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:- Brumm, Johannes & Grill, Michael & Kubler, Felix & Schmedders, Karl, 2013.
"Collateral requirements and asset prices,"
Discussion Papers
44/2013, Deutsche Bundesbank.
- 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.
- 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.
- Michael Grill & Karl Schmedders & Felix Kubler & Johannes Brumm, 2011. "Collateral Requirements and Asset Prices," 2011 Meeting Papers 737, Society for Economic Dynamics.
Mentioned in:
- Collateral requirements and asset prices
by Christian Zimmermann in NEP-DGE blog on 2013-12-10 09:43:45
Working papers
- 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.
- 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.
- Brumm, Johannes & Grill, Michael & Kubler, Felix & Schmedders, Karl, 2018. "Re-use of collateral: leverage, volatility, and welfare," Working Paper Series 2218, European Central Bank.
- Michael Grill & Karl Schmedders & Felix Kubler & Johannes Brumm, 2017. "Re-use of Collateral: Leverage, Volatility, and Welfare," 2017 Meeting Papers 697, Society for Economic Dynamics.
Cited by:
- Maurin, Vincent, 2022. "Asset scarcity and collateral rehypothecation," Journal of Financial Intermediation, Elsevier, vol. 52(C).
- Park, Hyejin, 2021. "Collateral reuse, collateral mismatch, and financial crises," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 367-380.
- 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.
- 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.
Cited by:
- 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.
- Simon Dietz & Frederick van der Ploeg & Armon Rezai & Frank Venmans, 2021. "Are Economists Getting Climate Dynamics Right and Does It Matter?," Journal of the Association of Environmental and Resource Economists, University of Chicago Press, vol. 8(5), pages 895-921.
- Rick Van der Ploeg & Simon Dietz & Armon Rezai & Frank Venmans, 2020. "Are economists getting climate dynamics right and does it matter?," Economics Series Working Papers 900, University of Oxford, Department of Economics.
- Dietz, Simon & van der Ploeg, Frederick & Rezai, Armon & Venmans, Frank, 2021. "Are economists getting climate dynamics right and does it matter?," LSE Research Online Documents on Economics 108887, London School of Economics and Political Science, LSE Library.
- 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.
- 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.
- 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.
Cited by:
- Andrei S. Gonçalves, 2021. "Reinvestment Risk and the Equity Term Structure," Journal of Finance, American Finance Association, vol. 76(5), pages 2153-2197, October.
- Stefan Nagel & Zhengyang Xu, 2019.
"Asset Pricing with Fading Memory,"
NBER Working Papers
26255, National Bureau of Economic Research, Inc.
- Stefan Nagel & Zhengyang Xu, 2019. "Asset Pricing with Fading Memory," 2019 Meeting Papers 71, Society for Economic Dynamics.
- Nagel, Stefan & Xu, Zhengyang, 2019. "Asset Pricing with Fading Memory," CEPR Discussion Papers 13973, C.E.P.R. Discussion Papers.
- Stefan Nagel & Zhengyang Xu, 2022. "Asset Pricing with Fading Memory," The Review of Financial Studies, Society for Financial Studies, vol. 35(5), pages 2190-2245.
- Andrei, Daniel & Carlin, Bruce I., 2023. "Schumpeterian competition in a Lucas economy," Journal of Economic Theory, Elsevier, vol. 208(C).
- 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.
- Jaroslav Borovicka & John Stachurski, 2017.
"Necessary and Sufficient Conditions for Existence and Uniqueness of Recursive Utilities,"
Papers
1710.06526, arXiv.org, revised Apr 2019.
- Jaroslav Borovicka & John Stachurski, 2018. "Necessary and Sufficient Conditions for Existence and Uniqueness of Recursive Utilities," 2018 Meeting Papers 1275, Society for Economic Dynamics.
- Jaroslav Borovička & John Stachurski, 2017. "Necessary and Sufficient Conditions for Existence and Uniqueness of Recursive Utilities," NBER Working Papers 24162, National Bureau of Economic Research, Inc.
- Jaroslav Borovička & John Stachurski, 2020. "Necessary and Sufficient Conditions for Existence and Uniqueness of Recursive Utilities," Journal of Finance, American Finance Association, vol. 75(3), pages 1457-1493, June.
- 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.
- Geert Bekaert & Eric Engstrom & Andrey Ermolov, 2020. "The Variance Risk Premium in Equilibrium Models," NBER Working Papers 27108, National Bureau of Economic Research, Inc.
