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Karl Schmedders

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Brumm, Johannes & Grill, Michael & Kubler, Felix & Schmedders, Karl, 2013. "Collateral requirements and asset prices," Discussion Papers 44/2013, Deutsche Bundesbank.

    Mentioned in:

    1. Collateral requirements and asset prices
      by Christian Zimmermann in NEP-DGE blog on 2013-12-10 09:43:45

Working papers

  1. Johannes Brumm & Michael Grill & Felix Kubler & Karl Schmedders, 2017. "Re-Use of Collateral: Leverage, Volatility, and Welfare," Swiss Finance Institute Research Paper Series 17-04, Swiss Finance Institute.

    Cited by:

    1. Maurin, Vincent, 2022. "Asset scarcity and collateral rehypothecation," Journal of Financial Intermediation, Elsevier, vol. 52(C).
    2. Park, Hyejin, 2021. "Collateral reuse, collateral mismatch, and financial crises," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 367-380.

  2. Alena Miftakhova & Kenneth L. Judd & Thomas S. Lontzek & Karl Schmedders, 2016. "Statistical Approximation of High-Dimensional Climate Models," Swiss Finance Institute Research Paper Series 16-76, Swiss Finance Institute.

    Cited by:

    1. Simon Dietz & Rick van der Ploeg & Armon Rezai & Frank Venmans, 2020. "Are Economists Getting Climate Dynamics Right and Does It Matter?," CESifo Working Paper Series 8122, CESifo.
    2. Arik Sadeh & Claudia Florina Radu & Cristina Feniser & Andrei Borşa, 2020. "Governmental Intervention and Its Impact on Growth, Economic Development, and Technology in OECD Countries," Sustainability, MDPI, vol. 13(1), pages 1-30, December.

  3. Ole Wilms & Karl Schmedders & Walt Pohl, 2016. "Higher-Order Effects in Asset-Pricing Models with Long-Run Risks," 2016 Meeting Papers 306, Society for Economic Dynamics.

    Cited by:

    1. Andrei S. Gonçalves, 2021. "Reinvestment Risk and the Equity Term Structure," Journal of Finance, American Finance Association, vol. 76(5), pages 2153-2197, October.
    2. Stefan Nagel & Zhengyang Xu, 2019. "Asset Pricing with Fading Memory," NBER Working Papers 26255, National Bureau of Economic Research, Inc.
    3. Andrei, Daniel & Carlin, Bruce I., 2023. "Schumpeterian competition in a Lucas economy," Journal of Economic Theory, Elsevier, vol. 208(C).
    4. Pierlauro Lopez & J. David López-Salido & Francisco Vazquez-Grande, 2022. "Accounting for Risk in a Linearized Solution: How to Approximate the Risky Steady State and Around It," Working Papers 22-14, Federal Reserve Bank of Cleveland.
    5. Jaroslav Borovicka & John Stachurski, 2017. "Necessary and Sufficient Conditions for Existence and Uniqueness of Recursive Utilities," Papers 1710.06526, arXiv.org, revised Apr 2019.
    6. Geert Bekaert & Eric Engstrom & Andrey Ermolov, 2023. "The Variance Risk Premium in Equilibrium Models," Review of Finance, European Finance Association, vol. 27(6), pages 1977-2014.
    7. Koëter, Joren, 2021. "Essays on asset pricing, investor preferences, and derivative markets," Other publications TiSEM 9e88a66e-b972-4af3-91d6-0, Tilburg University, School of Economics and Management.
    8. Oliver de Groot & Alexander W. Richter & Nathaniel A. Throckmorton, 2018. "Valuation Risk Revalued," Working Papers 1808, Federal Reserve Bank of Dallas.
    9. Ermolov, Andrey, 2022. "Time-varying risk of nominal bonds: How important are macroeconomic shocks?," Journal of Financial Economics, Elsevier, vol. 145(1), pages 1-28.
    10. Alexis Akira Toda, 2021. "Data-Based Automatic Discretization of Nonparametric Distributions," Computational Economics, Springer;Society for Computational Economics, vol. 57(4), pages 1217-1235, April.
    11. Gareth Lui-Evans & Shalini Mitra, 2019. "Informality and Bank Stability," Working Papers 201903, University of Liverpool, Department of Economics.
    12. Paolo Guasoni & Gu Wang, 2020. "Consumption in incomplete markets," Finance and Stochastics, Springer, vol. 24(2), pages 383-422, April.
    13. Gu, Shihao & Kelly, Bryan & Xiu, Dacheng, 2021. "Autoencoder asset pricing models," Journal of Econometrics, Elsevier, vol. 222(1), pages 429-450.
    14. Yun, Jaeho, 2020. "A re-examination of the predictability of stock returns and cash flows via the decomposition of VIX," Economics Letters, Elsevier, vol. 186(C).
    15. Gao, Can & Martin, Ian, 2021. "Volatility, valuation ratios, and bubbles: An empirical measure of market sentiment," SAFE Working Paper Series 312, Leibniz Institute for Financial Research SAFE.
    16. Flint O'Neil, 2020. "Existence and Uniqueness of Recursive Utility Models in $L_p$," Papers 2005.07067, arXiv.org.
    17. Andreou, Panayiotis C. & Kagkadis, Anastasios & Philip, Dennis & Taamouti, Abderrahim, 2019. "The information content of forward moments," Journal of Banking & Finance, Elsevier, vol. 106(C), pages 527-541.
    18. He, Yunhao & Leippold, Markus, 2020. "Short-run risk, business cycle, and the value premium," Journal of Economic Dynamics and Control, Elsevier, vol. 120(C).
    19. Patrick Augustin & Roméo Tédongap, 2021. "Disappointment Aversion, Term Structure, and Predictability Puzzles in Bond Markets," Management Science, INFORMS, vol. 67(10), pages 6266-6293, October.
    20. Thomas J. Sargent & John Stachurski, 2024. "Dynamic Programming: Finite States," Papers 2401.10473, arXiv.org.
    21. Kristof Lommers & Ouns El Harzli & Jack Kim, 2021. "Confronting Machine Learning With Financial Research," Papers 2103.00366, arXiv.org, revised Mar 2021.
    22. Damián Pierri & Julián Martínez, 2020. "Accuracy in Recursive Minimal State Space Methods," Working Papers 147, Universidad de San Andres, Departamento de Economia, revised Aug 2020.
    23. Andreas Tryphonides, 2018. "Tilting Approximate Models," Papers 1805.10869, arXiv.org, revised Mar 2024.
    24. A Ronald Gallant & Mohammad R Jahan-Parvar & Hening Liu, 2019. "Does Smooth Ambiguity Matter for Asset Pricing?," The Review of Financial Studies, Society for Financial Studies, vol. 32(9), pages 3617-3666.
    25. Michael William Ashby & Oliver Bruce Linton, 2024. "Do Consumption-Based Asset Pricing Models Explain the Dynamics of Stock Market Returns?," JRFM, MDPI, vol. 17(2), pages 1-42, February.
    26. Cui, Liyuan & Hong, Yongmiao & Li, Yingxing, 2021. "Solving Euler equations via two-stage nonparametric penalized splines," Journal of Econometrics, Elsevier, vol. 222(2), pages 1024-1056.
    27. Dalderop, Jeroen, 2023. "Semiparametric estimation of latent variable asset pricing models," Journal of Econometrics, Elsevier, vol. 236(1).
    28. Jaroslav Borovicka & John Stachurski, 2019. "Stability of Equilibrium Asset Pricing Models: A Necessary and Sufficient Condition," Papers 1910.00778, arXiv.org, revised Feb 2021.
    29. Andreasen, Martin M. & Jørgensen, Kasper, 2020. "The Importance of Timing Attitudes in Consumption-Based Asset Pricing Models," Journal of Monetary Economics, Elsevier, vol. 111(C), pages 95-117.
    30. Liu, Zhenya & Teka, Hanen & You, Rongyu, 2023. "Conditional autoencoder pricing model for energy commodities," Resources Policy, Elsevier, vol. 86(PA).
    31. Fulop, Andras & Heng, Jeremy & Li, Junye & Liu, Hening, 2022. "Bayesian estimation of long-run risk models using sequential Monte Carlo," Journal of Econometrics, Elsevier, vol. 228(1), pages 62-84.
    32. Myroslav Pidkuyko & Raffaele Rossi & Klaus Reiner Schenk-Hoppé, 2019. "The Resolution of Long-Run Risk," Economics Discussion Paper Series 1908, Economics, The University of Manchester.
    33. Weidong Tian, 2021. "Long Run Law and Entropy," Papers 2111.06238, arXiv.org.
    34. Wenzelburger, Jan, 2020. "Mean-variance analysis and the Modified Market Portfolio," Journal of Economic Dynamics and Control, Elsevier, vol. 111(C).
    35. Ihor Kendiukhov, 2024. "Present Value of the Future Consumer Goods Multiplier," Papers 2402.01938, arXiv.org.
    36. Mignanego, Fausto & Sbuelz, Alessandro, 2022. "Analytical cyclical price–dividend ratios," Economics Letters, Elsevier, vol. 215(C).
    37. Pohl, Walter & Schmedders, Karl & Wilms, Ole, 2021. "Asset pricing with heterogeneous agents and long-run risk," Journal of Financial Economics, Elsevier, vol. 140(3), pages 941-964.
    38. Ivan Sutoris, 2018. "Asset Prices in a Production Economy with Long Run and Idiosyncratic Risk," CERGE-EI Working Papers wp620, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    39. Tsai, Jerry & Wachter, Jessica A., 2018. "Pricing long-lived securities in dynamic endowment economies," Journal of Economic Theory, Elsevier, vol. 177(C), pages 848-878.
    40. Andras Fulop & Jeremy Heng & Junye Li, 2022. "Efficient Likelihood-based Estimation via Annealing for Dynamic Structural Macrofinance Models," Papers 2201.01094, arXiv.org.
    41. Aleksy Leeuwenkamp & Wentao Hu, 2023. "New general dependence measures: construction, estimation and application to high-frequency stock returns," Papers 2309.00025, arXiv.org.

  4. Philipp Renner & Karl Schmedders, 2016. "Dynamic Principal-Agent Models," Swiss Finance Institute Research Paper Series 16-26, Swiss Finance Institute.

    Cited by:

    1. Dutta, Prajit K. & Siconolfi, Paolo, 2019. "Asynchronous games with transfers: Uniqueness and optimality," Journal of Economic Theory, Elsevier, vol. 183(C), pages 46-75.

  5. Walter POHL & Karl SCHMEDDERS & Ole WILMS, 2014. "Higher-Order Dynamics in Asset-Pricing Models with Recursive Preferences," Swiss Finance Institute Research Paper Series 14-68, Swiss Finance Institute, revised Nov 2015.

    Cited by:

    1. Jaroslav Borovicka & John Stachurski, 2017. "Necessary and Sufficient Conditions for Existence and Uniqueness of Recursive Utilities," Papers 1710.06526, arXiv.org, revised Apr 2019.
    2. Tsai, Jerry & Wachter, Jessica A., 2018. "Pricing long-lived securities in dynamic endowment economies," Journal of Economic Theory, Elsevier, vol. 177(C), pages 848-878.

  6. Johannes Brumm & Michael Grill & Felix Kubler & Karl Schmedders, 2013. "Margin Regulation and Volatility," Swiss Finance Institute Research Paper Series 13-59, Swiss Finance Institute.

    Cited by:

    1. Pengfei Wang & Jing Zhou & Jianjun Miao, 2015. "Housing Bubbles and Policy Analysis," 2015 Meeting Papers 1056, Society for Economic Dynamics.
    2. Yanxi Li & Siu Kai Choy & Mingzhu Wang, 2022. "The potential built‐in supply effect from margin trading in the Chinese stock market," The Financial Review, Eastern Finance Association, vol. 57(4), pages 835-861, November.
    3. Johannes Brumm & Michael Grill & Felix Kubler & Karl Schmedders, 2015. "Collateral Requirements And Asset Prices," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 56(1), pages 1-25, February.
    4. Corradin, Stefano & Heider, Florian & Hoerova, Marie, 2017. "On collateral: implications for financial stability and monetary policy," Working Paper Series 2107, European Central Bank.
    5. Johannes Brumm & Michael Grill & Felix Kubler & Karl Schmedders, 2023. "Re-use of collateral: Leverage, volatility, and welfare," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 47, pages 19-46, January.
    6. Suzuki, Shiba, 2018. "Inequality and asset fire sales," MPRA Paper 90906, University Library of Munich, Germany.
    7. Senarathne, Chamil W., . "The Information Flow Interpretation of Margin Debt Value Data: Evidence from New York Stock Exchange," Asian Journal of Applied Economics, Kasetsart University, Center for Applied Economics Research, vol. 26(1).
    8. Bistra Radeva, 2019. "Stock price fluctuations and GARCH modelling of stock market indexes," Economics and computer science, Publishing house "Knowledge and business" Varna, issue 3, pages 6-19.
    9. Magill, Michael & Quinzii, Martine, 2015. "Prices and investment with collateral and default," Journal of Economic Dynamics and Control, Elsevier, vol. 51(C), pages 111-132.
    10. Hui Ying Sng & Yang Zhang & Huanhuan Zheng, 2020. "Margin trade, short sales and financial stability," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 15(3), pages 673-702, July.
    11. Chabakauri, Georgy & Han, Brandon Yueyang, 2020. "Collateral constraints and asset prices," Journal of Financial Economics, Elsevier, vol. 138(3), pages 754-776.
    12. Clerc, Laurent & Giovannini, Alberto & Langfield, Sam & Peltonen, Tuomas A. & Portes, Richard & Scheicher, Martin, 2016. "Indirect contagion: the policy problem," ESRB Occasional Paper Series 9, European Systemic Risk Board.

  7. Michael Grill & Karl Schmedders & Felix Kubler & Johannes Brumm, 2012. "Margin Requirements and Asset Prices," 2012 Meeting Papers 533, Society for Economic Dynamics.

    Cited by:

    1. Senarathne, Chamil W., . "The Information Flow Interpretation of Margin Debt Value Data: Evidence from New York Stock Exchange," Asian Journal of Applied Economics, Kasetsart University, Center for Applied Economics Research, vol. 26(1).
    2. Chabakauri, Georgy, 2015. "Asset pricing with heterogeneous preferences, beliefs, and portfolio constraints," Journal of Monetary Economics, Elsevier, vol. 75(C), pages 21-34.

  8. Philipp Renner & Karl Schmedders, 2012. "A Polynomial Optimization Approach to Principal-Agent Problems," Swiss Finance Institute Research Paper Series 12-35, Swiss Finance Institute.

    Cited by:

    1. Philipp Renner & Karl Schmedders, 2020. "Discrete‐time dynamic principal–agent models: Contraction mapping theorem and computational treatment," Quantitative Economics, Econometric Society, vol. 11(4), pages 1215-1251, November.
    2. Singham, D.I., 2019. "Sample average approximation for the continuous type principal-agent problem," European Journal of Operational Research, Elsevier, vol. 275(3), pages 1050-1057.
    3. Christian Ewerhart, 2014. "An envelope approach to tournament design," ECON - Working Papers 184, Department of Economics - University of Zurich, revised Oct 2015.
    4. Bo Chen & Yu Chen & David Rietzke, 2020. "Simple contracts under observable and hidden actions," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 69(4), pages 1023-1047, June.
    5. Rehbeck, John, 2018. "Note on unique Nash equilibrium in continuous games," Games and Economic Behavior, Elsevier, vol. 110(C), pages 216-225.
    6. Philipp Renner & Karl Schmedders, 2017. "Dynamic Principal–Agent Models," Working Papers 203620456, Lancaster University Management School, Economics Department.
    7. Chang Koo Chi & Kyoung Jin Choi, 2022. "A Dual Approach To Agency Problems: Existence," Working papers 2022rwp-197, Yonsei University, Yonsei Economics Research Institute.
    8. Chi, Chang Koo & Choi, Kyoung Jin, 2023. "A dual approach to agency problems," Journal of Mathematical Economics, Elsevier, vol. 109(C).
    9. Kirkegaard, René, 2017. "Moral hazard and the spanning condition without the first-order approach," Games and Economic Behavior, Elsevier, vol. 102(C), pages 373-387.
    10. Philipp Renner, 2020. "An augmented first-order approach for incentive problems," Working Papers 297498586, Lancaster University Management School, Economics Department.
    11. Daniel Krv{s}ek & Dylan Possamai, 2023. "Randomisation with moral hazard: a path to existence of optimal contracts," Papers 2311.13278, arXiv.org.

  9. Fabian Ackermann & Walt Pohl & Karl Schmedders, 2012. "Optimal and Naive Diversification in Currency Markets," Swiss Finance Institute Research Paper Series 12-36, Swiss Finance Institute.

