market timing by arbitrageurs and delays arbitrage.
Disclosure Requirements and Stock Exchange Listing Choice in an
International Context, with Steven Huddart and John S. Hughes. Journal of Accounting and Economics, 1999, 26(1-3), 237-269.
Competition among exchanges leads to a "race to the
top" in disclosure standards.
Other
Publications
The Fundamental Principles of Financial Regulation, 11th Geneva Report on the World Economy, with Andrew Crockett, Charles Goodhart, Avi Persaud and Hyun Shin, 2009.
Bubbles, Entry in The New Palgrave Dictionary of Economics, edited by Steven Durlauf and Lawrence Blume, 2nd edition, 2009.
Inflation Illusion, Credit and Asset Pricing: A Comment, on Monika Piazzesi and Martin Schneider's article in "Asset Pricing and Monetary Economics," edited by John Y. Campbell, 2008.
Summary of my Research (outdated)