- 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.
- Oliver de Groot & Alexander W. Richter & Nathaniel A. Throckmorton, 2018.
"Valuation Risk Revalued,"
Working Papers
1808, Federal Reserve Bank of Dallas.
- Oliver de Groot & Alexander W. Richter & Nathanial A. Throckmorton, 2019. "Valuation Risk Revalued," Working Papers 201904, University of Liverpool, Department of Economics.
- Oliver de Groot & Alexander W. Richter & Nathaniel A. Throckmorton, 2022. "Valuation risk revalued," Quantitative Economics, Econometric Society, vol. 13(2), pages 723-759, May.
- de Groot, Oliver & Richter, Alexander W. & Throckmorton, Nathaniel, 2020. "Valuation Risk Revalued," CEPR Discussion Papers 14588, C.E.P.R. Discussion Papers.
- 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.
- 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.
- Alexis Akira Toda, 2018. "Data-based Automatic Discretization of Nonparametric Distributions," Papers 1805.00896, arXiv.org, revised May 2019.
- Gareth Lui-Evans & Shalini Mitra, 2019. "Informality and Bank Stability," Working Papers 201903, University of Liverpool, Department of Economics.
- Paolo Guasoni & Gu Wang, 2020. "Consumption in incomplete markets," Finance and Stochastics, Springer, vol. 24(2), pages 383-422, April.
- Gu, Shihao & Kelly, Bryan & Xiu, Dacheng, 2021. "Autoencoder asset pricing models," Journal of Econometrics, Elsevier, vol. 222(1), pages 429-450.
- 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).
- 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.
- Gao, Can & Martin, Ian, 2021. "Volatility, valuation ratios, and bubbles: an empirical measure of market sentiment," LSE Research Online Documents on Economics 108598, London School of Economics and Political Science, LSE Library.
- Martin, Ian & Gao, Can, 2019. "Volatility, Valuation Ratios, and Bubbles: An Empirical Measure of Market Sentiment," CEPR Discussion Papers 13454, C.E.P.R. Discussion Papers.
- Can Gao & Ian W. R. Martin, 2021. "Volatility, Valuation Ratios, and Bubbles: An Empirical Measure of Market Sentiment," Journal of Finance, American Finance Association, vol. 76(6), pages 3211-3254, December.
- Flint O'Neil, 2020. "Existence and Uniqueness of Recursive Utility Models in $L_p$," Papers 2005.07067, arXiv.org.
- 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.
- He, Yunhao & Leippold, Markus, 2020. "Short-run risk, business cycle, and the value premium," Journal of Economic Dynamics and Control, Elsevier, vol. 120(C).
- 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.
- Thomas J. Sargent & John Stachurski, 2024. "Dynamic Programming: Finite States," Papers 2401.10473, arXiv.org.
- Kristof Lommers & Ouns El Harzli & Jack Kim, 2021. "Confronting Machine Learning With Financial Research," Papers 2103.00366, arXiv.org, revised Mar 2021.
- 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.
- Pierri, Damian Rene, 2021. "Accuracy in recursive minimal state space methods," UC3M Working papers. Economics 33753, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Andreas Tryphonides, 2018. "Tilting Approximate Models," Papers 1805.10869, arXiv.org, revised Mar 2024.
- 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.
- A. Ronald Gallant & Mohammad Jahan-Parvar & Hening Liu, 2018. "Does Smooth Ambiguity Matter for Asset Pricing?," International Finance Discussion Papers 1221, Board of Governors of the Federal Reserve System (U.S.).
- 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.
- 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.
- Dalderop, Jeroen, 2023. "Semiparametric estimation of latent variable asset pricing models," Journal of Econometrics, Elsevier, vol. 236(1).
- Jaroslav Borovicka & John Stachurski, 2019.
"Stability of Equilibrium Asset Pricing Models: A Necessary and Sufficient Condition,"
Papers
1910.00778, arXiv.org, revised Feb 2021.
- Borovička, Jaroslav & Stachurski, John, 2021. "Stability of equilibrium asset pricing models: A necessary and sufficient condition," Journal of Economic Theory, Elsevier, vol. 193(C).
- 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.
- Liu, Zhenya & Teka, Hanen & You, Rongyu, 2023. "Conditional autoencoder pricing model for energy commodities," Resources Policy, Elsevier, vol. 86(PA).
- 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.
- 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.