    Cited by:

    1. Alla Petukhina & Simon Trimborn & Wolfgang Karl Härdle & Hermann Elendner, 2021. "Investing with cryptocurrencies – evaluating their potential for portfolio allocation strategies," Quantitative Finance, Taylor & Francis Journals, vol. 21(11), pages 1825-1853, November.
    2. Schüssler, Rainer & Beckmann, Joscha & Koop, Gary & Korobilis, Dimitris, 2018. "Exchange rate predictability and dynamic Bayesian learning," VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy 181523, Verein für Socialpolitik / German Economic Association.
    3. Kharrat, Sabrine & Hammami, Yacine & Fatnassi, Ibrahim, 2020. "On the cross-sectional relation between exchange rates and future fundamentals," Economic Modelling, Elsevier, vol. 89(C), pages 484-501.
    4. Christos Alexakis & Dimitris Kenourgios & Vasileios Pappas & Athina Petropoulou, 2021. "From dotcom to Covid-19: A convergence analysis of Islamic investments," Post-Print hal-03347374, HAL.
    5. Bazán-Palomino, Walter & Winkelried, Diego, 2021. "FX markets’ reactions to COVID-19: Are they different?," International Economics, Elsevier, vol. 167(C), pages 50-58.
    6. Mikhail Chernov & Magnus Dahlquist & Lars Lochstoer, 2023. "Pricing Currency Risks," Journal of Finance, American Finance Association, vol. 78(2), pages 693-730, April.
    7. Platanakis, Emmanouil & Sutcliffe, Charles & Urquhart, Andrew, 2018. "Optimal vs naïve diversification in cryptocurrencies," Economics Letters, Elsevier, vol. 171(C), pages 93-96.
    8. Hafner, Christian M. & Herwartz, Helmut, 2022. "Dynamic score driven independent component analysis," LIDAM Reprints ISBA 2022010, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    9. Lawrence Kryzanowski & Jie Zhang & Rui Zhong, 2021. "Currency hedging and quantitative easing: Evidence from global bond markets," International Review of Finance, International Review of Finance Ltd., vol. 21(2), pages 555-597, June.
    10. Cheng Yan & Ji Yan, 2021. "Optimal and naive diversification in an emerging market: Evidence from China's A‐shares market," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 3740-3758, July.
    11. Fan, Zhenzhen & Paseka, Alexander & Qi, Zhen & Zhang, Qi, 2022. "Currency carry trade: The decline in performance after the 2008 Global Financial Crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 76(C).

  10. Johannes Brumm & Michael GRILL & Felix KUBLER & Karl SCHMEDDERS, 2011. "Collateral Requirements and Asset Prices," Swiss Finance Institute Research Paper Series 11-10, Swiss Finance Institute.

    Cited by:

    1. Feixue Gong & Gregory Phelan, 2021. "Collateral Constraints, Tranching, and Price Bases," Department of Economics Working Papers 2021-07, Department of Economics, Williams College.
    2. John Geanakoplos & William R. Zame, 2013. "Collateral Equilibrium: A Basic Framework," Levine's Working Paper Archive 786969000000000741, David K. Levine.
    3. Gromb, Denis & Vayanos, Dimitri, 2018. "The dynamics of financially constrained arbitrage," LSE Research Online Documents on Economics 84081, London School of Economics and Political Science, LSE Library.
    4. Brumm, Johannes & Grill, Michael & Kubler, Felix & Schmedders, Karl, 2015. "Margin regulation and volatility," Journal of Monetary Economics, Elsevier, vol. 75(C), pages 54-68.
    5. Dominik Menno & Tommaso Oliviero, 2013. "Financial Intermediation, House Prices, and the Distributive Effects of the U.S. Great Recession," Economics Working Papers ECO2013/05, European University Institute.
    6. Hans Gersbach & Jean-Charles Rochet & Martin Scheffel, 2022. "Financial Intermediation, Capital Accumulation, and Crisis Recovery," Post-Print hal-04074448, HAL.
    7. Johannes Brumm & Michael Grill & Felix Kubler & Karl Schmedders, 2023. "Re-use of collateral: Leverage, volatility, and welfare," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 47, pages 19-46, January.
    8. Chabakauri, Georgy & Rytchkov, Oleg, 2021. "Asset pricing with index investing," Journal of Financial Economics, Elsevier, vol. 141(1), pages 195-216.
    9. Dan Vu Cao, 2010. "Collateral Shortages, Asset Price And Investment Volatility With Heterogeneous Beliefs," 2010 Meeting Papers 1233, Society for Economic Dynamics.
    10. Arianna Miglietta & Cristina Picillo & Mario Pietrunti, 2015. "The impact of CCPs� margin policies on Repo markets," Temi di discussione (Economic working papers) 1028, Bank of Italy, Economic Research and International Relations Area.
    11. Eleonora Granziera & Sharon Kozicki, 2012. "House Price Dynamics: Fundamentals and Expectations," Staff Working Papers 12-12, Bank of Canada.
    12. Chabakauri, Georgy & Rytchkov, Oleg, 2014. "Asset pricing with index investing," LSE Research Online Documents on Economics 60739, London School of Economics and Political Science, LSE Library.
    13. Winfried Koeniger & Thomas Hintermaier, 2012. "Collateral constraints and macroeconomic volatility," 2012 Meeting Papers 390, Society for Economic Dynamics.

  11. Felix KUBLER & Karl SCHMEDDERS, 2010. "Life-Cycle Portfolio Choice, the Wealth Distribution and Asset Prices," Swiss Finance Institute Research Paper Series 10-21, Swiss Finance Institute.

    Cited by:

    1. Jose-Victor Rios Rull & Jonathan Heathcote & Dirk Krueger & Andy Glover, 2011. "Intergenerational Redistribution in the Great Recession," 2011 Meeting Papers 141, Society for Economic Dynamics.
    2. Farmer, Roger, 2014. "Asset Prices in a Lifecycle Economy," CEPR Discussion Papers 9897, C.E.P.R. Discussion Papers.
    3. Stefanie Schraeder, 2016. "Information Processing and Non-Bayesian Learning in Financial Markets," Review of Finance, European Finance Association, vol. 20(2), pages 823-853.
    4. Dan Vu Cao, 2010. "Collateral Shortages, Asset Price And Investment Volatility With Heterogeneous Beliefs," 2010 Meeting Papers 1233, Society for Economic Dynamics.

  12. Kenneth L. JUDD & Philipp RENNER & Karl SCHMEDDERS, 2010. "Finding All Pure-Strategy Equilibria in Static and Dynamic Games with Continuous Strategies," Swiss Finance Institute Research Paper Series 10-45, Swiss Finance Institute.

    Cited by:

    1. Che-Lin Su, 2014. "Estimating discrete-choice games of incomplete information: Simple static examples," Quantitative Marketing and Economics (QME), Springer, vol. 12(2), pages 167-207, June.

  13. Felix KUBLER & Karl SCHMEDDERS, 2009. "Non-parametric counterfactual analysis in dynamic general equilibrium," Swiss Finance Institute Research Paper Series 09-05, Swiss Finance Institute.

    Cited by:

    1. Andrés Carvajal, 2010. "The testable implications of competitive equilibrium in economies with externalities," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 45(1), pages 349-378, October.
    2. Escanciano, J C. & Hoderlein, S. & Lewbel, A. & Linton, O. & Srisuma, S., 2020. "Nonparametric Euler Equation Identi?cation and Estimation," Cambridge Working Papers in Economics 2064, Faculty of Economics, University of Cambridge.
    3. Felix Kubler & Larry Selden & Xiao Wei, 2014. "Asset Demand Based Tests of Expected Utility Maximization," American Economic Review, American Economic Association, vol. 104(11), pages 3459-3480, November.
    4. Felix Kubler & Karl Schmedders, 2007. "Non-parametric counterfactual analysis in dynamic general equilibrium," PIER Working Paper Archive 07-027, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.

  14. Kenneth L. JUDD & Felix KUBLER & Karl SCHMEDDERS, 2008. "Bond Ladders and Optimal Portfolios," Swiss Finance Institute Research Paper Series 08-32, Swiss Finance Institute.

    Cited by:

    1. Halim, Edward & Riyanto, Yohanes Eko & Roy, Nilanjan, 2016. "Price Dynamics and Consumption Smoothing in Experimental Asset Markets," MPRA Paper 71631, University Library of Munich, Germany.
    2. Jan Henrik Wosnitza, 2017. "The optimal trade-off between interest rate risk and annual return of bond ladders," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 31(4), pages 469-489, November.
    3. Schmidhammer, Christoph & Hille, Vanessa & Wiedemann, Arnd, 2020. "Performance of maturity transformation strategies," Discussion Papers 58/2020, Deutsche Bundesbank.

  15. Felix Kuber & Karl Schmedders, 2007. "Competitive Equilibria in Semi-Algebraic Economies," PIER Working Paper Archive 07-013, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.

    Cited by:

    1. Andrzej Kocięcki & Marcin Kolasa, 2022. "A solution to the global identification problem in DSGE models," Working Papers 2022-01, Faculty of Economic Sciences, University of Warsaw.
    2. Michal Fabinger & E. Glen Weyl, 2016. "The Average-Marginal Relationship and Tractable Equilibrium Forms," CIRJE F-Series CIRJE-F-1028, CIRJE, Faculty of Economics, University of Tokyo.
    3. E. Weyl & Michal Fabinger, 2015. "A Tractable Approach to Pass-Through Patterns," 2015 Meeting Papers 747, Society for Economic Dynamics.
    4. Zha, Tao & Rubio-Ramírez, Juan Francisco & , & Foerster, Andrew, 2013. "Perturbation Methods for Markov-Switching DSGE Models," CEPR Discussion Papers 9464, C.E.P.R. Discussion Papers.
    5. Orrego, Fabrizio, 2011. "Demografía y precios de activos," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 22, pages 83-101.
    6. Li, Xiaoliang & Wang, Dongming, 2014. "Computing equilibria of semi-algebraic economies using triangular decomposition and real solution classification," Journal of Mathematical Economics, Elsevier, vol. 54(C), pages 48-58.
    7. Ian Ayres & Colin Rowat & Nasser Zakariya, 2011. "Optimal voting rules for two-member tenure committees," Social Choice and Welfare, Springer;The Society for Social Choice and Welfare, vol. 36(2), pages 323-354, February.
    8. Michal Fabinger & E. Glen Weyl, 2018. "Functional Forms for Tractable Economic Models and the Cost Structure of International Trade," CIRJE F-Series CIRJE-F-1092, CIRJE, Faculty of Economics, University of Tokyo.
    9. Arias-R., Omar Fdo., 2014. "A condition for determinacy of optimal strategies in zero-sum convex polynomial games," MPRA Paper 57099, University Library of Munich, Germany.
    10. Felix Kubler & Karl Schmedders, 2010. "Tackling Multiplicity of Equilibria with Gröbner Bases," Operations Research, INFORMS, vol. 58(4-part-2), pages 1037-1050, August.
    11. Soares, Helena & Sequeira, Tiago Neves & Marques, Pedro Macias & Gomes, Orlando & Ferreira-Lopes, Alexandra, 2018. "Social infrastructure and the preservation of physical capital: Equilibria and transitional dynamics," Applied Mathematics and Computation, Elsevier, vol. 321(C), pages 614-632.
    12. Arias-R., Omar Fdo., 2014. "On the pseudo-equilibrium manifold in semi-algebraic economies with real financial assets," MPRA Paper 54297, University Library of Munich, Germany.
    13. Michal Fabinger & E. Glen Weyl, 2016. "Functional Forms for Tractable Economic Models and the Cost Structure of International Trade," Papers 1611.02270, arXiv.org, revised Aug 2018.
    14. Toda, Alexis Akira, 2017. "Huggett economies with multiple stationary equilibria," Journal of Economic Dynamics and Control, Elsevier, vol. 84(C), pages 77-90.
    15. Raghav Malhotra, 2022. "(Functional)Characterizations vs (Finite)Tests: Partially Unifying Functional and Inequality-Based Approaches to Testing," Papers 2208.03737, arXiv.org, revised Dec 2023.
    16. Orrego, Fabrizio, 2010. "Demography, stock prices and interest rates: The Easterlin hypothesis revisited," Working Papers 2010-012, Banco Central de Reserva del Perú.
    17. Xiao Luo & Xuewen Qian & Yang Sun, 2021. "The algebraic geometry of perfect and sequential equilibrium: an extension," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 71(2), pages 579-601, March.

  16. Karl Schmedders & Ken Judd, 2005. "A Computational Approach to Proving Uniqueness in Dynamic Games," Computing in Economics and Finance 2005 412, Society for Computational Economics.

    Cited by:

    1. David Besanko & Ulrich Doraszelski & Yaroslav Kryukov & Mark Satterthwaite, 2008. "Learning-by-Doing, Organizational Forgetting, and Industry Dynamics," GSIA Working Papers 2009-E22, Carnegie Mellon University, Tepper School of Business.
    2. Doraszelski, Ulrich & Kryukov, Yaroslav & Borkovsky, Ron N., 2008. "A User's Guide to Solving Dynamic Stochastic Games Using the Homotopy Method," CEPR Discussion Papers 6733, C.E.P.R. Discussion Papers.
    3. Besanko, David & Doraszelski, Ulrich & Kryukov, Yaroslav & Satterthwaite, Mark, 2007. "Learning-by-Doing, Organizational Forgetting and Industry Dynamics," CEPR Discussion Papers 6160, C.E.P.R. Discussion Papers.
    4. Margaret Aksoy-Pierson & Gad Allon & Awi Federgruen, 2013. "Price Competition Under Mixed Multinomial Logit Demand Functions," Management Science, INFORMS, vol. 59(8), pages 1817-1835, August.
    5. David Besanko & Ulrich Doraszelski & Yaroslav Kryukov & Mark Satterthwaite, 2007. "Learning-by-Doing, Organizational Forgetting, and Industry Dynamics," Levine's Bibliography 321307000000000903, UCLA Department of Economics.
    6. Ron N. Borkovsky & Ulrich Doraszelski & Yaroslav Kryukov, "undated". "A User''s Guide to Solving Dynamic Stochastic Games Using the Homotopy Method," GSIA Working Papers 2009-E23, Carnegie Mellon University, Tepper School of Business.

  17. Karl Schmedders, 2005. "Two-Fund Separation in Dynamic General Equilibrium," Discussion Papers 1398, Northwestern University, Center for Mathematical Studies in Economics and Management Science.

    Cited by:

    1. Anufriev, Mikhail & Bottazzi, Giulio & Marsili, Matteo & Pin, Paolo, 2012. "Excess covariance and dynamic instability in a multi-asset model," Journal of Economic Dynamics and Control, Elsevier, vol. 36(8), pages 1142-1161.
    2. Chiaki Hara, 2005. "Heterogeneous Risk Attitudes in a Continuous-Time Model," KIER Working Papers 609, Kyoto University, Institute of Economic Research.
    3. Won, Dong Chul, 2018. "One-fund separation in incomplete markets with two assets," Finance Research Letters, Elsevier, vol. 24(C), pages 168-174.

  18. Alessandro Citanna & Karl Schmedders, 2005. "Excess price volatility and financial innovation," Post-Print hal-00480119, HAL.

    Cited by:

    1. Helios Herrera, 2005. "Sorting in Risk-Aversion and Asset Price Volatility," Levine's Bibliography 172782000000000083, UCLA Department of Economics.
    2. Brock, W.A. & Hommes, C.H. & Wagener, F.O.O., 2008. "More hedging instruments may destabilize markets," CeNDEF Working Papers 08-04, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
    3. Uppal, Raman & Bhamra, Harjoat Singh, 2006. "The Effect of Introducing a Non-redundant Derivative on the Volatility of Stock-Market Returns," CEPR Discussion Papers 5726, C.E.P.R. Discussion Papers.
    4. Laura Angeloni & Bernard Cornet, 2006. "Existence of financial equilibria in a multiperiod stochastic economy," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00287671, HAL.
    5. Jelena Kabulova & Jelena Stankevičienė, 2020. "Valuation of FinTech Innovation Based on Patent Applications," Sustainability, MDPI, vol. 12(23), pages 1-15, December.
    6. Bernard Cornet & Abhishek Ranjan, 2013. "Equilibria in a multi-period economy," Documents de travail du Centre d'Economie de la Sorbonne 13021, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    7. Rosser Jr., J. Barkley, 2010. "Is a transdisciplinary perspective on economic complexity possible?," Journal of Economic Behavior & Organization, Elsevier, vol. 75(1), pages 3-11, July.
    8. Hervé Crès & Tobias Markeprand & Mich Tvede, 2009. "Incomplete Financial Markets and Jumps in Asset Prices," Discussion Papers 09-12, University of Copenhagen. Department of Economics.

  19. Felix Kubler & Karl Schmedders, 2003. "Approximate Versus Exact Equilibria," Discussion Papers 1382, Northwestern University, Center for Mathematical Studies in Economics and Management Science.

