Introduction

I am currently holding a postdoc position at the IMFS at Goethe University Frankfurt in cooperation with the Hoover Institution at Stanford University. My research focuses on Dynamic Macroeconomics, Monetary Theory, and Inequality with emphasis on structural empirical analysis, heterogeneity and endogenous nonlinear dynamics. I also have a strong background in IT and computational methods and am advocating free and open source software.

Working Papers

Monetary Policy and Speculative Stock Markets

[download working paper, code on github ] (read more)

Using an estimated model with credit constraints in which excess volatility of stock markets is endogenously amplified through behavioral speculation, I study whether monetary policy can mitigate spillovers. Endogenous speculation and its feedback to the price level are central features to replicate empirical key moments. Standard monetary policy rules are shown to amplify stock price volatility. Numerical analysis suggests that asset price targeting can offset the impact of speculation on either output or inflation (but not on both) and can dampen excess volatility. The dampening effect of this policy is limited due to its undesirable response to non-financial shocks.

Can Taxation Predict US-Top-Wealth Share Dynamics?

[with Thomas Fischer, download paper] (read more)

The degree of capital gains taxation can retrace the dynamics of wealth inequality in the US since the 1920s. Precisely matching up- and downturns and levels of top shares, it has high overall explanatory power. This result is drawn from an estimated, micro-founded portfolio-choice model where idiosyncratic return risk and disagreement in expectations on asset returns generate an analytically tractable fat-tailed Pareto distribution for the top-wealthy. This allows us to decompose the sample into periods of transient and stationary wealth concentration. The model generates good out-of-sample forecasts. As an addition we predict the future evolution of inequality for different tax regimes.

The ETACE Virtual Appliance: An Exploratory for the Eurace@Unibi model

[with Sander van der Hoog, download paper, download software] (read more)

This paper presents the Etace Virtual Appliance. The purpose of the software package is, among others, to provide researchers the possibility to explore the dynamics of the Eurace@Unibi agent-based macroeconomic model and to encourage the reproducibility and transparency of research. The package contains various components that allow the user to initialize, simulate and analyze the model. We also give a short overview of what can be done with the Etace Virtual appliance.

Current Projects

Efficient Solution, Filtering and Estimation of Models with OBCs

[download latest draft, code on github ] (read more)

Occasionally binding constraints (OBCs) play a major role in macroeconomic modelling since major developed economies have hit the effective lower bound (ELB) on interest rates. I propose a solution method for rational expectations models with OBCs and a Bayesian filter that, both combined, can be used for quick and accurate Bayesian estimation of large-scale models. The quasi-analytic solution method calculates the endogenous duration at the constraint while avoiding matrix inversions and simulations at runtime for gains in computational speed. I suggest an iterative path-adjusting transposed-ensemble RTS (short: IPA) smoother to estimate the state distributions while fully respecting the nonlinearity of the transition function. For this hybrid between the particle filter and iterative versions of the Kalman filter a very small number of particles (about 250) suffices to obtain high accuracy. As an example, I estimate and analyse the simple New Keynesian model with particular focus on the effects of monetary policy during the US-ELB period.

A Structural Investigation of Quantitative Easing

[with Felix Strobel, draft upon request] (read more)

Did the quantitative easing measures (QE) conducted during the Great Recession induce real effects? We seek to answer this question by estimating a medium scale DSGE model featuring a banking sector, financial frictions and the effective lower bound on nominal interest rates (ELB) and use it to decompose the last two decades of US macroeconomic data. The expected duration of the ELB is modeled to be endogenous. Using the filtered distribution of shocks for counterfactual analysis we conclude that from 2009 to 2015 the overall QE measures contributed about 0.5 percent to output. While the effects of the liquidity provision was negligible, both the bond and MBS purchases had positive impact on consumption. Other than the MBS purchases, government bond purchases had negative effects on investment and a negative net contribution to GDP. Whereas QE stimulates asset prices in the short-run, the persistent reduction of excess spreads can lower banks' net worth, the loan supply, and hence real economic activity in the mid-run. Forecasts suggest that, through the link between banks balance sheet and investment, shutting down the QE program will have a strong recessionary "hangover" effect, leading to a net-decrease in output for the years after the end of QE.

The Great Recession and the Zero Lower Bound

[with Felix Strobel, draft upon request] (read more)

We investigate the drivers of the Great Recession and analyse the effects of interest rate policies in the aftermath of the crisis. For that purpose we estimate a medium-scale DSGE model and decompose the US dynamics, accounting for an endogenously binding zero lower bound (ZLB). We find that the Great Recession was caused by an increase in the risk premium, which persisted after the recession and weighed heavily on real activity. Our analysis suggests that the long duration of the zero lower bound was a reaction to the weak economic development as opposed to a commitment by the central bank to actively keep interest rates lower than a Taylor-rule implied rate. Nonetheless, the sharp cut in the Fed Fund rate prior to the ZLB period attenuated the fall in output by roughly 1 percent. At the ZLB, expansionary forward guidance shocks had an strengthening effect on output, whereas the exit from the ZLB was too early and had recessionary effects. Inflation dynamics are largely untouched by interest rate policy due to a flat Phillips Curve. Furthermore, we find that the cost of the ZLB was substantial and lowered output by two percent.