- Weidong Tian, 2021. "Long Run Law and Entropy," Papers 2111.06238, arXiv.org.
- Wenzelburger, Jan, 2020. "Mean-variance analysis and the Modified Market Portfolio," Journal of Economic Dynamics and Control, Elsevier, vol. 111(C).
- Ihor Kendiukhov, 2024. "Present Value of the Future Consumer Goods Multiplier," Papers 2402.01938, arXiv.org.
- Mignanego, Fausto & Sbuelz, Alessandro, 2022. "Analytical cyclical price–dividend ratios," Economics Letters, Elsevier, vol. 215(C).
- 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.
- 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.
- 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.
- Andras Fulop & Jeremy Heng & Junye Li, 2022. "Efficient Likelihood-based Estimation via Annealing for Dynamic Structural Macrofinance Models," Papers 2201.01094, arXiv.org.
- Aleksy Leeuwenkamp & Wentao Hu, 2023. "New general dependence measures: construction, estimation and application to high-frequency stock returns," Papers 2309.00025, arXiv.org.
- Philipp Renner & Karl Schmedders, 2016.
"Dynamic Principal-Agent Models,"
Swiss Finance Institute Research Paper Series
16-26, Swiss Finance Institute.
Cited by:
- Dutta, Prajit K. & Siconolfi, Paolo, 2019. "Asynchronous games with transfers: Uniqueness and optimality," Journal of Economic Theory, Elsevier, vol. 183(C), pages 46-75.
- 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:
- Jaroslav Borovicka & John Stachurski, 2017.
"Necessary and Sufficient Conditions for Existence and Uniqueness of Recursive Utilities,"
Papers
1710.06526, arXiv.org, revised Apr 2019.
- Jaroslav Borovicka & John Stachurski, 2018. "Necessary and Sufficient Conditions for Existence and Uniqueness of Recursive Utilities," 2018 Meeting Papers 1275, Society for Economic Dynamics.
- Jaroslav Borovička & John Stachurski, 2017. "Necessary and Sufficient Conditions for Existence and Uniqueness of Recursive Utilities," NBER Working Papers 24162, National Bureau of Economic Research, Inc.
- Jaroslav Borovička & John Stachurski, 2020. "Necessary and Sufficient Conditions for Existence and Uniqueness of Recursive Utilities," Journal of Finance, American Finance Association, vol. 75(3), pages 1457-1493, June.
- 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.
- Jaroslav Borovicka & John Stachurski, 2017.
"Necessary and Sufficient Conditions for Existence and Uniqueness of Recursive Utilities,"
Papers
1710.06526, arXiv.org, revised Apr 2019.
- Johannes Brumm & Michael Grill & Felix Kubler & Karl Schmedders, 2013.
"Margin Regulation and Volatility,"
Swiss Finance Institute Research Paper Series
13-59, Swiss Finance Institute.
- Brumm, Johannes & Grill, Michael & Kubler, Felix & Schmedders, Karl, 2015. "Margin regulation and volatility," Journal of Monetary Economics, Elsevier, vol. 75(C), pages 54-68.
- Brumm, Johannes & Kubler, Felix & Grill, Michael & Schmedders, Karl, 2014. "Margin regulation and volatility," Working Paper Series 1698, European Central Bank.
Cited by:
- Pengfei Wang & Jing Zhou & Jianjun Miao, 2015. "Housing Bubbles and Policy Analysis," 2015 Meeting Papers 1056, Society for Economic Dynamics.
- 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.
- 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.
- 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.
- Michael Grill & Karl Schmedders & Felix Kubler & Johannes Brumm, 2011. "Collateral Requirements and Asset Prices," 2011 Meeting Papers 737, Society for Economic Dynamics.
- Brumm, Johannes & Grill, Michael & Kubler, Felix & Schmedders, Karl, 2013. "Collateral requirements and asset prices," Discussion Papers 44/2013, Deutsche Bundesbank.
- Corradin, Stefano & Heider, Florian & Hoerova, Marie, 2017. "On collateral: implications for financial stability and monetary policy," Working Paper Series 2107, European Central Bank.
- 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.
- Michael Grill & Karl Schmedders & Felix Kubler & Johannes Brumm, 2017. "Re-use of Collateral: Leverage, Volatility, and Welfare," 2017 Meeting Papers 697, Society for Economic Dynamics.