    Cited by:

    1. D'Agata, Antonio, 2012. "Existence of an exact Walrasian equilibrium in nonconvex economies," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 6, pages 1-16.

  20. Robert L. Earle & Karl Schmedders & Tymon Tatur, 2002. "Price Caps and Uncertain Demands," Discussion Papers 1340, Northwestern University, Center for Mathematical Studies in Economics and Management Science.

    Cited by:

    1. Lemus Torres, Ana Belén & Moreno, Diego, 2014. "Price caps regulation with capacity precommitment," UC3M Working papers. Economics we1309, Universidad Carlos III de Madrid. Departamento de Economía.
    2. John Bennett & Ioana Chioveanu, 2019. "Pro‐Consumer Price Ceilings under Regulatory Uncertainty," Scandinavian Journal of Economics, Wiley Blackwell, vol. 121(4), pages 1757-1784, October.
    3. Stanley Reynolds & David Rietzke, 2015. "Price caps, oligopoly, and entry," Working Papers 80998880, Lancaster University Management School, Economics Department.

  21. Karl Schmedders, Felix Kubler, 2001. "Asset Pricing in Models with incomplete markets and default," Computing in Economics and Finance 2001 58, Society for Computational Economics.

    Cited by:

    1. Hanno Lustig, 2001. "The Market Price of Aggregate Risk and the Wealth Distribution," Finance 0111004, University Library of Munich, Germany, revised 16 Nov 2001.
    2. Adrian Peralta-Alva & Manuel S. Santos, 2012. "Analysis of numerical errors," Working Papers 2012-062, Federal Reserve Bank of St. Louis.
    3. Feijó, Ricardo Luis Chaves, 2013. "The General Equilibrium Framework with Default and Collateral," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 67(3), September.
    4. Gaël Giraud, 2010. "Financial crashes versus liquidity trap : the dilemma of monetary policy," Post-Print halshs-00657047, HAL.
    5. Manuel S. Santos & Adrian Peralta-Alva, 2012. "Ergodic Invariant Distributions for Non-optimal Dynamic Economics," Working Papers 2012-5, University of Miami, Department of Economics.
    6. Miguel Angel Iraola & Juan Pablo Torres-Martinez, 2012. "Liquidity Contractions and Prepayment Risk on Collateralized Asset Markets," Working Papers 1204, Centro de Investigacion Economica, ITAM.
    7. Charles Ka-Yui Leung, 2004. "Macroeconomics and Housing: A Review of the Literature," Departmental Working Papers _164, Chinese University of Hong Kong, Department of Economics.

  22. P. Jean-Jacques Herings & Karl Schmedders, 2001. "Computing Equilibria in Finance Economies with Incomplete Markets and Transaction Costs," Discussion Papers 1318, Northwestern University, Center for Mathematical Studies in Economics and Management Science.

    Cited by:

    1. Adrian Buss & Bernard Dumas, 2015. "The Dynamic Properties of Financial-Market Equilibrium with Trading Fees," NBER Working Papers 21421, National Bureau of Economic Research, Inc.
    2. Gori, Michele & Pireddu, Marina & Villanacci, Antonio, 2013. "Regularity and Pareto improving on financial equilibria with price-dependent borrowing restrictions," Research in Economics, Elsevier, vol. 67(1), pages 100-110.
    3. Yang Zhan & Peixuan Li & Chuangyin Dang, 2020. "A differentiable path-following algorithm for computing perfect stationary points," Computational Optimization and Applications, Springer, vol. 76(2), pages 571-588, June.
    4. Marko Backovic & Zoran Popovic, 2012. "The Analysis Of Model Of General Economic Equilibrium And Financial Instability Of Economic System," Montenegrin Journal of Economics, Economic Laboratory for Transition Research (ELIT), vol. 8(1), pages 63-85.
    5. Martins-da-Rocha, Victor Filipe & Vailakis, Yiannis, 2008. "Endogenous Transaction Costs," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 680, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    6. Dang, Chuangyin & Herings, P. Jean-Jacques & Li, Peixuan, 2020. "An Interior-Point Path-Following Method to Compute Stationary Equilibria in Stochastic Games," Research Memorandum 001, Maastricht University, Graduate School of Business and Economics (GSBE).
    7. V. Martins-da-Rocha & Yiannis Vailakis, 2010. "Financial markets with endogenous transaction costs," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 45(1), pages 65-97, October.
    8. Carosi, Laura & Gori, Michele & Villanacci, Antonio, 2009. "Endogenous restricted participation in general financial equilibrium," Journal of Mathematical Economics, Elsevier, vol. 45(12), pages 787-806, December.
    9. Li, Peixuan & Dang, Chuangyin & Herings, P.J.J., 2023. "Computing Perfect Stationary Equilibria in Stochastic Games," Other publications TiSEM 5b68f5d7-3209-4a1b-924c-6, Tilburg University, School of Economics and Management.
    10. Cao, Yiyin & Dang, Chuangyin & Xiao, Zhongdong, 2022. "A differentiable path-following method to compute subgame perfect equilibria in stationary strategies in robust stochastic games and its applications," European Journal of Operational Research, Elsevier, vol. 298(3), pages 1032-1050.
    11. Chuangyin Dang & P. Jean-Jacques Herings & Peixuan Li, 2022. "An Interior-Point Differentiable Path-Following Method to Compute Stationary Equilibria in Stochastic Games," INFORMS Journal on Computing, INFORMS, vol. 34(3), pages 1403-1418, May.
    12. Yiyin Cao & Yin Chen & Chuangyin Dang, 2024. "A Differentiable Path-Following Method with a Compact Formulation to Compute Proper Equilibria," INFORMS Journal on Computing, INFORMS, vol. 36(2), pages 377-396, March.
    13. Yang Zhan & Chuangyin Dang, 2021. "Computing equilibria for markets with constant returns production technologies," Annals of Operations Research, Springer, vol. 301(1), pages 269-284, June.
    14. Michele Gori & Marina Pireddu & Antonio Villanacci, 2010. "Regularity and Pareto Improving on financial equilibria with endogenous borrowing restrictions," Working Papers - Mathematical Economics 2010-08, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, revised Aug 2012.

  23. Felix Kubler & Karl Schmedders, 2001. "Stationary Equilibria in Asset-Pricing Models with Incomplete Markets and Collateral," Discussion Papers 1319, Northwestern University, Center for Mathematical Studies in Economics and Management Science.

    Cited by:

    1. Zhigang Feng & Matthew Hoelle, 2017. "Indeterminacy in stochastic overlapping generations models: real effects in the long run," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 63(2), pages 559-585, February.
    2. Timothy Cogley & Thomas J. Sargent & Viktor Tsyrennikov, 2013. "Wealth Dynamics in a Bond Economy with Heterogeneous Beliefs," Working Papers 2013-23, Economic Research Institute, Bank of Korea.
    3. Hanno Lustig, 2001. "The Market Price of Aggregate Risk and the Wealth Distribution," Finance 0111004, University Library of Munich, Germany, revised 16 Nov 2001.
    4. Matthew Hoelle, 2014. "Quantitative Easing under Incomplete Markets: Optimality Conditions for Stationary Policy," Purdue University Economics Working Papers 1277, Purdue University, Department of Economics.
    5. Ferreira, Thiago Revil T. & Torres-Martínez, Juan Pablo, 2010. "The impossibility of effective enforcement mechanisms in collateralized credit markets," Journal of Mathematical Economics, Elsevier, vol. 46(3), pages 332-342, May.
    6. Elenev, Vadim & Landvoigt, Tim & Van Nieuwerburgh, Stijn, 2016. "Phasing out the GSEs," Journal of Monetary Economics, Elsevier, vol. 81(C), pages 111-132.
    7. Abdelkrim Seghir & Juan Torres-Martínez, 2008. "Wealth transfers and the role of collateral when lifetimes are uncertain," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 36(3), pages 471-502, September.
    8. Damián Pierri, 2021. "Memory, Multiple Equilibria And Emerging Market Crises," Documentos de trabajo del Instituto Interdisciplinario de Economía Política IIEP (UBA-CONICET) 2021-62, Universidad de Buenos Aires, Facultad de Ciencias Económicas, Instituto Interdisciplinario de Economía Política IIEP (UBA-CONICET).
    9. Sonja Brangewitz & Gaël Giraud, 2012. "Learning by Trading in Infinite Horizon Strategic Market Games with Default," Post-Print halshs-00747899, HAL.
    10. Brumm, Johannes & Grill, Michael, 2014. "Computing equilibria in dynamic models with occasionally binding constraints," Journal of Economic Dynamics and Control, Elsevier, vol. 38(C), pages 142-160.
    11. Dumas, Bernard & Lyasoff, Andrew, 2009. "Incomplete-Market Equilibria Solved Recursively on an Event Tree," CEPR Discussion Papers 7138, C.E.P.R. Discussion Papers.
    12. Victor Filipe Martins da Rocha & Yiannis Vailakis, 2012. "Endogenous debt constraints in collateralized economies with default penalties," Post-Print hal-00664551, HAL.
    13. Raouf Boucekkine & Kazuo Nishimura & Alain Venditti, 2015. "Introduction to Financial Frictions and Debt Constraints," AMSE Working Papers 1825, Aix-Marseille School of Economics, France.
    14. Johannes Brumm & Michael Grill & Felix Kubler & Karl Schmedders, 2015. "Collateral Requirements And Asset Prices," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 56(1), pages 1-25, February.
    15. Blume, Lawrence E. & Cogley, Timothy & Easley, David A. & Sargent, Thomas J. & Tsyrennikov, Viktor, 2015. "A Case for Incomplete Markets," Economics Series 313, Institute for Advanced Studies.
    16. Rabitsch, Katrin & Stepanchuk, Serhiy & Tsyrennikov, Viktor, 2015. "International portfolios: A comparison of solution methods," Journal of International Economics, Elsevier, vol. 97(2), pages 404-422.
    17. Brumm, Johannes & Grill, Michael & Kubler, Felix & Schmedders, Karl, 2015. "Margin regulation and volatility," Journal of Monetary Economics, Elsevier, vol. 75(C), pages 54-68.
    18. Aloisio Araujo & Mario Rui Pascoa & Juan Pablo Torres-Martinez, 2007. "Long-lived collateralized assets and bubbles," Textos para discussão 542, Department of Economics PUC-Rio (Brazil).
    19. Adrian Peralta-Alva & Manuel S. Santos, 2012. "Analysis of numerical errors," Working Papers 2012-062, Federal Reserve Bank of St. Louis.
    20. Kenneth L. Judd & Lilia Maliar & Serguei Maliar, 2017. "Lower Bounds on Approximation Errors to Numerical Solutions of Dynamic Economic Models," Econometrica, Econometric Society, vol. 85, pages 991-1012, May.
    21. Manjira Datta & Kevin Reffett & Łukasz Woźny, 2018. "Comparing recursive equilibrium in economies with dynamic complementarities and indeterminacy," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 66(3), pages 593-626, October.
    22. Dominik Menno & Tommaso Oliviero, 2013. "Financial Intermediation, House Prices, and the Distributive Effects of the U.S. Great Recession," Economics Working Papers ECO2013/05, European University Institute.
    23. Hintermaier, Thomas & Koeniger, Winfried, 2015. "Household Debt and Crises of Confidence," Economics Working Paper Series 1518, University of St. Gallen, School of Economics and Political Science.
    24. Cuong Le Van & Ngoc-Sang Pham, 2016. "Intertemporal equilibrium with financial asset and physical capital," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 62(1), pages 155-199, June.
    25. Hillebrand, Marten & Wenzelburger, Jan, 2006. "The impact of multiperiod planning horizons on portfolios and asset prices in a dynamic CAPM," Journal of Mathematical Economics, Elsevier, vol. 42(4-5), pages 565-593, August.
    26. GOTTARDI, Piero & KUBLER, Felix, 2012. "Dynamic Competitive Economies with Complete Markets and Collateral Constraints," Economics Working Papers ECO2012/17, European University Institute.
    27. Felipe Martins-da-Rocha & Yiannis Vailakis, 2008. "Collateral, default penalties and almost finite-time solvency," Levine's Working Paper Archive 122247000000002049, David K. Levine.
    28. Zhigang Feng & Jianjun Miao & Adrian Peralta-Alva & Manuel S. Santos, 2009. "Numerical simulation of nonoptimal dynamic equilibrium models," Working Papers 2009-018, Federal Reserve Bank of St. Louis.
    29. Stefano Bosi & Cuong Le Van & Ngoc-Sang Pham, 2015. "Intertemporal equilibrium with heterogeneous agents, endogenous dividends and collateral constraints," Documents de travail du Centre d'Economie de la Sorbonne 15067r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Feb 2017.
    30. Aryan Eftekhari & Simon Scheidegger, 2022. "High-Dimensional Dynamic Stochastic Model Representation," Papers 2202.06555, arXiv.org.
    31. Feijó, Ricardo Luis Chaves, 2013. "The General Equilibrium Framework with Default and Collateral," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 67(3), September.
    32. José Fajardo, 2008. "Statistical Arbitrage with Default and Collateral," Working Papers w200808, Banco de Portugal, Economics and Research Department.
    33. Gaël Giraud, 2010. "Financial crashes versus liquidity trap : the dilemma of monetary policy," Post-Print halshs-00657047, HAL.
    34. Kubler, Felix & Scheidegger, Simon, 2023. "Uniformly self-justified equilibria," Journal of Economic Theory, Elsevier, vol. 212(C).
    35. Vadim Elenev & Tim Landvoigt & Stijn Van Nieuwerburgh, 2021. "A Macroeconomic Model With Financially Constrained Producers and Intermediaries," Econometrica, Econometric Society, vol. 89(3), pages 1361-1418, May.
    36. Thiago Revil & Juan Pablo Torres-Martínez, 2007. "Does Collateral Avoid Ponzi Schemes?," Levine's Bibliography 843644000000000339, UCLA Department of Economics.
    37. Nicolas Coeurdacier & Hélène Rey & Pablo Winant, 2020. "Financial Integration and Growth in a Risky World," SciencePo Working papers Main hal-03799686, HAL.
    38. Felix Kubler & Karl Schmedders, 2003. "Approximate Versus Exact Equilibria," Discussion Papers 1382, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    39. Miguel A. Iraola & Juan Pablo Torres-Martinez, 2013. "Liquidity Contractions, Incomplete Financial Participation and the Prevalence of Negative Equity Non-Recourse Loans," Working Papers 2013-08, University of Miami, Department of Economics.
    40. Manuel S. Santos & Adrian Peralta-Alva, 2012. "Ergodic Invariant Distributions for Non-optimal Dynamic Economics," Working Papers 2012-5, University of Miami, Department of Economics.
    41. Timothy J. Kehoe & David K. Levine, 2008. "Bankruptcy and Collateral in Debt Constrained Markets," Chapters, in: Roger E.A. Farmer (ed.), Macroeconomics in the Small and the Large, chapter 5, Edward Elgar Publishing.
    42. Lang, Jan Hannes & Menno, Dominik, 2023. "The state-dependent impact of changes in bank capital requirements," Discussion Papers 19/2023, Deutsche Bundesbank.
    43. Phelan, Gregory & Toda, Alexis Akira, 2019. "Securitized markets, international capital flows, and global welfare," Journal of Financial Economics, Elsevier, vol. 131(3), pages 571-592.
    44. Hanno Lustig, "undated". "Exploring the Link between Housing and the Value Premium (joint with Stijn Van Nieuwerburgh)," UCLA Economics Online Papers 389, UCLA Department of Economics.
    45. Datta, Manjira & Mirman, Leonard J. & Morand, Olivier F. & Reffett, Kevin L., 2005. "Markovian equilibrium in infinite horizon economies with incomplete markets and public policy," Journal of Mathematical Economics, Elsevier, vol. 41(4-5), pages 505-544, August.
    46. Miguel Angel Iraola & Juan Pablo Torres-Martinez, 2012. "Liquidity Contractions and Prepayment Risk on Collateralized Asset Markets," Working Papers 1204, Centro de Investigacion Economica, ITAM.
    47. Tong Zhang, 2019. "Haircut Cycles," 2019 Meeting Papers 124, Society for Economic Dynamics.
    48. Manuel Santos & Jianjun Miao, 2005. "Numerical Solution of Dynamic Non-Optimal Economies," 2005 Meeting Papers 266, Society for Economic Dynamics.
    49. Dominik Menno & Tommaso Oliviero, 2014. "Financial Intermediation, House Prices and the Welfare Effects of the U.S. Great Recession," CSEF Working Papers 373, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, revised 04 Oct 2016.
    50. Jesus Fernandez-Villaverde & Oren Levintal, 2024. "The Distributional Effects of Asset Returns," PIER Working Paper Archive 24-009, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    51. Damián Pierri, 2023. "Simulations in Models with Heterogeneous Agents, Incomplete Markets and Aggregate Uncertainty," Working Papers 259, Red Nacional de Investigadores en Economía (RedNIE).
    52. Charles Ka-Yui Leung, 2004. "Macroeconomics and Housing: A Review of the Literature," Departmental Working Papers _164, Chinese University of Hong Kong, Department of Economics.
    53. Zhan, Yang & Dang, Chuangyin, 2021. "Determination of general equilibrium with incomplete markets and default penalties," Journal of Mathematical Economics, Elsevier, vol. 92(C), pages 49-59.
    54. V. Filipe Martins-da-Rocha & Rafael Mouallem Rosa, 2023. "Complete markets with bankruptcy risk and pecuniary default punishments," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 75(3), pages 625-640, April.
    55. Maldonado, Wilfredo L. & Orrillo, Jaime, 2006. "Two-Sided Altruism in an OLG Model with Incomplete Markets and Default," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 26(2), November.
    56. Hanno Lustig, 2004. "Can Housing Collateral Explain Long-Run Swings in Asset Returns? (joint with Stijn Van Nieuwerburgh)," UCLA Economics Online Papers 322, UCLA Department of Economics.
    57. Felix Kubler & Simon Scheidegger, 2018. "Self-justi ed equilibria: Existence and computation," 2018 Meeting Papers 694, Society for Economic Dynamics.
    58. Leonid Kogan & Indrajit Mitra, 2021. "Near-Rational Equilibria in Heterogeneous-Agent Models: A Verification Method," FRB Atlanta Working Paper 2021-16, Federal Reserve Bank of Atlanta.
    59. Dan Cao & Wenlan Luo & Guangyu Nie, 2023. "Global GDSGE Models," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 51, pages 199-225, December.
    60. Rabitsch, Katrin & Stepanchuk, Serhiy, 2014. "A Two-Period Model with Portfolio Choice: Understanding Results from Different Solution Methods," FinMaP-Working Papers 6, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
    61. Hanno Lustig & Stijn Van Nieuwerburgh, 2004. "A Theory of Housing Collateral, Consumption Insurance and Risk Premia," NBER Working Papers 10955, National Bureau of Economic Research, Inc.
    62. Martins-da-Rocha, Victor Filipe & Vailakis, Yiannis, 2010. "Competitive equilibria in infinite-horizon collateralized economies with default penalties," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 703, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    63. Geng, Runjie & Kubler, Felix, 2023. "Stochastic overlapping generations with non-convex budget sets," Journal of Mathematical Economics, Elsevier, vol. 107(C).
    64. Páscoa, Mário Rui & Seghir, Abdelkrim, 2009. "Harsh default penalties lead to Ponzi schemes," Games and Economic Behavior, Elsevier, vol. 65(1), pages 270-286, January.
    65. Cao, Dan, 2020. "Recursive equilibrium in Krusell and Smith (1998)," Journal of Economic Theory, Elsevier, vol. 186(C).
    66. Victor Filipe Martins da Rocha & Yiannis Vailakis, 2012. "On Ponzi schemes in infinite horizon collateralized economies with default penalties," Post-Print hal-00734521, HAL.
    67. Marques, Luis B, 2007. "Welfare Implications of Exchange Rate Changes," MPRA Paper 5721, University Library of Munich, Germany.
    68. Michael Grill & Karl Schmedders & Felix Kubler & Johannes Brumm, 2012. "Margin Requirements and Asset Prices," 2012 Meeting Papers 533, Society for Economic Dynamics.
    69. Nicolas Coeurdacier & Hélène Rey & Pablo Winant, 2015. "Financial Integration and Growth in a Risky World," NBER Working Papers 21817, National Bureau of Economic Research, Inc.
    70. Thomas Breuer & Martin Summer & Hans-Joachim Vollbrecht, 2013. "Endogenous Leverage and Asset Pricing in Double Auctions," Working Papers 184, Oesterreichische Nationalbank (Austrian Central Bank).
    71. Magill, Michael & Quinzii, Martine, 2015. "Prices and investment with collateral and default," Journal of Economic Dynamics and Control, Elsevier, vol. 51(C), pages 111-132.
    72. Devereux, Michael B. & Saito, Makoto & Yu, Changhua, 2020. "International capital flows, portfolio composition, and the stability of external imbalances," Journal of International Economics, Elsevier, vol. 127(C).
    73. Darong Dai, 2014. "The Long-Run Behavior of Consumption and Wealth Dynamics in Complete Financial Market with Heterogeneous Investors," Journal of Applied Mathematics, Hindawi, vol. 2014, pages 1-16, July.
    74. Hoelle Matthew, 2018. "Optimal Term Structure in a Monetary Economy with Incomplete Markets," The B.E. Journal of Theoretical Economics, De Gruyter, vol. 18(1), pages 1-26, January.
    75. Araújo, Aloísio & Kubler, Felix & Schommer, Susan, 2012. "Regulating collateral-requirements when markets are incomplete," Journal of Economic Theory, Elsevier, vol. 147(2), pages 450-476.
    76. Katrin Rabitsch & Serhiy Stepanchuk, 2014. "A Two Period Model with Portfolio Choice: Understanding Results from Different Solution Methods," Department of Economics Working Papers wuwp162, Vienna University of Economics and Business, Department of Economics.
    77. Pham, Ngoc-Sang, 2023. "Some Lectures on Macroeconomics," MPRA Paper 119643, University Library of Munich, Germany.
    78. Bloise, G. & Citanna, A., 2019. "Asset shortages, liquidity and speculative bubbles," Journal of Economic Theory, Elsevier, vol. 183(C), pages 952-990.
    79. Shen, Hewei, 2022. "Financial integration and the correlation between international debt and equity flows," Journal of International Money and Finance, Elsevier, vol. 122(C).
    80. Ngoc-Sang Pham, 2013. "Collateral monetary equilibrium with liquidity constraints in an infinite horizon economy," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00848057, HAL.
    81. Easley, David & Yang, Liyan, 2015. "Loss aversion, survival and asset prices," Journal of Economic Theory, Elsevier, vol. 160(C), pages 494-516.
    82. Miao, Jianjun, 2006. "Competitive equilibria of economies with a continuum of consumers and aggregate shocks," Journal of Economic Theory, Elsevier, vol. 128(1), pages 274-298, May.
    83. Chabakauri, Georgy & Han, Brandon Yueyang, 2020. "Collateral constraints and asset prices," Journal of Financial Economics, Elsevier, vol. 138(3), pages 754-776.
    84. Hanno Lustig & Stijn Van Nieuwerburgh, 2006. "Can Housing Collateral Explain Long-Run Swings in Asset Returns?," NBER Working Papers 12766, National Bureau of Economic Research, Inc.
    85. Michele Gori & Marina Pireddu & Antonio Villanacci, 2010. "Existence of financial equilibria with endogenous short selling restrictions and real assets," Working Papers - Mathematical Economics 2010-07, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, revised Aug 2012.
    86. Hyunju Lee, 2018. "Gross Capital Flows and International Diversification," 2018 Meeting Papers 51, Society for Economic Dynamics.
    87. Winfried Koeniger & Thomas Hintermaier, 2007. "Incomplete Markets and the Evolution of US Consumer Debt," 2007 Meeting Papers 256, Society for Economic Dynamics.
    88. Hintermaier, Thomas & Koeniger, Winfried, 2010. "The method of endogenous gridpoints with occasionally binding constraints among endogenous variables," Journal of Economic Dynamics and Control, Elsevier, vol. 34(10), pages 2074-2088, October.
    89. Michael Grill & Johannes Brumm, 2010. "Computing Equilibria in Dynamic Models with Occasionally Binding Constraints," 2010 Meeting Papers 695, Society for Economic Dynamics.
    90. Stepanchuk, Serhiy & Tsyrennikov, Viktor, 2015. "Portfolio and welfare consequences of debt market dominance," Journal of Monetary Economics, Elsevier, vol. 74(C), pages 89-101.
    91. V. Filipe Martins-Da-Rocha & Toan Phan & Yiannis Vailakis, 2022. "Pecuniary Externalities in Competitive Economies with Limited Pledgeability," Working Papers hal-03909596, HAL.
    92. Weerachart Kilenthong, 2011. "Collateral premia and risk sharing under limited commitment," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 46(3), pages 475-501, April.
    93. Dan Vu Cao, 2010. "Collateral Shortages, Asset Price And Investment Volatility With Heterogeneous Beliefs," 2010 Meeting Papers 1233, Society for Economic Dynamics.
    94. Susan Schommer, 2013. "Computing equilibria in economies with incomplete markets, collateral and default penalties," Annals of Operations Research, Springer, vol. 206(1), pages 367-383, July.
    95. Li, Yan & Yang, Liyan, 2013. "Prospect theory, the disposition effect, and asset prices," Journal of Financial Economics, Elsevier, vol. 107(3), pages 715-739.
    96. Fajardo, José, 2009. "Pricing and optimality with default spreads," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(2), pages 686-692, May.
    97. Ngoc-Sang Pham, 2022. "Impacts of (individual and aggregate) productivity and credit shocks on equilibrium aggregate production," Working Papers halshs-03686284, HAL.
    98. Mário R. Páscoa & Abdelkrim Seghir, 2020. "Recourse loans and Ponzi schemes," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 70(2), pages 527-550, September.
    99. Pham, Ngoc-Sang, 2018. "Credit limits and heterogeneity in general equilibrium models with a finite number of agents," MPRA Paper 88736, University Library of Munich, Germany.
    100. Orrillo, Jaime, 2005. "Collateral once again," Economics Letters, Elsevier, vol. 87(1), pages 27-33, April.
    101. Iraola, Miguel A. & Sepúlveda, Fabián & Torres-Martínez, Juan Pablo, 2019. "Financial segmentation and collateralized debt in infinite-horizon economies," Journal of Mathematical Economics, Elsevier, vol. 80(C), pages 56-69.
    102. Victor Filipe Martins da Rocha & Rafael Mouallem Rosa, 2023. "Complete Markets with Bankruptcy Risk and Pecuniary Default Penalties," Post-Print hal-02921220, HAL.