On the Evolutionary Fitness of Rationality

[ with Cars Hommes, download latest draft, code upon request] (read more)

This work analyses the interaction of perfectly rational agents in a market with coexisting boundedly rational traders. Whether an individual agent is perfectly rational or boundedly rational is determined endogenously depending on each types market performance. Perfect rationality implies full knowledge of the model including the non-linear switching process itself. Policy function iteration is used to find a recursive minimal state variable solution of the highly nonlinear system and I show that this solution is not necessarily bounded. Depending on the parameterization, agents' interaction can trigger complicated endogenous fluctuations that are well captured by the solution algorithm. In such financial market setup rational agents might adapt sentiment beliefs and so fail to mitigate speculative behavior, and boundedly rational agents are not necessarily driven out of the market. While up to a certain point the presence of fully rational agents tends to have stabilizing effects it may later amplify endogenous fluctuations.

Noise Induced Stationarity in Explosive Dynamic Feedback Systems

[with Cees Diks, draft upon request] (read more)

We show that under certain circumstances adding noise to an explosive dynamic expectations feedback system can decrease the probability of explosive dynamics and make stationary behavior more likely. We build a small toy model of a market with positive expectations feedback, such as a housing or an asset market, and assume that agents form heterogeneous boundedly rational expectations. Identifying regions in the parameter space where the dynamics are explosive, we give conditions under which adding further stochastic noise can potentially stabilize the market. We provide intuition for this result and discuss the economic implications. For instance, this implies that policy measures that presumingly increase market volatility, such as a Tobin Tax, are not necessarily destabilizing.

Collateral Value and Credit Cycles

[work in progress] (read more)

This work studies the dynamic feedback between collateral prices and aggregate credit volume by formulating a simple non-linear model of a market for a durable good that can be used as collateral to finance expenditures. A finite number of agents that are heterogeneous in wealth maximize utility by deciding over the stock of the good, consumption expenditures and borrowing volumed. We assume that agents form boundedly rational mean-reverting expectations with risk-learning component. The individual borrowing conditions are determined by each agent's leverage ratio and the probability distribution of expected future prices of collateral. The use of projection methods allows agents to realistically anticipate for policy effect and effects of macroprudential regulation even though their expectations are not formed fully rationally. We show that this leads to non-trivial dynamics that are fed by the dynamic feedback of expectations on collateral value, credit and the prices of collateral. Running detailed numerical simulations, we analyze the dynamic stability properties and show how macroprudential policy is able to improve stability properties and decrease the magnitude of unwanted feedback effects.

The General Equilibrium Effects of a Basic Income Guarantee

[work in progress] (read more)

In this exploratory project I take a simple Walrasian economy with agents heterogeneous in skills as a starting point to compare the macroeconomic equilibrium outcome of a minimum wage and unemployment benefit with that of a basic income guarantee regime. Treating individual labor supply as a binary and using standard preferences, I focus on a labor-intensive real economy that embeds decreasing returns to scale and imperfectly competitive firms. This simple structure allows to study the distribution of employment, consumption and production among agents as well as aggregate measurements. While the introduction of minimum wages and/or unemployment benefit yields textbook results, a moderate basic income guarantee can increase labor market participation and output. The binary nature of employment is crucial to generate this result. I show analytically under which restrictions on the parameter space the above conclusion holds and when it does not. Furthermore, any combination of a basic income guarantee with minimum wages and/or unemployment benefits is harmful for employment and output.

CV

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In brief, I completed my PhD at the University of Amsterdam and Bielefeld University, supervised jointly by Cars Hommes and Herbert Dawid. I won the 2017 Student Price of the Society for Computational Economics. During my PhD I was financed by a scholarship from the Bielefeld Graduate School in Economics and Management. Before, I was holding a scholarship from the German Research Foundation. I obtained my MSc in economics from the University of Granada (top of class) and studied economics at Humboldt University Berlin at undergraduate level. I have worked as a professional guitar player and as an IT consultant for several start-up companies.

Downloads

I am an enthusiast user of Arch Linux and Python. For many reasons I support the use of free and open software in science. I am in particular sceptical towards Matlab and think it is a barrier towards future scientific advancement.

You can find most of my codes in my repositories on github.

I was coordinating the refactoring of the Macromodelbase to meet modern standards and to become independent of proprietary software.

Downloads related to the The ETACE Virtual Appliance (joint work with P. Harting and S. van der Hoog) from my time at Bielefeld U.:
software installation guide user manual licenses

Contact

Email
boehl [ät] econ [döt] uni-frankfurt [döt] de
mail [ät] gregorboehl [döt] com
Tel
+49 (0)69 798 33831
Mail
Dr. Gregor Boehl
Institute for Monetary and Financial Stability
Goethe-Universität Frankfurt
House of Finance
Theodor-W.-Adorno-Platz 3
60323 Frankfurt am Main
Germany