- Brumm, Johannes & Grill, Michael & Kubler, Felix & Schmedders, Karl, 2018. "Re-use of collateral: leverage, volatility, and welfare," Working Paper Series 2218, European Central Bank.
- 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.
- Johannes Brumm & Michael Grill & Felix Kubler & Karl Schmedders, 2022. "Code and data files for "Re-use of collateral: Leverage, volatility, and welfare"," Computer Codes 20-480, Review of Economic Dynamics.
- Suzuki, Shiba, 2018. "Inequality and asset fire sales," MPRA Paper 90906, University Library of Munich, Germany.
- 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).
- 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.
- 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.
- 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.
- Chabakauri, Georgy & Han, Brandon Yueyang, 2020. "Collateral constraints and asset prices," Journal of Financial Economics, Elsevier, vol. 138(3), pages 754-776.
- 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.
- Michael Grill & Karl Schmedders & Felix Kubler & Johannes Brumm, 2012.
"Margin Requirements and Asset Prices,"
2012 Meeting Papers
533, Society for Economic Dynamics.
Cited by:
- 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).
- Chabakauri, Georgy, 2015. "Asset pricing with heterogeneous preferences, beliefs, and portfolio constraints," Journal of Monetary Economics, Elsevier, vol. 75(C), pages 21-34.
- Philipp Renner & Karl Schmedders, 2012.
"A Polynomial Optimization Approach to Principal-Agent Problems,"
Swiss Finance Institute Research Paper Series
12-35, Swiss Finance Institute.
- Philipp Renner & Karl Schmedders, 2015. "A Polynomial Optimization Approach to Principal–Agent Problems," Econometrica, Econometric Society, vol. 83, pages 729-769, March.
Cited by:
- 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.
- 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.
- Christian Ewerhart, 2014.
"An envelope approach to tournament design,"
ECON - Working Papers
184, Department of Economics - University of Zurich, revised Oct 2015.
- Ewerhart, Christian, 2016. "An envelope approach to tournament design," Journal of Mathematical Economics, Elsevier, vol. 63(C), pages 1-9.
- 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.
- Rehbeck, John, 2018. "Note on unique Nash equilibrium in continuous games," Games and Economic Behavior, Elsevier, vol. 110(C), pages 216-225.
- Philipp Renner & Karl Schmedders, 2017. "Dynamic Principal–Agent Models," Working Papers 203620456, Lancaster University Management School, Economics Department.
- Chang Koo Chi & Kyoung Jin Choi, 2022. "A Dual Approach To Agency Problems: Existence," Working papers 2022rwp-197, Yonsei University, Yonsei Economics Research Institute.
- Chi, Chang Koo & Choi, Kyoung Jin, 2023. "A dual approach to agency problems," Journal of Mathematical Economics, Elsevier, vol. 109(C).
- 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.
- Philipp Renner, 2020. "An augmented first-order approach for incentive problems," Working Papers 297498586, Lancaster University Management School, Economics Department.
- Daniel Krv{s}ek & Dylan Possamai, 2023. "Randomisation with moral hazard: a path to existence of optimal contracts," Papers 2311.13278, arXiv.org.
- 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.
- Fabian Ackermann & Walt Pohl & Karl Schmedders, 2017. "Optimal and Naive Diversification in Currency Markets," Management Science, INFORMS, vol. 63(10), pages 3347-3360, October.
Cited by:
- 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.
- Alla Petukhina & Simon Trimborn & Wolfgang Karl Hardle & Hermann Elendner, 2020. "Investing with Cryptocurrencies -- evaluating their potential for portfolio allocation strategies," Papers 2009.04461, arXiv.org, revised Sep 2020.
- 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.
- Beckmann, J & Koop, G & Korobilis, D & Schüssler, R, 2017. "Exchange rate predictability and dynamic Bayesian learning," Essex Finance Centre Working Papers 20781, University of Essex, Essex Business School.
- Joscha Beckmann & Gary Koop & Dimitris Korobilis & Rainer Alexander Schüssler, 2020. "Exchange rate predictability and dynamic Bayesian learning," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(4), pages 410-421, June.
- 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.
- 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.
- Alexakis, Christos & Kenourgios, Dimitris & Pappas, Vasileios & Petropoulou, Athina, 2021. "From dotcom to Covid-19: A convergence analysis of Islamic investments," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
- Bazán-Palomino, Walter & Winkelried, Diego, 2021.
"FX markets’ reactions to COVID-19: Are they different?,"
International Economics, Elsevier, vol. 167(C), pages 50-58.