  24. Felix Kubler & Karl Schmedders, 2000. "Incomplete Markets, Transitory Shocks and Welfare," Levine's Working Paper Archive 2133, David K. Levine.

    Cited by:

    1. Akyol, Ahmet & Athreya, Kartik, 2005. "Risky higher education and subsidies," Journal of Economic Dynamics and Control, Elsevier, vol. 29(6), pages 979-1023, June.
    2. Juan-Carlos Cordoba, 2004. "Debt-Constraints or Incomplete Markets? A Decomposition of the Wealth and Consumption Inequality in the U.S," Macroeconomics 0404004, University Library of Munich, Germany.
    3. Krebs, Tom & Krishna, Pravin & Maloney, William F., 2013. "Income Mobility and Welfare," Working Papers 13-02, University of Mannheim, Department of Economics.
    4. Jinill Kim & Sunghyun Henry Kim & Andrew T. Levin, 2001. "Patience, persistence and welfare costs of incomplete markets in open economies," International Finance Discussion Papers 696, Board of Governors of the Federal Reserve System (U.S.).
    5. GOTTARDI, Piero & KUBLER, Felix, 2012. "Dynamic Competitive Economies with Complete Markets and Collateral Constraints," Economics Working Papers ECO2012/17, European University Institute.
    6. Henry Kim & Jinill Kim & Robert Kollmann, 2005. "Applying Perturbation Methods to Incomplete Market Models with Exogenous Borrowing Constraints," Discussion Papers Series, Department of Economics, Tufts University 0504, Department of Economics, Tufts University.
    7. Giorgio Primiceri & Thijs van Rens, 2002. "Inequality over the business cycle: Estimating income risk using micro-data on consumption," Economics Working Papers 943, Department of Economics and Business, Universitat Pompeu Fabra, revised Oct 2004.
    8. Chiaki Hara & James Huang & Christoph Kuzmics, 2006. "Efficient Risk-Sharing Rules with Heterogeneous Risk Attitudes and Background Risks," KIER Working Papers 621, Kyoto University, Institute of Economic Research.
    9. Krebs, Tom & Krishna, Pravin & Maloney, William F., 2012. "Income Risk, Income Mobility and Welfare," IZA Discussion Papers 7056, Institute of Labor Economics (IZA).
    10. Pijoan-Mas, Josep, 2005. "Precautionary Savings or Working Longer Hours?," CEPR Discussion Papers 5322, C.E.P.R. Discussion Papers.
    11. David K. Levine & William R. Zame, 2002. "Does Market Incompleteness Matter?," Econometrica, Econometric Society, vol. 70(5), pages 1805-1839, September.
    12. Heathcote, Jonathan & Storesletten, Kjetil & Violante, Giovanni L., 2008. "Insurance and opportunities: A welfare analysis of labor market risk," Journal of Monetary Economics, Elsevier, vol. 55(3), pages 501-525, April.
    13. Lee, Khang Min & Moyen, Nathalie, 2006. "Optimal liberalization of financial markets," Journal of International Money and Finance, Elsevier, vol. 25(8), pages 1319-1335, December.
    14. Giuseppe Ambrosini & Francesco Menoncin, 2018. "Optimal Portfolios with Credit Default Swaps," Journal of Financial Services Research, Springer;Western Finance Association, vol. 54(1), pages 81-109, August.

  25. Kenneth L. Judd & Felix Kubler & Karl Schmedders, 2000. "Asset Trading Volume with Dynamically Complete Markets and Heterogeneous Agents," Discussion Papers 1294, Northwestern University, Center for Mathematical Studies in Economics and Management Science.

    Cited by:

    1. Thomas Hintermaier & Emilio Espino, 2005. "Asset Trading Volume in a Production Economy," 2005 Meeting Papers 363, Society for Economic Dynamics.
    2. Rabitsch, Katrin & Stepanchuk, Serhiy & Tsyrennikov, Viktor, 2015. "International portfolios: A comparison of solution methods," Journal of International Economics, Elsevier, vol. 97(2), pages 404-422.
    3. GOTTARDI, Piero & KUBLER, Felix, 2012. "Dynamic Competitive Economies with Complete Markets and Collateral Constraints," Economics Working Papers ECO2012/17, European University Institute.
    4. Eugeni, Sara, 2015. "Nominal Exchange Rates and Net Foreign Assets' Dynamics: the Stabilization Role of Valuation Effects," MPRA Paper 63549, University Library of Munich, Germany.
    5. David N. DeJong & Emilio Espino, 2007. "The Cyclical Behavior of Equity Turnover," Working Paper 294, Department of Economics, University of Pittsburgh, revised Jun 2010.
    6. Berrada, Tony & Hugonnier, Julien & Rindisbacher, Marcel, 2007. "Heterogeneous preferences and equilibrium trading volume," Journal of Financial Economics, Elsevier, vol. 83(3), pages 719-750, March.
    7. ,, 2007. "Two-fund separation in dynamic general equilibrium," Theoretical Economics, Econometric Society, vol. 2(2), June.
    8. Pablo F Beker & Emilio Espino, 2007. "The Dynamics of Efficient Asset Trading with Heterogeneous Beliefs," Levine's Bibliography 122247000000001715, UCLA Department of Economics.
    9. Bossaerts, Peter & Zame, William R., 2006. "Asset trading volume in infinite-horizon economies with dynamically complete markets and heterogeneous agents: Comment," Finance Research Letters, Elsevier, vol. 3(2), pages 96-101, June.
    10. Espino Emilio, 2014. "Optimal portfolios with wealth-varying risk aversion in the neoclassical growth model," The B.E. Journal of Macroeconomics, De Gruyter, vol. 14(1), pages 1-26, January.
    11. Datta, Manjira & Mirman, Leonard J. & Morand, Olivier F. & Reffett, Kevin L., 2005. "Markovian equilibrium in infinite horizon economies with incomplete markets and public policy," Journal of Mathematical Economics, Elsevier, vol. 41(4-5), pages 505-544, August.
    12. Viktor Tsyrennikov, 2012. "Heterogeneous Beliefs, Wealth Distribution, and Asset Markets with Risk of Default," American Economic Review, American Economic Association, vol. 102(3), pages 156-160, May.
    13. Bejan, Camelia & Bidian, Florin, 2010. "Limited enforcement, bubbles and trading in incomplete markets," MPRA Paper 36819, University Library of Munich, Germany, revised 20 Feb 2012.
    14. Sarolli, Gian Domenico, 2015. "Cleaning the gears: Counter-cyclical asset trading with financial transactions taxes," The Quarterly Review of Economics and Finance, Elsevier, vol. 56(C), pages 110-122.
    15. Bar Light, 2019. "General equilibrium in a heterogeneous-agent incomplete-market economy with many consumption goods and a risk-free bond," Papers 1906.06810, arXiv.org, revised Mar 2021.
    16. Emilio Espino, 2006. "Equilibrium Portfolios in the Neoclassical Growth Model," 2006 Meeting Papers 92, Society for Economic Dynamics.
    17. Elena Asparouhova & Peter Bossaerts & Nilanjan Roy & William Zame, 2013. "‘Lucas’ In The Laboratory," EIEF Working Papers Series 1314, Einaudi Institute for Economics and Finance (EIEF), revised May 2013.
    18. Eric Aldrich, 2012. "Trading Volume in General Equilibrium with Complete Markets," 2012 Meeting Papers 36, Society for Economic Dynamics.
    19. Chiaki Hara, 2009. "Effectively Complete Asset Markets with Multiple Goods and over Multiple Periods," KIER Working Papers 685, Kyoto University, Institute of Economic Research.
    20. Felix KUBLER & Karl SCHMEDDERS, 2010. "Life-Cycle Portfolio Choice, the Wealth Distribution and Asset Prices," Swiss Finance Institute Research Paper Series 10-21, Swiss Finance Institute.
    21. Judd, Kenneth L. & Kubler, Felix & Schmedders, Karl, 2006. "Reply to "Asset trading volume in infinite-horizon economies with dynamically complete markets and heterogeneous agents: Comment"," Finance Research Letters, Elsevier, vol. 3(2), pages 102-105, June.
    22. James Staveley-O'Carroll & Olena Staveley-O'Carroll, 2019. "International Welfare Spillovers of National Pension Schemes," Working Papers 1903, College of the Holy Cross, Department of Economics.
    23. Staveley-O’Carroll James & Staveley-O’Carroll Olena M., 2021. "International Welfare Spillovers of National Pension Schemes," The B.E. Journal of Macroeconomics, De Gruyter, vol. 21(1), pages 363-397, January.
    24. Huber, Jurgen, 2007. "`J'-shaped returns to timing advantage in access to information - Experimental evidence and a tentative explanation," Journal of Economic Dynamics and Control, Elsevier, vol. 31(8), pages 2536-2572, August.

  26. Karl Schmedders, 2000. "Monopolistic Security Design in Finance Economies," Discussion Papers 1288, Northwestern University, Center for Mathematical Studies in Economics and Management Science.

    Cited by:

    1. Chiaki Hara, 2010. "Pareto Improvement and Agenda Control of Sequential Financial Innovations," KIER Working Papers 748, Kyoto University, Institute of Economic Research.
    2. Hara, Chiaki, 2011. "Pareto improvement and agenda control of sequential financial innovations," Journal of Mathematical Economics, Elsevier, vol. 47(3), pages 336-345.
    3. Sy-Ming Guu & Kenneth L. Judd, 2001. "Asymptotic methods for asset market equilibrium analysis," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 18(1), pages 127-157.
    4. Pedro S. Amaral & Erwan Quintin, 2021. "Security creation costs and economic development," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 71(1), pages 283-304, February.

  27. Kenneth Judd & Karl Schmedders & Sevin Yeltekin, "undated". "Optimal Rules for Patent Races," GSIA Working Papers 2006-E37, Carnegie Mellon University, Tepper School of Business.

    Cited by:

    1. Fershtman, Chaim & Markovich, Sarit, 2006. "Patents, Imitation and Licensing in an Asymmetric Dynamic R&D Race," CEPR Discussion Papers 5481, C.E.P.R. Discussion Papers.
    2. Doraszelski, Ulrich & Kryukov, Yaroslav & Borkovsky, Ron N., 2008. "A User's Guide to Solving Dynamic Stochastic Games Using the Homotopy Method," CEPR Discussion Papers 6733, C.E.P.R. Discussion Papers.
    3. Gregor Schwerhoff & Ottmar Edenhofer & Marc Fleurbaey, 2020. "Taxation Of Economic Rents," Journal of Economic Surveys, Wiley Blackwell, vol. 34(2), pages 398-423, April.
    4. Paul Hackworth, 2024. "The Current and Expected Pricing Markup as Derived from the Capital Asset Pricing Model and Tobin’s Q and Applied to the UK’s FTSE 100," JRFM, MDPI, vol. 17(3), pages 1-17, March.
    5. Brueggemann, Julia & Meub, Lukas, 2015. "Experimental evidence on the effects of innovation contests," University of Göttingen Working Papers in Economics 251, University of Goettingen, Department of Economics.
    6. Gabriel Y. Weintraub & C. Lanier Benkard & Benjamin Van Roy, 2010. "Computational Methods for Oblivious Equilibrium," Operations Research, INFORMS, vol. 58(4-part-2), pages 1247-1265, August.
    7. Malerba, Franco, 2007. "Innovation and the dynamics and evolution of industries: Progress and challenges," International Journal of Industrial Organization, Elsevier, vol. 25(4), pages 675-699, August.
    8. Weintraub, Gabriel Y. & Benkard, C. Lanier & Van Roy, Benjamin, 2007. "Computational Methods for Oblivious Equilibrium," Research Papers 1969, Stanford University, Graduate School of Business.
    9. Derek Clark & Christian Riis, 2007. "Contingent payments in selection contests," Review of Economic Design, Springer;Society for Economic Design, vol. 11(2), pages 125-137, September.
    10. Yuan, Michael Y., 2005. "Does decrease in copying cost support copyright term extension?," Information Economics and Policy, Elsevier, vol. 17(4), pages 471-494, October.
    11. Brüggemann, Julia & Meub, Lukas, 2017. "Experimental evidence on the effects of innovation contests," Information Economics and Policy, Elsevier, vol. 39(C), pages 72-83.
    12. Weintraub, Gabriel Y. & Benkard, C. Lanier & Van Roy, Benjamin, 2007. "Markov Perfect Industry Dynamics with Many Firms," Research Papers 1919r, Stanford University, Graduate School of Business.
    13. Fershtman, Chaim & Markovich, Sarit, 2006. "Patents, Imitation and Licensing In an Asymmetric Dynamic R&D Race," Foerder Institute for Economic Research Working Papers 275706, Tel-Aviv University > Foerder Institute for Economic Research.
    14. Gabriel Weintraub & C. Lanier Benkard & Ben Van Roy, 2005. "Markov Perfect Industry Dynamics with Many Firms," NBER Working Papers 11900, National Bureau of Economic Research, Inc.
    15. C. Lanier Benkard & Benjamin Van Roy & Gabriel Y. Weintraub, 2005. "Markov perfect industry dynamics with many firms," Working Paper Series 2005-23, Federal Reserve Bank of San Francisco.
    16. Ron N. Borkovsky & Ulrich Doraszelski & Yaroslav Kryukov, "undated". "A User''s Guide to Solving Dynamic Stochastic Games Using the Homotopy Method," GSIA Working Papers 2009-E23, Carnegie Mellon University, Tepper School of Business.

Articles

  1. Johannes Brumm & Michael Grill & Felix Kubler & Karl Schmedders, 2023. "Re-use of collateral: Leverage, volatility, and welfare," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 47, pages 19-46, January.
    See citations under working paper version above.
  2. Pohl, Walter & Schmedders, Karl & Wilms, Ole, 2021. "Asset pricing with heterogeneous agents and long-run risk," Journal of Financial Economics, Elsevier, vol. 140(3), pages 941-964.

    Cited by:

    1. Li, Shilin & Li, Tongtong & Yang, Jinqiang, 2022. "Optimal consumption and portfolio choices in the stochastic SIS model," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    2. Lago-Balsalobre, Rubén & Rojo-Suárez, Javier & Alonso-Conde, Ana B., 2023. "Cross-sectional implications of dynamic asset pricing with stochastic volatility and ambiguity aversion," The North American Journal of Economics and Finance, Elsevier, vol. 66(C).
    3. Johnson Kakeu, 2023. "Concerns for Long-Run Risks and Natural Resource Policy," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 84(4), pages 1051-1093, April.

  3. Miftakhova, Alena & Judd, Kenneth L. & Lontzek, Thomas S. & Schmedders, Karl, 2020. "Statistical approximation of high-dimensional climate models," Journal of Econometrics, Elsevier, vol. 214(1), pages 67-80.
    See citations under working paper version above.
  4. Walter Pohl & Karl Schmedders & Ole Wilms, 2018. "Higher Order Effects in Asset Pricing Models with Long‐Run Risks," Journal of Finance, American Finance Association, vol. 73(3), pages 1061-1111, June.
    See citations under working paper version above.
  5. Fabian Ackermann & Walt Pohl & Karl Schmedders, 2017. "Optimal and Naive Diversification in Currency Markets," Management Science, INFORMS, vol. 63(10), pages 3347-3360, October.
    See citations under working paper version above.
  6. Philipp Renner & Karl Schmedders, 2015. "A Polynomial Optimization Approach to Principal–Agent Problems," Econometrica, Econometric Society, vol. 83, pages 729-769, March.
    See citations under working paper version above.
  7. Johannes Brumm & Michael Grill & Felix Kubler & Karl Schmedders, 2015. "Collateral Requirements And Asset Prices," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 56(1), pages 1-25, February.
    See citations under working paper version above.
  8. Brumm, Johannes & Grill, Michael & Kubler, Felix & Schmedders, Karl, 2015. "Margin regulation and volatility," Journal of Monetary Economics, Elsevier, vol. 75(C), pages 54-68.
    See citations under working paper version above.
  9. Kenneth L. Judd & Philipp Renner & Karl Schmedders, 2012. "Finding all pure‐strategy equilibria in games with continuous strategies," Quantitative Economics, Econometric Society, vol. 3(2), pages 289-331, July.

    Cited by:

    1. Grzybowski, Lukasz, 2005. "Essays on Economics of Network Industries: Mobile Telephony," Munich Dissertations in Economics 5561, University of Munich, Department of Economics.
    2. Ron N. Borkovsky & Paul B. Ellickson & Brett R. Gordon & Victor Aguirregabiria & Gardete Pedro, 2014. "Multiplicity of Equilibria and Information Structures in Empirical Games: Challenges and Prospects," Working Papers tecipa-510, University of Toronto, Department of Economics.
    3. Fedor Iskhakov & John Rust & Bertel Schjerning, 2014. "Recursive Lexicographical Search: Finding all Markov Perfect Equilibria of Finite State Directional Dynamic Games," Discussion Papers 14-16, University of Copenhagen. Department of Economics.
    4. Cai,Yongyang & Selod,Harris & Steinbuks,Jevgenijs, 2015. "Urbanization and property rights," Policy Research Working Paper Series 7486, The World Bank.

  10. By Kenneth L. Judd & Karl Schmedders & Şevin Yeltekin, 2012. "Optimal Rules For Patent Races," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 53(1), pages 23-52, February.
    See citations under working paper version above.
  11. Felix Kubler & Karl Schmedders, 2012. "Financial Innovation and Asset Price Volatility," American Economic Review, American Economic Association, vol. 102(3), pages 147-151, May.

    Cited by:

    1. Banerjee, Snehal & Graveline, Jeremy J., 2014. "Trading in derivatives when the underlying is scarce," Journal of Financial Economics, Elsevier, vol. 111(3), pages 589-608.
    2. Bernstein, Asaf & Billings, Stephen B. & Gustafson, Matthew T. & Lewis, Ryan, 2022. "Partisan residential sorting on climate change risk," Journal of Financial Economics, Elsevier, vol. 146(3), pages 989-1015.
    3. Ricardo J. Caballero & Alp Simsek, 2017. "A Risk-centric Model of Demand Recessions and Speculation," NBER Working Papers 23614, National Bureau of Economic Research, Inc.
    4. Johan Walden & Christian Heyerdahl-Larsen, 2015. "Efficiency and Distortions in a Production Economy with Heterogeneous Beliefs," 2015 Meeting Papers 124, Society for Economic Dynamics.
    5. Markus K. Brunnermeier & Alp Simsek & Wei Xiong, 2014. "A Welfare Criterion For Models With Distorted Beliefs," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 129(4), pages 1753-1797.
    6. Hasan Cömert & Gerald Epstein, 2016. "Finansal Yenilik Yazinindaki Son Gelismeler," STPS Working Papers 1604, STPS - Science and Technology Policy Studies Center, Middle East Technical University, revised Jan 2016.
    7. Paula Garda & Volker Ziemann, 2014. "Economic Policies and Microeconomic Stability: A Literature Review and Some Empirics," OECD Economics Department Working Papers 1115, OECD Publishing.
    8. ÅžimÅŸek, Alp, 2021. "The Macroeconomics of Financial Speculation," CEPR Discussion Papers 15733, C.E.P.R. Discussion Papers.
    9. Constantin Laura-Gabriela & Cernat-Gruici Bogdan & Iamandi Irina-Eugenia, 2014. "Investigating Financial Innovation And European Capital Markets. The Case Of Catastrophe Bonds And Listed Reinsurance Companies," Annals - Economy Series, Constantin Brancusi University, Faculty of Economics, vol. 6, pages 6-15, December.

  12. Kenneth L. Judd & Felix Kubler & Karl Schmedders, 2011. "Bond Ladders and Optimal Portfolios," The Review of Financial Studies, Society for Financial Studies, vol. 24(12), pages 4123-4166.
    See citations under working paper version above.
  13. Felix Kubler & Karl Schmedders, 2010. "Uniqueness of Steady States in Models with Overlapping Generations," Journal of the European Economic Association, MIT Press, vol. 8(2-3), pages 635-644, 04-05.

    Cited by:

    1. Zhigang Feng, 2013. "Tackling indeterminacy in overlapping generations models," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 77(3), pages 445-457, June.
    2. Toda, Alexis Akira, 2017. "Huggett economies with multiple stationary equilibria," Journal of Economic Dynamics and Control, Elsevier, vol. 84(C), pages 77-90.
    3. Orrego, Fabrizio, 2010. "Demography, stock prices and interest rates: The Easterlin hypothesis revisited," Working Papers 2010-012, Banco Central de Reserva del Perú.

  14. Kubler, Felix & Schmedders, Karl, 2010. "Competitive equilibria in semi-algebraic economies," Journal of Economic Theory, Elsevier, vol. 145(1), pages 301-330, January.
    See citations under working paper version above.
  15. Felix Kubler & Karl Schmedders, 2010. "Tackling Multiplicity of Equilibria with Gröbner Bases," Operations Research, INFORMS, vol. 58(4-part-2), pages 1037-1050, August.

    Cited by:

    1. Andrzej Kocięcki & Marcin Kolasa, 2022. "A solution to the global identification problem in DSGE models," Working Papers 2022-01, Faculty of Economic Sciences, University of Warsaw.
    2. Zhigang Feng, 2015. "Time‐consistent optimal fiscal policy over the business cycle," Quantitative Economics, Econometric Society, vol. 6(1), pages 189-221, March.
    3. Roberto Robatto, 2019. "Online Appendix to "Systemic Banking Panics, Liquidity Risk, and Monetary Policy"," Online Appendices 18-235, Review of Economic Dynamics.
    4. Alexis Akira Toda & Kieran James Walsh, 2017. "Edgeworth box economies with multiple equilibria," Economic Theory Bulletin, Springer;Society for the Advancement of Economic Theory (SAET), vol. 5(1), pages 65-80, April.
    5. Toda, Alexis Akira, 2019. "Wealth distribution with random discount factors," Journal of Monetary Economics, Elsevier, vol. 104(C), pages 101-113.
    6. Felix Kubler & Harold L. Cole, 2011. "Recursive Contracts, Lotteries and Weakly Concave Pareto Sets," 2011 Meeting Papers 59, Society for Economic Dynamics.
    7. Hoelle, Matthew, 2014. "The relation between sunspot effects and multiplicity in incomplete markets models with numeraire assets," Journal of Mathematical Economics, Elsevier, vol. 50(C), pages 119-127.
    8. Soares, Helena & Sequeira, Tiago Neves & Marques, Pedro Macias & Gomes, Orlando & Ferreira-Lopes, Alexandra, 2018. "Social infrastructure and the preservation of physical capital: Equilibria and transitional dynamics," Applied Mathematics and Computation, Elsevier, vol. 321(C), pages 614-632.
    9. Löschenbrand, Markus, 2020. "Finding multiple Nash equilibria via machine learning-supported Gröbner bases," European Journal of Operational Research, Elsevier, vol. 284(3), pages 1178-1189.
    10. Toda, Alexis Akira, 2017. "Huggett economies with multiple stationary equilibria," Journal of Economic Dynamics and Control, Elsevier, vol. 84(C), pages 77-90.

  16. Felix Kubler & Karl Schmedders, 2010. "Non-parametric counterfactual analysis in dynamic general equilibrium," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 45(1), pages 181-200, October.
    See citations under working paper version above.
  17. ,, 2007. "Two-fund separation in dynamic general equilibrium," Theoretical Economics, Econometric Society, vol. 2(2), June.
    See citations under working paper version above.
  18. Robert Earle & Karl Schmedders & Tymon Tatur, 2007. "On Price Caps Under Uncertainty," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 74(1), pages 93-111.