- Walter Bazán-Palomino & Diego Winkelried, 2021. "FX markets’ reactions to COVID-19: Are they different?," International Economics, CEPII research center, issue 167, pages 50-58.
- Mikhail Chernov & Magnus Dahlquist & Lars Lochstoer, 2023.
"Pricing Currency Risks,"
Journal of Finance, American Finance Association, vol. 78(2), pages 693-730, April.
- Mikhail Chernov & Magnus Dahlquist & Lars A. Lochstoer, 2020. "Pricing Currency Risks," NBER Working Papers 28260, National Bureau of Economic Research, Inc.
- Chernov, Mikhail & Dahlquist, Magnus & Lochstoer, Lars, 2020. "Pricing Currency Risks," CEPR Discussion Papers 15571, C.E.P.R. Discussion Papers.
- Platanakis, Emmanouil & Sutcliffe, Charles & Urquhart, Andrew, 2018. "Optimal vs naïve diversification in cryptocurrencies," Economics Letters, Elsevier, vol. 171(C), pages 93-96.
- 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).
- Hafner, Christian & Herwartz, Helmut, 2020. "Dynamic score driven independent component analysis," LIDAM Discussion Papers ISBA 2020031, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- 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.
- 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.
- 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).
- 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.
- 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.
- Michael Grill & Karl Schmedders & Felix Kubler & Johannes Brumm, 2011. "Collateral Requirements and Asset Prices," 2011 Meeting Papers 737, Society for Economic Dynamics.
- Brumm, Johannes & Grill, Michael & Kubler, Felix & Schmedders, Karl, 2013. "Collateral requirements and asset prices," Discussion Papers 44/2013, Deutsche Bundesbank.
Cited by:
- Feixue Gong & Gregory Phelan, 2021.
"Collateral Constraints, Tranching, and Price Bases,"
Department of Economics Working Papers
2021-07, Department of Economics, Williams College.
- Feixue Gong & Gregory Phelan, 2020. "Collateral Constraints, Tranching, and Price Bases," Department of Economics Working Papers 2020-03, Department of Economics, Williams College.
- Feixue Gong & Gregory Phelan, 2023. "Collateral constraints, tranching, and price bases," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 75(2), pages 317-340, February.
- John Geanakoplos & William R. Zame, 2013.
"Collateral Equilibrium: A Basic Framework,"
Levine's Working Paper Archive
786969000000000741, David K. Levine.
- Geanakoplos, John & William R. Zame, 2013. "Collateral Equilibrium: A Basic Framework," Cowles Foundation Discussion Papers 1906, Cowles Foundation for Research in Economics, Yale University.
- John Geanakoplos & William Zame, 2014. "Collateral equilibrium, I: a basic framework," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 56(3), pages 443-492, August.
- John Geanakoplos & William Zame, 2013. "Collateral Equilibrium - A Basic Framework," EIEF Working Papers Series 1319, Einaudi Institute for Economics and Finance (EIEF), revised Aug 2013.
- 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.
- Gromb, Denis & Vayanos, Dimitri, 2017. "The dynamics of financially constrained arbitrage," LSE Research Online Documents on Economics 118954, London School of Economics and Political Science, LSE Library.
- Gromb, Denis & Vayanos, Dimitri, 2015. "The Dynamics of Financially Constrained Arbitrage," CEPR Discussion Papers 10436, C.E.P.R. Discussion Papers.
- Gromb, Denis & Vayanos, Dimitri, 2015. "The dynamics of financially constrained arbitrage," LSE Research Online Documents on Economics 119012, London School of Economics and Political Science, LSE Library.
- Denis Gromb & Dimitri Vayanos, 2018. "The Dynamics of Financially Constrained Arbitrage," Journal of Finance, American Finance Association, vol. 73(4), pages 1713-1750, August.
- Gromb, Denis & Vayanos, Dimitri, 2015. "The dynamics of financially constrained arbitrage," LSE Research Online Documents on Economics 62007, London School of Economics and Political Science, LSE Library.
- Denis Gromb & Dimitri Vayanos, 2015. "The Dynamics of Financially Constrained Arbitrage," NBER Working Papers 20968, National Bureau of Economic Research, Inc.
- Brumm, Johannes & Grill, Michael & Kubler, Felix & Schmedders, Karl, 2015.
"Margin regulation and volatility,"
Journal of Monetary Economics, Elsevier, vol. 75(C), pages 54-68.