    Cited by:

    1. Luca Anderlini, Leonardo Felli, & Andrew Postlewaite, 2003. "Should Courts Always Enforce What Contracting Parties Write?," Working Papers gueconwpa~03-03-29, Georgetown University, Department of Economics.
    2. Okumura, Yasunori, 2015. "Volume and share quotas in Cournot competition," Economic Modelling, Elsevier, vol. 47(C), pages 137-144.
    3. Leautier, Thomas-Olivier, 2018. "On the long-term impact price caps: Investment, uncertainty, imperfect competition, and rationing," International Journal of Industrial Organization, Elsevier, vol. 61(C), pages 53-95.
    4. Laszlo Goerke & Frederik Herzberg & Thorsten Upmann, 2012. "Failure of Ad Valorem and Specific Tax Equivalence under Uncertainty," IAAEU Discussion Papers 201205, Institute of Labour Law and Industrial Relations in the European Union (IAAEU).
    5. Chen, Stacey H. & Chen, Jennjou & Chuang, Hongwei & Lin, Tzu-Hsin, 2023. "Physicians Treating Physicians: Relational and Informational Advantages in Treatment and Survival," IZA Discussion Papers 16048, Institute of Labor Economics (IZA).
    6. Grimm Veronika & Zöttl Gregor, 2010. "Price Regulation under Demand Uncertainty," The B.E. Journal of Theoretical Economics, De Gruyter, vol. 10(1), pages 1-34, June.
    7. Sirin, Selahattin Murat & Camadan, Ercument & Erten, Ibrahim Etem & Zhang, Alex Hongliang, 2023. "Market failure or politics? Understanding the motives behind regulatory actions to address surging electricity prices," Energy Policy, Elsevier, vol. 180(C).
    8. Dino Falaschetti, 2008. "Can Lobbying Prevent Anticompetitive Outcomes? Evidence On Consumer Monopsony In Telecommunications," Journal of Competition Law and Economics, Oxford University Press, vol. 4(4), pages 1065-1096.
    9. Lemus Torres, Ana Belén & Moreno, Diego, 2014. "Price caps regulation with capacity precommitment," UC3M Working papers. Economics we1309, Universidad Carlos III de Madrid. Departamento de Economía.
    10. Lemus, Ana B. & Moreno, Diego, 2017. "Price caps with capacity precommitment," International Journal of Industrial Organization, Elsevier, vol. 50(C), pages 131-158.
    11. Zöttl, Gregor, 2011. "On optimal scarcity prices," International Journal of Industrial Organization, Elsevier, vol. 29(5), pages 589-605, September.
    12. Roques, Fabien A. & Savva, Nicos, 2009. "Investment under uncertainty with price ceilings in oligopolies," Journal of Economic Dynamics and Control, Elsevier, vol. 33(2), pages 507-524, February.
    13. Saglam, Ismail, 2022. "Pretend-But-Perform Regulation of a Duopoly under Three Competition Modes," MPRA Paper 116767, University Library of Munich, Germany.
    14. Gu, Yiquan & Wenzel, Tobias, 2015. "Consumer confusion, obfuscation, and price regulation," RIEI Working Papers 2015-04, Xi'an Jiaotong-Liverpool University, Research Institute for Economic Integration.
    15. Markus Brueckner & Haidi Hong & Joaquin Vespignani, 2023. "Regulation of Petrol and Diesel Prices and their Effects on GDP Growth: Evidence from China," CAMA Working Papers 2023-17, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    16. John Bennett & Ioana Chioveanu, 2019. "Pro‐Consumer Price Ceilings under Regulatory Uncertainty," Scandinavian Journal of Economics, Wiley Blackwell, vol. 121(4), pages 1757-1784, October.
    17. Brown, David P. & Sappington, David E. M., 2022. "The Impact of Wholesale Price Caps on Forward Contracting," Working Papers 2022-12, University of Alberta, Department of Economics.
    18. Antonio Estache & L. Wren-Lewis, 2008. "Towards a Theory of Regulation for Developing Countries: Following Laffont's Lead," Working Papers ECARES 2008_018, ULB -- Universite Libre de Bruxelles.
    19. Sirin, Selahattin Murat & Erten, Ibrahim, 2022. "Price spikes, temporary price caps, and welfare effects of regulatory interventions on wholesale electricity markets," Energy Policy, Elsevier, vol. 163(C).
    20. Corchón, Luis C. & Marcos, Félix, 2011. "Price regulation in oligopolistic markets," UC3M Working papers. Economics 13443, Universidad Carlos III de Madrid. Departamento de Economía.
    21. Basu, Kaushik & Pitsuwan, Fikri & Zhang, Pengfei, 2023. "The economics of profit-cap policy: Big Pharma, Big Tech, and the duopoly rule," Journal of Economic Behavior & Organization, Elsevier, vol. 215(C), pages 120-133.
    22. Von der Fehr, Nils-Henrik M. & Fabra, Natalia & de Frutos, Maria-Angeles, 2008. "Investment Incentives and Auction Design in Electricity Markets," CEPR Discussion Papers 6626, C.E.P.R. Discussion Papers.
    23. Stanley Reynolds & David Rietzke, 2015. "Price caps, oligopoly, and entry," Working Papers 80998880, Lancaster University Management School, Economics Department.
    24. Corchón, Luis C. & Marcos, Félix, 2010. "Price regulation in oligopoly," UC3M Working papers. Economics we100101, Universidad Carlos III de Madrid. Departamento de Economía.
    25. Roques, F.A. & Savva , N.S., 2006. "Price Cap Regulation and Investment Incentives under Demand Uncertainty," Cambridge Working Papers in Economics 0636, Faculty of Economics, University of Cambridge.
    26. Reynaud, Arnaud & Thomas, Alban, 2013. "Firm's profitability and regulation in water and network industries: An empirical analysis," Utilities Policy, Elsevier, vol. 24(C), pages 48-58.
    27. Alfredo Garcia & Ennio Stacchetti, 2011. "Investment dynamics in electricity markets," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 46(2), pages 149-187, February.
    28. Yasunori Okumura, 2017. "Asymmetric equilibria under price cap regulation," Journal of Economics, Springer, vol. 121(2), pages 133-151, June.

  19. P. Herings & Karl Schmedders, 2006. "Computing equilibria in finance economies with incomplete markets and transaction costs," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 27(3), pages 493-512, April.
    See citations under working paper version above.
  20. Judd, Kenneth L. & Kubler, Felix & Schmedders, Karl, 2006. "Reply to "Asset trading volume in infinite-horizon economies with dynamically complete markets and heterogeneous agents: Comment"," Finance Research Letters, Elsevier, vol. 3(2), pages 102-105, June.

    Cited by:

    1. Bossaerts, Peter & Zame, William R., 2006. "Asset trading volume in infinite-horizon economies with dynamically complete markets and heterogeneous agents: Comment," Finance Research Letters, Elsevier, vol. 3(2), pages 96-101, June.
    2. Sarolli, Gian Domenico, 2015. "Cleaning the gears: Counter-cyclical asset trading with financial transactions taxes," The Quarterly Review of Economics and Finance, Elsevier, vol. 56(C), pages 110-122.

  21. Felix Kubler & Karl Schmedders, 2005. "Approximate versus Exact Equilibria in Dynamic Economies," Econometrica, Econometric Society, vol. 73(4), pages 1205-1235, July.

    Cited by:

    1. P. Siconolfi & A. Citanna, 2007. "Recursive equilibrium in stochastic OLG economies," 2007 Meeting Papers 777, Society for Economic Dynamics.
    2. Kenneth L. Judd & Lilia Maliar & Serguei Maliar, 2017. "Lower Bounds on Approximation Errors to Numerical Solutions of Dynamic Economic Models," Econometrica, Econometric Society, vol. 85, pages 991-1012, May.
    3. Dunbar, Geoffrey, 2013. "Returns-to-scale and the equity premium puzzle," Journal of Economic Dynamics and Control, Elsevier, vol. 37(9), pages 1736-1754.
    4. Kubler, Felix & Scheidegger, Simon, 2023. "Uniformly self-justified equilibria," Journal of Economic Theory, Elsevier, vol. 212(C).
    5. D'Agata, Antonio, 2012. "Existence of an exact Walrasian equilibrium in nonconvex economies," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 6, pages 1-16.
    6. Yu, Changhua, 2015. "Evaluating international financial integration in a center-periphery economy," Journal of International Economics, Elsevier, vol. 95(1), pages 129-144.
    7. Émilien Gouin‐Bonenfant & Alexis Akira Toda, 2023. "Pareto extrapolation: An analytical framework for studying tail inequality," Quantitative Economics, Econometric Society, vol. 14(1), pages 201-233, January.
    8. Leonid Kogan & Indrajit Mitra, 2021. "Near-Rational Equilibria in Heterogeneous-Agent Models: A Verification Method," FRB Atlanta Working Paper 2021-16, Federal Reserve Bank of Atlanta.
    9. Geng, Runjie & Kubler, Felix, 2023. "Stochastic overlapping generations with non-convex budget sets," Journal of Mathematical Economics, Elsevier, vol. 107(C).
    10. Jonen, Benjamin & Scheuring, Simon, 2014. "Time-varying international diversification and the forward premium," Journal of International Money and Finance, Elsevier, vol. 40(C), pages 128-148.
    11. Rodrigo Raad, 2016. "Recursive equilibrium with Price Perfect Foresight and a minimal state space," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 61(1), pages 1-54, January.
    12. Kenneth L. Judd & Lilia Maliar & Serguei Maliar, 2014. "Lower Bounds on Approximation Errors: Testing the Hypothesis That a Numerical Solution Is Accurate?," BYU Macroeconomics and Computational Laboratory Working Paper Series 2014-06, Brigham Young University, Department of Economics, BYU Macroeconomics and Computational Laboratory.
    13. Espen Henriksen & Stephen Spear, "undated". "Endogenous Market Incompleteness Without Market Frictions: Dynamic Suboptimality of Competitive Equilibrium in Multiperiod Overlapping Generations Economies," GSIA Working Papers 2005-E37, Carnegie Mellon University, Tepper School of Business.
    14. Alessandro Citanna & Paolo Siconolfi, 2008. "On the nonexistence of recursive equilibrium in stochastic OLG economies," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 37(3), pages 417-437, December.
    15. Devereux, Michael B. & Saito, Makoto & Yu, Changhua, 2020. "International capital flows, portfolio composition, and the stability of external imbalances," Journal of International Economics, Elsevier, vol. 127(C).
    16. Marco Bassetto & Zhen Huo & José-Víctor Ríos-Rull, 2018. "Organizational Equilibrium with Capital," NBER Working Papers 25376, National Bureau of Economic Research, Inc.
    17. D'Agata, Antonio, 2011. "Existence of exact Walrasian equilibria in non convex economies," Economics Discussion Papers 2011-47, Kiel Institute for the World Economy (IfW Kiel).
    18. Pascal Gauthier & Timothy J. Kehoe & Erwan Quintin, 2022. "Constructing pure-exchange economies with many equilibria," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 73(2), pages 541-564, April.
    19. Felix Kubler & Johannes Brumm, 2013. "Applying Negishi's method to stochastic models with overlapping generations," 2013 Meeting Papers 1352, Society for Economic Dynamics.
    20. Raad, Rodrigo Jardim, 2013. "Approximate recursive equilibrium with minimal state space," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 737, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    21. Chakrabarti, Subir K., 2014. "On the robustness of the competitive equilibrium: Utility-improvements and equilibrium points," Journal of Mathematical Economics, Elsevier, vol. 55(C), pages 36-47.
    22. A. Jofré & R. T. Rockafellar & R. J-B. Wets, 2017. "General economic equilibrium with financial markets and retainability," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 63(1), pages 309-345, January.

  22. Alessandro Citanna & Karl Schmedders, 2005. "Excess price volatility and financial innovation," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 26(3), pages 559-587, October.
    See citations under working paper version above.
  23. Kenneth L. Judd & Felix Kubler & Karl Schmedders, 2003. "Asset Trading Volume with Dynamically Complete Markets and Heterogeneous Agents," Journal of Finance, American Finance Association, vol. 58(5), pages 2203-2217, October.
    See citations under working paper version above.
  24. Felix Kubler & Karl Schmedders, 2003. "Stationary Equilibria in Asset-Pricing Models with Incomplete Markets and Collateral," Econometrica, Econometric Society, vol. 71(6), pages 1767-1793, November.
    See citations under working paper version above.
  25. Felix Kubler & Karl Schmedders, 2003. "Generic inefficiency of equilibria in the general equilibrium model with incomplete asset markets and infinite time," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 22(1), pages 1-15, August.

    Cited by:

    1. Felix Kubler & Karl Schmedders, 2007. "Non-parametric counterfactual analysis in dynamic general equilibrium," PIER Working Paper Archive 07-027, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    2. Krebs, Tom, 2004. "Non-existence of recursive equilibria on compact state spaces when markets are incomplete," Journal of Economic Theory, Elsevier, vol. 115(1), pages 134-150, March.
    3. Chiaki Hara, 2009. "Effectively Complete Asset Markets with Multiple Goods and over Multiple Periods," KIER Working Papers 685, Kyoto University, Institute of Economic Research.
    4. Hervé Crès & Tobias Markeprand & Mich Tvede, 2009. "Incomplete Financial Markets and Jumps in Asset Prices," Discussion Papers 09-12, University of Copenhagen. Department of Economics.

  26. Kubler, Felix & Schmedders, Karl, 2002. "Recursive Equilibria In Economies With Incomplete Markets," Macroeconomic Dynamics, Cambridge University Press, vol. 6(2), pages 284-306, April.

    Cited by:

    1. Damián Pierri, 2021. "Memory, Multiple Equilibria And Emerging Market Crises," Documentos de trabajo del Instituto Interdisciplinario de Economía Política IIEP (UBA-CONICET) 2021-62, Universidad de Buenos Aires, Facultad de Ciencias Económicas, Instituto Interdisciplinario de Economía Política IIEP (UBA-CONICET).
    2. Dumas, Bernard & Lyasoff, Andrew, 2009. "Incomplete-Market Equilibria Solved Recursively on an Event Tree," CEPR Discussion Papers 7138, C.E.P.R. Discussion Papers.
    3. Norman, Thomas W.L., 2020. "Market selection with an endogenous state," Journal of Mathematical Economics, Elsevier, vol. 91(C), pages 51-59.
    4. Adrian Peralta-Alva & Manuel S. Santos, 2012. "Analysis of numerical errors," Working Papers 2012-062, Federal Reserve Bank of St. Louis.
    5. Felix Kubler & Karl Schmedders, 2003. "Stationary Equilibria in Asset-Pricing Models with Incomplete Markets and Collateral," Econometrica, Econometric Society, vol. 71(6), pages 1767-1793, November.
    6. GOTTARDI, Piero & KUBLER, Felix, 2012. "Dynamic Competitive Economies with Complete Markets and Collateral Constraints," Economics Working Papers ECO2012/17, European University Institute.
    7. Zhigang Feng & Jianjun Miao & Adrian Peralta-Alva & Manuel S. Santos, 2009. "Numerical simulation of nonoptimal dynamic equilibrium models," Working Papers 2009-018, Federal Reserve Bank of St. Louis.
    8. Pierri, Damian Rene, 2021. "Useful results for the simulation of non-optimal economies with heterogeneous agents," UC3M Working papers. Economics 33246, Universidad Carlos III de Madrid. Departamento de Economía.
    9. Leo Kaas, 2020. "Block-Recursive Equilibria in Heterogenous-Agent Models," CESifo Working Paper Series 8737, CESifo.
    10. Beker, Pablo & Subir Chattopadhyay, 2009. "Consumption Dynamics in General Equilibrium : A Characterisation when Markets are Incomplete," The Warwick Economics Research Paper Series (TWERPS) 921, University of Warwick, Department of Economics.
    11. Kubler, Felix & Scheidegger, Simon, 2023. "Uniformly self-justified equilibria," Journal of Economic Theory, Elsevier, vol. 212(C).
    12. François Le Grand & Xavier Ragot, 2018. "A Class of Tractable Incomplete-Market Models for Studying Asset Returns and Risk Exposure," Post-Print hal-03949545, HAL.
    13. Krueger, Dirk & Lustig, Hanno, 2010. "When is market incompleteness irrelevant for the price of aggregate risk (and when is it not)?," Journal of Economic Theory, Elsevier, vol. 145(1), pages 1-41, January.
    14. Fatih Guvenen, 2005. "Reconciling Conflicting Evidence on the Elasticity of Intertemporal Substitution: A Macroeconomic Perspective," Macroeconomics 0507005, University Library of Munich, Germany.
    15. Felix Kubler & Karl Schmedders, 2003. "Approximate Versus Exact Equilibria," Discussion Papers 1382, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    16. Adrian Peralta - Alva & Manuel S. Santos, 2009. "Problems in the Numerical Simulation of Models with Heterogeneous Agents and Economic Distortions," Working Papers 2010-14, University of Miami, Department of Economics.
    17. John Stachurski, 2009. "Economic Dynamics: Theory and Computation," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262012774, December.
    18. Pablo F. Beker & Subir Chattopadhyay, 2005. "Economic Survival when Markets are Incomplete," Levine's Working Paper Archive 784828000000000422, David K. Levine.
    19. Manuel Santos & Jianjun Miao, 2005. "Numerical Solution of Dynamic Non-Optimal Economies," 2005 Meeting Papers 266, Society for Economic Dynamics.
    20. Damián Pierri, 2023. "Simulations in Models with Heterogeneous Agents, Incomplete Markets and Aggregate Uncertainty," Working Papers 259, Red Nacional de Investigadores en Economía (RedNIE).
    21. Cao, Dan, 2020. "Recursive equilibrium in Krusell and Smith (1998)," Journal of Economic Theory, Elsevier, vol. 186(C).
    22. Rodrigo Raad, 2016. "Recursive equilibrium with Price Perfect Foresight and a minimal state space," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 61(1), pages 1-54, January.
    23. Damián Pierri & Julián Martínez, 2020. "Accuracy in Recursive Minimal State Space Methods," Working Papers 147, Universidad de San Andres, Departamento de Economia, revised Aug 2020.
    24. François Le Grand & Xavier Ragot, 2017. "Optimal Fiscal Policy with Heterogeneous Agents and Aggregate Shocks," SciencePo Working papers Main hal-03458683, HAL.
    25. Bernard Dumas & Pascal Maenhout, 2002. "A Central-Planning Approach to Dynamic Incomplete-Market Equilibrium," Levine's Working Paper Archive 391749000000000523, David K. Levine.
    26. Krebs, Tom, 2004. "Non-existence of recursive equilibria on compact state spaces when markets are incomplete," Journal of Economic Theory, Elsevier, vol. 115(1), pages 134-150, March.
    27. Felix Kubler & Karl Schmedders, 2000. "Incomplete Markets, Transitory Shocks and Welfare," Levine's Working Paper Archive 2133, David K. Levine.
    28. David K. Levine & William R. Zame, 2002. "Does Market Incompleteness Matter?," Econometrica, Econometric Society, vol. 70(5), pages 1805-1839, September.
    29. Miao, Jianjun, 2006. "Competitive equilibria of economies with a continuum of consumers and aggregate shocks," Journal of Economic Theory, Elsevier, vol. 128(1), pages 274-298, May.
    30. Felix Kubler & Herakles Polemarchakis, 2004. "Stationary Markov equilibria for overlapping generations," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 24(3), pages 623-643, October.
    31. Hanno Lustig, "undated". "When is Market Incompleteness Irrelevant for the Price of Aggregate Risk (joint with Dirk Krueger, UPenn)," UCLA Economics Online Papers 380, UCLA Department of Economics.
    32. Felix KUBLER & Karl SCHMEDDERS, 2010. "Life-Cycle Portfolio Choice, the Wealth Distribution and Asset Prices," Swiss Finance Institute Research Paper Series 10-21, Swiss Finance Institute.
    33. Krueger, Dirk & Lustig, Hanno, 2006. "The Irrelevance of Market Incompleteness for the Price of Aggregate Risk," CEPR Discussion Papers 5936, C.E.P.R. Discussion Papers.
    34. Raad, Rodrigo Jardim, 2013. "Approximate recursive equilibrium with minimal state space," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 737, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    35. Bloise, Gaetano & Citanna, Alessandro, 2015. "Uniqueness of competitive equilibrium with solvency constraints under gross-substitution," Journal of Mathematical Economics, Elsevier, vol. 61(C), pages 287-295.

  27. Karl Schmedders, 2001. "Monopolistic security design in finance economies," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 18(1), pages 37-72.
    See citations under working paper version above.
  28. Felix Kubler & Karl Schmedders, 2001. "Incomplete Markets, Transitory Shocks, and Welfare," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 4(4), pages 747-766, October.
    See citations under working paper version above.
  29. Kubler, Felix & Schmedders, Karl, 2000. "Computing Equilibria in Stochastic Finance Economies," Computational Economics, Springer;Society for Computational Economics, vol. 15(1-2), pages 145-172, April.

    Cited by:

    1. Felix Kuber & Karl Schmedders, 2007. "Competitive Equilibria in Semi-Algebraic Economies," PIER Working Paper Archive 07-013, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    2. Cao, Dan & Evans, Martin & Lua, Wenlan, 2020. "Real Exchange Rate Dynamics Beyond Business Cycles," MPRA Paper 99054, University Library of Munich, Germany, revised 10 Mar 2020.
    3. Esteban-Bravo, Mercedes, 2004. "An interior point algorithm for computing equilibria in economies with incomplete asset markets," DEE - Working Papers. Business Economics. WB wb046023, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    4. Alessandro, CITANNA & SCHMEDDERS, Karl, 2002. "Controlling price volatility through financial innovation," HEC Research Papers Series 749, HEC Paris.
    5. Schmedders, Karl, 1998. "Computing equilibria in the general equilibrium model with incomplete asset markets," Journal of Economic Dynamics and Control, Elsevier, vol. 22(8-9), pages 1375-1401, August.
    6. Eaves, B. Curtis & Schmedders, Karl, 1999. "General equilibrium models and homotopy methods," Journal of Economic Dynamics and Control, Elsevier, vol. 23(9-10), pages 1249-1279, September.
    7. Covarrubias Enrique, 2011. "The Number of Equilibria of Smooth Infinite Economies," Working Papers 2011-02, Banco de México.
    8. Dong Chul Won, 2019. "A New Characterization of Equilibrium in a Multi-period Finance Economy: A Computational Viewpoint," Computational Economics, Springer;Society for Computational Economics, vol. 53(1), pages 367-396, January.
    9. Susan Schommer, 2013. "Computing equilibria in economies with incomplete markets, collateral and default penalties," Annals of Operations Research, Springer, vol. 206(1), pages 367-383, July.

  30. Judd, Kenneth L. & Kubler, Felix & Schmedders, Karl, 2000. "Computing equilibria in infinite-horizon finance economies: The case of one asset," Journal of Economic Dynamics and Control, Elsevier, vol. 24(5-7), pages 1047-1078, June.

    Cited by:

    1. Cao, Dan & Evans, Martin & Lua, Wenlan, 2020. "Real Exchange Rate Dynamics Beyond Business Cycles," MPRA Paper 99054, University Library of Munich, Germany, revised 10 Mar 2020.
    2. Keshab Raj BHATTARAI, 2010. "Input-Output and General Equilibrium Models for Hull and Humber Region in England," Regional and Urban Modeling 284100008, EcoMod.
    3. Schmedders, Karl, 1998. "Computing equilibria in the general equilibrium model with incomplete asset markets," Journal of Economic Dynamics and Control, Elsevier, vol. 22(8-9), pages 1375-1401, August.
    4. Marlon Azinovic & Jan v{Z}emliv{c}ka, 2023. "Economics-Inspired Neural Networks with Stabilizing Homotopies," Papers 2303.14802, arXiv.org.
    5. Datta, Manjira & Mirman, Leonard J. & Morand, Olivier F. & Reffett, Kevin L., 2005. "Markovian equilibrium in infinite horizon economies with incomplete markets and public policy," Journal of Mathematical Economics, Elsevier, vol. 41(4-5), pages 505-544, August.
    6. Bernard Dumas & Pascal Maenhout, 2002. "A Central-Planning Approach to Dynamic Incomplete-Market Equilibrium," Levine's Working Paper Archive 391749000000000523, David K. Levine.
    7. Felix Kubler & Karl Schmedders, 2000. "Incomplete Markets, Transitory Shocks and Welfare," Levine's Working Paper Archive 2133, David K. Levine.
    8. Stepanchuk, Serhiy & Tsyrennikov, Viktor, 2015. "Portfolio and welfare consequences of debt market dominance," Journal of Monetary Economics, Elsevier, vol. 74(C), pages 89-101.
    9. Kenneth L. Judd & Felix Kubler & Karl Schmedders, 2000. "Asset Trading Volume with Dynamically Complete Markets and Heterogeneous Agents," Discussion Papers 1294, Northwestern University, Center for Mathematical Studies in Economics and Management Science.

  31. Eaves, B. Curtis & Schmedders, Karl, 1999. "General equilibrium models and homotopy methods," Journal of Economic Dynamics and Control, Elsevier, vol. 23(9-10), pages 1249-1279, September.

    Cited by:

    1. Hakobyan, Zaruhi & Koulovatianos, Christos, 2019. "Symmetric Markovian games of commons with potentially sustainable endogenous growth," CFS Working Paper Series 638, Center for Financial Studies (CFS).
    2. Yuan Deng & Jieming Mao & Balasubramanian Sivan & Kangning Wang, 2021. "Optimal Pricing Schemes for an Impatient Buyer," Papers 2106.02149, arXiv.org, revised Feb 2023.
    3. Jean-Henry Ferrasse & Nandeeta Neerunjun & Hubert Stahn, 2021. "Managing intermittency in the electricity market," Working Papers halshs-03154612, HAL.
    4. Wei Ma & Chuangyin Dang, 2013. "The Optimal Price of Default," Annals of Economics and Finance, Society for AEF, vol. 14(1), pages 145-167, May.
    5. Ma, Wei, 2015. "A simple method for computing equilibria when asset markets are incomplete," Journal of Economic Dynamics and Control, Elsevier, vol. 52(C), pages 32-38.
    6. Yang Zhan & Peixuan Li & Chuangyin Dang, 2020. "A differentiable path-following algorithm for computing perfect stationary points," Computational Optimization and Applications, Springer, vol. 76(2), pages 571-588, June.
    7. Govindan, Srihari & Wilson, Robert, 2004. "Computing Nash equilibria by iterated polymatrix approximation," Journal of Economic Dynamics and Control, Elsevier, vol. 28(7), pages 1229-1241, April.
    8. Doraszelski, Ulrich & Kryukov, Yaroslav & Borkovsky, Ron N., 2008. "A User's Guide to Solving Dynamic Stochastic Games Using the Homotopy Method," CEPR Discussion Papers 6733, C.E.P.R. Discussion Papers.
    9. W D A Bryant, 2009. "General Equilibrium:Theory and Evidence," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 6875, June.
    10. Wei Ma, 2017. "A Rejoinder to Notes on a ‘Constructive Proof of the Existence of a Collateral Equilibrium’," Computational Economics, Springer;Society for Computational Economics, vol. 49(1), pages 175-176, January.
    11. Yang Zhan & Chuangyin Dang, 2018. "A smooth path-following algorithm for market equilibrium under a class of piecewise-smooth concave utilities," Computational Optimization and Applications, Springer, vol. 71(2), pages 381-402, November.
    12. Nandeeta Neerunjun & Hubert Stahn, 2023. "Renewable energy support: pre-announced policies and (in)-efficiency," AMSE Working Papers 2335, Aix-Marseille School of Economics, France.
    13. Ron N. Borkovsky & Ulrich Doraszelski & Yaroslav Kryukov, 2010. "A User's Guide to Solving Dynamic Stochastic Games Using the Homotopy Method," Operations Research, INFORMS, vol. 58(4-part-2), pages 1116-1132, August.
    14. Herings, P.J.J. & Schmedders, K., 2000. "Computing equilibria in finance economies with incomplete markets and transaction costs," Research Memorandum 034, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    15. Devereux, Michael B. & Young, Eric R. & Yu, Changhua, 2019. "Capital controls and monetary policy in sudden-stop economies," Journal of Monetary Economics, Elsevier, vol. 103(C), pages 52-74.
    16. Pablo Schenone, 2020. "Final Topology for Preference Spaces," Papers 2004.02357, arXiv.org, revised Mar 2024.
    17. Zhan, Yang & Dang, Chuangyin, 2021. "Determination of general equilibrium with incomplete markets and default penalties," Journal of Mathematical Economics, Elsevier, vol. 92(C), pages 49-59.
    18. Gregoir, Stephane & Weill, Pierre-Olivier, 2007. "Restricted perception equilibria and rational expectation equilibrium," Journal of Economic Dynamics and Control, Elsevier, vol. 31(1), pages 81-109, January.
    19. Govindan, Srihari & Wilson, Robert, 2003. "A global Newton method to compute Nash equilibria," Journal of Economic Theory, Elsevier, vol. 110(1), pages 65-86, May.
    20. Hubar, Sylwia & Koulovatianos, Christos & Li, Jian, 2020. "The role of labor-income risk in household risk-taking," European Economic Review, Elsevier, vol. 129(C).
    21. Herings, P.J.J. & Peeters, R.J.A.P., 2006. "Homotopy methods to compute equilibria in game theory," Research Memorandum 046, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    22. Dang, Chuangyin & Herings, P. Jean-Jacques & Li, Peixuan, 2020. "An Interior-Point Path-Following Method to Compute Stationary Equilibria in Stochastic Games," Research Memorandum 001, Maastricht University, Graduate School of Business and Economics (GSBE).
    23. Yiyin Cao & Chuangyin Dang & Yabin Sun, 2022. "Complementarity Enhanced Nash’s Mappings and Differentiable Homotopy Methods to Select Perfect Equilibria," Journal of Optimization Theory and Applications, Springer, vol. 192(2), pages 533-563, February.
    24. Ferrasse, Jean-Henry & Neerunjun, Nandeeta & Stahn, Hubert, 2022. "Intermittency and electricity retailing: An incomplete market approach," Mathematical Social Sciences, Elsevier, vol. 120(C), pages 24-36.
    25. Shen, Hewei, 2022. "Financial integration and the correlation between international debt and equity flows," Journal of International Money and Finance, Elsevier, vol. 122(C).
    26. Steffen Eibelshäuser & Victor Klockmann & David Poensgen & Alicia von Schenk, 2023. "The Logarithmic Stochastic Tracing Procedure: A Homotopy Method to Compute Stationary Equilibria of Stochastic Games," INFORMS Journal on Computing, INFORMS, vol. 35(6), pages 1511-1526, November.
    27. Li, Peixuan & Dang, Chuangyin & Herings, P.J.J., 2023. "Computing Perfect Stationary Equilibria in Stochastic Games," Other publications TiSEM 5b68f5d7-3209-4a1b-924c-6, Tilburg University, School of Economics and Management.
    28. Ma, Wei & Naraidoo, Ruthira & Perugini, Francesco, 2023. "Computation of spatial equilibria in the Ottaviano–Tabuchi–Thisse model," Economics Letters, Elsevier, vol. 223(C).
    29. Wei Ma, 2014. "A Simple Method for Computing Equilibria when Asset Markets Are Incomplete," Working Papers 201478, University of Pretoria, Department of Economics.
    30. Jean-Jacques Herings, P., 2002. "Universally converging adjustment processes--a unifying approach," Journal of Mathematical Economics, Elsevier, vol. 38(3), pages 341-370, November.
    31. Buijink, W.F.J. & Janssen, J.B.P.E.C. & Schols, Y.J., 2000. "Evidence of the effect of domicile on corporate average effective tax rates in the European Union," Research Memorandum 049, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    32. Noman Arshed & Rukhsana Kalim, 2021. "Modelling demand and supply of Islamic banking deposits," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2813-2831, April.
    33. Javier J. Pérez, 2004. "A Log-Linear Homotopy Approach to Initialize the Parameterized Expectations Algorithm," Computational Economics, Springer;Society for Computational Economics, vol. 24(1), pages 59-75, August.
    34. Tim Roughgarden, 2010. "Computing equilibria: a computational complexity perspective," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 42(1), pages 193-236, January.
    35. Cao, Yiyin & Dang, Chuangyin & Xiao, Zhongdong, 2022. "A differentiable path-following method to compute subgame perfect equilibria in stationary strategies in robust stochastic games and its applications," European Journal of Operational Research, Elsevier, vol. 298(3), pages 1032-1050.
    36. Chuangyin Dang & P. Jean-Jacques Herings & Peixuan Li, 2022. "An Interior-Point Differentiable Path-Following Method to Compute Stationary Equilibria in Stochastic Games," INFORMS Journal on Computing, INFORMS, vol. 34(3), pages 1403-1418, May.
    37. Chuangyin Dang & Yinyu Ye & Zhisu Zhu, 2011. "An interior-point path-following algorithm for computing a Leontief economy equilibrium," Computational Optimization and Applications, Springer, vol. 50(2), pages 223-236, October.
    38. Yiyin Cao & Yin Chen & Chuangyin Dang, 2024. "A Differentiable Path-Following Method with a Compact Formulation to Compute Proper Equilibria," INFORMS Journal on Computing, INFORMS, vol. 36(2), pages 377-396, March.
    39. Tong, Jun & Hu, Jiaqiao & Hu, Jianqiang, 2017. "Computing equilibrium prices for a capital asset pricing model with heterogeneous beliefs and margin-requirement constraints," European Journal of Operational Research, Elsevier, vol. 256(1), pages 24-34.
    40. Peixuan Li & Chuangyin Dang, 2020. "An Arbitrary Starting Tracing Procedure for Computing Subgame Perfect Equilibria," Journal of Optimization Theory and Applications, Springer, vol. 186(2), pages 667-687, August.
    41. Boone, C.A.J.J. & Roijakkers, A.H.W.M. & van Olffen, W., 2002. "Locus of control and study program choice: evidence of personality sorting in educational choice," Research Memorandum 006, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    42. Yang Zhan & Chuangyin Dang, 2021. "Computing equilibria for markets with constant returns production technologies," Annals of Operations Research, Springer, vol. 301(1), pages 269-284, June.
    43. Herings, P. Jean-Jacques & Zhan, Yang, 2021. "The computation of pairwise stable networks," Research Memorandum 004, Maastricht University, Graduate School of Business and Economics (GSBE).
    44. Zafar Iqbal & Rizwana Siddiqui, 2001. "Critical Review of Literature on Computable General Equilibrium Models," MIMAP Technical Paper Series 2001:09, Pakistan Institute of Development Economics.
    45. Wei Ma, 2015. "A Constructive Proof of the Existence of Collateral Equilibrium for a Two-Period Exchange Economy Based on a Smooth Interior-Point Path," Computational Economics, Springer;Society for Computational Economics, vol. 45(1), pages 1-30, January.
    46. Paul Oslington, 2012. "General Equilibrium: Theory and Evidence," The Economic Record, The Economic Society of Australia, vol. 88(282), pages 446-448, September.
    47. Ron N. Borkovsky & Ulrich Doraszelski & Yaroslav Kryukov, "undated". "A User''s Guide to Solving Dynamic Stochastic Games Using the Homotopy Method," GSIA Working Papers 2009-E23, Carnegie Mellon University, Tepper School of Business.
    48. Cao, Yiyin & Dang, Chuangyin, 2022. "A variant of Harsanyi's tracing procedures to select a perfect equilibrium in normal form games," Games and Economic Behavior, Elsevier, vol. 134(C), pages 127-150.

  32. Schmedders, Karl, 1998. "Computing equilibria in the general equilibrium model with incomplete asset markets," Journal of Economic Dynamics and Control, Elsevier, vol. 22(8-9), pages 1375-1401, August.

    Cited by:

    1. James Staveley-O'Carroll & Olena M. Staveley-O'Carroll, 2016. "Impact of Pension System Structure on International Financial Capital Allocation," Working Papers 1601, College of the Holy Cross, Department of Economics.
    2. de Ruyter, J.C. & Wetzels, M.G.M., 2000. "The role of corporate image and extension similarity in service brand extensions," Research Memorandum 035, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    3. David Besanko & Ulrich Doraszelski & Yaroslav Kryukov & Mark Satterthwaite, 2008. "Learning-by-Doing, Organizational Forgetting, and Industry Dynamics," GSIA Working Papers 2009-E22, Carnegie Mellon University, Tepper School of Business.
    4. Esteban-Bravo, Mercedes, 2004. "An interior point algorithm for computing equilibria in economies with incomplete asset markets," DEE - Working Papers. Business Economics. WB wb046023, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    5. Ma, Wei, 2015. "A simple method for computing equilibria when asset markets are incomplete," Journal of Economic Dynamics and Control, Elsevier, vol. 52(C), pages 32-38.
    6. Doraszelski, Ulrich & Kryukov, Yaroslav & Borkovsky, Ron N., 2008. "A User's Guide to Solving Dynamic Stochastic Games Using the Homotopy Method," CEPR Discussion Papers 6733, C.E.P.R. Discussion Papers.
    7. Esteban-Bravo, Mercedes, 2000. "Existence and computation of a GEI equilibrium," DES - Working Papers. Statistics and Econometrics. WS 10008, Universidad Carlos III de Madrid. Departamento de Estadística.
    8. Sy-Ming Guu & Kenneth L. Judd, 2001. "Asymptotic methods for asset market equilibrium analysis," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 18(1), pages 127-157.
    9. Eaves, B. Curtis & Schmedders, Karl, 1999. "General equilibrium models and homotopy methods," Journal of Economic Dynamics and Control, Elsevier, vol. 23(9-10), pages 1249-1279, September.
    10. Marlon Azinovic & Jan v{Z}emliv{c}ka, 2023. "Economics-Inspired Neural Networks with Stabilizing Homotopies," Papers 2303.14802, arXiv.org.
    11. Herings, P.J.J. & Kubler, F., 1999. "The Robustness of the CAPM - A Computational Approach," Discussion Paper 1999-54, Tilburg University, Center for Economic Research.
    12. Ron N. Borkovsky & Ulrich Doraszelski & Yaroslav Kryukov, 2010. "A User's Guide to Solving Dynamic Stochastic Games Using the Homotopy Method," Operations Research, INFORMS, vol. 58(4-part-2), pages 1116-1132, August.
    13. Herings, P.J.J. & Schmedders, K., 2000. "Computing equilibria in finance economies with incomplete markets and transaction costs," Research Memorandum 034, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    14. Besanko, David & Doraszelski, Ulrich & Kryukov, Yaroslav & Satterthwaite, Mark, 2007. "Learning-by-Doing, Organizational Forgetting and Industry Dynamics," CEPR Discussion Papers 6160, C.E.P.R. Discussion Papers.
    15. Zhan, Yang & Dang, Chuangyin, 2021. "Determination of general equilibrium with incomplete markets and default penalties," Journal of Mathematical Economics, Elsevier, vol. 92(C), pages 49-59.
    16. Judd, Kenneth L. & Kubler, Felix & Schmedders, Karl, 2000. "Computing equilibria in infinite-horizon finance economies: The case of one asset," Journal of Economic Dynamics and Control, Elsevier, vol. 24(5-7), pages 1047-1078, June.
    17. Dong Chul Won, 2019. "A New Characterization of Equilibrium in a Multi-period Finance Economy: A Computational Viewpoint," Computational Economics, Springer;Society for Computational Economics, vol. 53(1), pages 367-396, January.
    18. Wei Ma, 2014. "A Simple Method for Computing Equilibria when Asset Markets Are Incomplete," Working Papers 201478, University of Pretoria, Department of Economics.
    19. Buijink, W.F.J. & Janssen, J.B.P.E.C. & Schols, Y.J., 2000. "Evidence of the effect of domicile on corporate average effective tax rates in the European Union," Research Memorandum 049, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    20. Susan Schommer, 2013. "Computing equilibria in economies with incomplete markets, collateral and default penalties," Annals of Operations Research, Springer, vol. 206(1), pages 367-383, July.
    21. David Besanko & Ulrich Doraszelski & Yaroslav Kryukov & Mark Satterthwaite, 2007. "Learning-by-Doing, Organizational Forgetting, and Industry Dynamics," Levine's Bibliography 321307000000000903, UCLA Department of Economics.
    22. Ron N. Borkovsky & Ulrich Doraszelski & Yaroslav Kryukov, "undated". "A User''s Guide to Solving Dynamic Stochastic Games Using the Homotopy Method," GSIA Working Papers 2009-E23, Carnegie Mellon University, Tepper School of Business.

Software components

    Sorry, no citations of software components recorded.

Chapters

  1. Felix Kubler & Karl Schmedders, 2008. "Approximate Versus Exact Equilibria in Dynamic Economies," Lecture Notes in Economics and Mathematical Systems, in: Computational Aspects of General Equilibrium Theory, pages 135-163, Springer.
    See citations under working paper version above.Sorry, no citations of chapters recorded.

Books

  1. Diethard Klatte & Hans-Jakob Lüthi & Karl Schmedders (ed.), 2012. "Operations Research Proceedings 2011," Operations Research Proceedings, Springer, edition 127, number 978-3-642-29210-1, March.

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    2. Lehnfeld, Jana & Knust, Sigrid, 2014. "Loading, unloading and premarshalling of stacks in storage areas: Survey and classification," European Journal of Operational Research, Elsevier, vol. 239(2), pages 297-312.
    3. Alexander Y. Kruger, 2016. "Nonlinear Metric Subregularity," Journal of Optimization Theory and Applications, Springer, vol. 171(3), pages 820-855, December.
    4. Carlo Andrea Bollino & Philipp Galkin, 2021. "Energy Security and Portfolio Diversification: Conventional and Novel Perspectives," Energies, MDPI, vol. 14(14), pages 1-24, July.
    5. Torben C. Barth & David Pisinger, 2021. "Baggage Carousel Assignment at Airports: Model and Case Study," SN Operations Research Forum, Springer, vol. 2(1), pages 1-27, March.
    6. Kayse Lee Maass & Vera Mann Hey Lo & Anna Weiss & Mark S. Daskin, 2015. "Maximizing Diversity in the Engineering Global Leadership Cultural Families," Interfaces, INFORMS, vol. 45(4), pages 293-304, August.
    7. Andrea Manno & Laura Palagi & Simone Sagratella, 2019. "Case Article—Production and Distribution Optimization of Beach Equipment for the Marinero Company," INFORMS Transactions on Education, INFORMS, vol. 19(3), pages 152-154, May.
    8. Heil, Julia & Hoffmann, Kirsten & Buscher, Udo, 2020. "Railway crew scheduling: Models, methods and applications," European Journal of Operational Research, Elsevier, vol. 283(2), pages 405-425.
    9. Andresson Silva Firmino & Ricardo Martins Abreu Silva & Valéria Cesário Times, 2019. "A reactive GRASP metaheuristic for the container retrieval problem to reduce crane’s working time," Journal of Heuristics, Springer, vol. 25(2), pages 141-173, April.
    10. Gabriel Frahm, 2018. "An Intersection–Union Test for the Sharpe Ratio," Risks, MDPI, vol. 6(2), pages 1-13, April.
    11. Zhang, Jingran & Onal, Sevilay & Das, Sanchoy, 2020. "The dynamic stocking location problem – Dispersing inventory in fulfillment warehouses with explosive storage," International Journal of Production Economics, Elsevier, vol. 224(C).
    12. Jürgen Fleiß & Stefan Palan, 2013. "Of Coordinators and Dictators: A Public Goods Experiment," Games, MDPI, vol. 4(4), pages 1-24, October.
    13. Filipe Rodrigues & Agostinho Agra & Lars Magnus Hvattum & Cristina Requejo, 2021. "Weighted proximity search," Journal of Heuristics, Springer, vol. 27(3), pages 459-496, June.
    14. Okoye, Chiemeka Onyeka & Solyalı, Oğuz & Akıntuğ, Bertuğ, 2015. "Optimal sizing of storage tanks in domestic rainwater harvesting systems: A linear programming approach," Resources, Conservation & Recycling, Elsevier, vol. 104(PA), pages 131-140.
    15. Huynh Ngai & Nguyen Huu Tron & Michel Théra, 2016. "Directional Hölder Metric Regularity," Journal of Optimization Theory and Applications, Springer, vol. 171(3), pages 785-819, December.
    16. Timo Berthold, 2018. "A computational study of primal heuristics inside an MI(NL)P solver," Journal of Global Optimization, Springer, vol. 70(1), pages 189-206, January.
    17. Mikolajková, Markéta & Haikarainen, Carl & Saxén, Henrik & Pettersson, Frank, 2017. "Optimization of a natural gas distribution network with potential future extensions," Energy, Elsevier, vol. 125(C), pages 848-859.
    18. Ruslan Sadykov & François Vanderbeck & Artur Pessoa & Issam Tahiri & Eduardo Uchoa, 2019. "Primal Heuristics for Branch and Price: The Assets of Diving Methods," INFORMS Journal on Computing, INFORMS, vol. 31(2), pages 251-267, April.
    19. Schepler, Xavier & Rossi, André & Gurevsky, Evgeny & Dolgui, Alexandre, 2022. "Solving robust bin-packing problems with a branch-and-price approach," European Journal of Operational Research, Elsevier, vol. 297(3), pages 831-843.
    20. Lin, Meiyan & Ma, Lijun & Ying, Chengshuo, 2021. "Matching daily home health-care demands with supply in service-sharing platforms," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 145(C).
    21. Soheyl Khalilpourazari & Saman Khalilpourazary & Aybike Özyüksel Çiftçioğlu & Gerhard-Wilhelm Weber, 2021. "Designing energy-efficient high-precision multi-pass turning processes via robust optimization and artificial intelligence," Journal of Intelligent Manufacturing, Springer, vol. 32(6), pages 1621-1647, August.
    22. Liselotte Schäfer Elinder & Patricia Eustachio Colombo & Emma Patterson & Alexandr Parlesak & Anna Karin Lindroos, 2020. "Successful Implementation of Climate-Friendly, Nutritious, and Acceptable School Meals in Practice: The OPTIMAT ™ Intervention Study," Sustainability, MDPI, vol. 12(20), pages 1-16, October.
    23. Imre Dobos & Barbara Gobsch & Nadezhda Pakhomova & Grigory Pishchulov & Knut Richter, 2013. "Design of contract parameters in a closed-loop supply chain," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 21(4), pages 713-727, December.
    24. Przemysław Kowalik & Magdalena Rzemieniak, 2021. "Binary Linear Programming as a Tool of Cost Optimization for a Water Supply Operator," Sustainability, MDPI, vol. 13(6), pages 1-15, March.
    25. Adam Fleischhacker & Bintong Chen & Hemant Kher & Mariano Mazal & Bob Pfender, 2015. "Practice Summary: Capacity Planning in the Presence of Sequence-Dependent Setups at AstraZeneca Pharmaceuticals," Interfaces, INFORMS, vol. 45(4), pages 358-362, August.
    26. Cornelius Köpp & Hans-Jörg Mettenheim & Michael Breitner, 2014. "Decision Analytics with Heatmap Visualization for Multi-step Ensemble Data," Business & Information Systems Engineering: The International Journal of WIRTSCHAFTSINFORMATIK, Springer;Gesellschaft für Informatik e.V. (GI), vol. 6(3), pages 131-140, June.
    27. Tadeusz Sawik, 2018. "Selection of a dynamic supply portfolio under delay and disruption risks," International Journal of Production Research, Taylor & Francis Journals, vol. 56(1-2), pages 760-782, January.
    28. Asli Ozen & Yariv Marmor & Thomas Rohleder & Hari Balasubramanian & Jeanne Huddleston & Paul Huddleston, 2016. "Optimization and Simulation of Orthopedic Spine Surgery Cases at Mayo Clinic," Manufacturing & Service Operations Management, INFORMS, vol. 18(1), pages 157-175, February.
    29. Jürgen Fleiß & Ulrike Leopold‐Wildburger, 2014. "Once Nice, Always Nice? Results on Factors Influencing Nice Behavior from an Iterated Prisoner's Dilemma Experiment," Systems Research and Behavioral Science, Wiley Blackwell, vol. 31(2), pages 327-334, March.
    30. Jürgen Fleiß, 2015. "Merit norms in the ultimatum game: an experimental study of the effect of merit on individual behavior and aggregate outcomes," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 23(2), pages 389-406, June.
    31. Huynh Van Ngai & Nguyen Huu Tron & Michel Théra, 2014. "Metric Regularity of the Sum of Multifunctions and Applications," Journal of Optimization Theory and Applications, Springer, vol. 160(2), pages 355-390, February.
    32. Emanuel Canelas & Tânia Pinto-Varela & Bartosz Sawik, 2020. "Electricity Portfolio Optimization for Large Consumers: Iberian Electricity Market Case Study," Energies, MDPI, vol. 13(9), pages 1-21, May.
    33. Suyabatmaz, Ali Çetin & Şahin, Güvenç, 2015. "Railway crew capacity planning problem with connectivity of schedules," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 84(C), pages 88-100.
    34. Benjamin Hiller & René Saitenmacher & Tom Walther, 2021. "Improved models for operation modes of complex compressor stations," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 94(2), pages 171-195, October.
    35. Klein, Robert & Kolb, Johannes, 2015. "Maximizing customer equity subject to capacity constraints," Omega, Elsevier, vol. 55(C), pages 111-125.
    36. Mikolajková, Markéta & Saxén, Henrik & Pettersson, Frank, 2018. "Linearization of an MINLP model and its application to gas distribution optimization," Energy, Elsevier, vol. 146(C), pages 156-168.
    37. Wochner, Sina & Grunow, Martin & Staeblein, Thomas & Stolletz, Raik, 2016. "Planning for ramp-ups and new product introductions in the automotive industry: Extending sales and operations planning," International Journal of Production Economics, Elsevier, vol. 182(C), pages 372-383.

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