- Johannes Brumm & Michael Grill & Felix Kubler & Karl Schmedders, 2013. "Margin Regulation and Volatility," Swiss Finance Institute Research Paper Series 13-59, Swiss Finance Institute.
- Brumm, Johannes & Kubler, Felix & Grill, Michael & Schmedders, Karl, 2014. "Margin regulation and volatility," Working Paper Series 1698, European Central Bank.
- 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.
- Hans Gersbach & Jean-Charles Rochet & Martin Scheffel, 2022.
"Financial Intermediation, Capital Accumulation, and Crisis Recovery,"
Post-Print
hal-04074448, HAL.
- Gersbach, Hans & Rochet, Jean-Charles & Scheffel, Martin, 2018. "Financial Intermediation, Capital Accumulation and Crisis Recovery," TSE Working Papers 18-885, Toulouse School of Economics (TSE).
- Hans Gersbach & Jean-Charles Rochet & Martin Scheffel, 2019. "Financial Intermediation, Capital Accumulation and Crisis Recovery," Swiss Finance Institute Research Paper Series 19-62, Swiss Finance Institute.
- Hans Gersbach & Jean-Charles Rochet & Martin Scheffel, 2017. "Financial Intermediation, Capital Accumulation and Crisis Recovery," Swiss Finance Institute Research Paper Series 17-38, Swiss Finance Institute.
- Hans Gersbach & Jean-Charles Rochet & Martin Scheffel, 2023. "Financial Intermediation, Capital Accumulation, and Crisis Recovery," Review of Finance, European Finance Association, vol. 27(4), pages 1423-1469.
- Gersbach, Hans & Rochet, Jean-Charles & Scheffel, Martin, 2018. "Financial Intermediation, Capital Accumulation and Crisis Recovery," IDEI Working Papers 881, Institut d'Économie Industrielle (IDEI), Toulouse.
- 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.
- Michael Grill & Karl Schmedders & Felix Kubler & Johannes Brumm, 2017. "Re-use of Collateral: Leverage, Volatility, and Welfare," 2017 Meeting Papers 697, Society for Economic Dynamics.
- Brumm, Johannes & Grill, Michael & Kubler, Felix & Schmedders, Karl, 2018. "Re-use of collateral: leverage, volatility, and welfare," Working Paper Series 2218, European Central Bank.
- 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.
- Johannes Brumm & Michael Grill & Felix Kubler & Karl Schmedders, 2022. "Code and data files for "Re-use of collateral: Leverage, volatility, and welfare"," Computer Codes 20-480, Review of Economic Dynamics.
- Chabakauri, Georgy & Rytchkov, Oleg, 2021. "Asset pricing with index investing," Journal of Financial Economics, Elsevier, vol. 141(1), pages 195-216.
- Dan Vu Cao, 2010.
"Collateral Shortages, Asset Price And Investment Volatility With Heterogeneous Beliefs,"
2010 Meeting Papers
1233, Society for Economic Dynamics.
- Dan Cao, 2011. "Collateral Shortages, Asset Price and Investment Volatility with Heterogeneous Beliefs," Working Papers gueconwpa~11-11-01, Georgetown University, Department of Economics.
- 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.
- Arianna Miglietta & Cristina Picillo & Mario Pietrunti, 2015. "The impact of CCPs' margin policies on repo markets," BIS Working Papers 515, Bank for International Settlements.
- Eleonora Granziera & Sharon Kozicki, 2012.
"House Price Dynamics: Fundamentals and Expectations,"
Staff Working Papers
12-12, Bank of Canada.
- Granziera, Eleonora & Kozicki, Sharon, 2015. "House price dynamics: Fundamentals and expectations," Journal of Economic Dynamics and Control, Elsevier, vol. 60(C), pages 152-165.
- 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.
- Winfried Koeniger & Thomas Hintermaier, 2012. "Collateral constraints and macroeconomic volatility," 2012 Meeting Papers 390, Society for Economic Dynamics.
- 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.
- Karl Schmedders & Felix Kubler, 2012. "Life-Cycle Portfolio Choice, the Wealth Distribution and Asset Prices," 2012 Meeting Papers 536, Society for Economic Dynamics.
Cited by:
- 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.
- Andrew Glover & Jonathan Heathcote & Dirk Krueger & José-Víctor Ríos-Rull, 2011. "Intergenerational redistribution in the Great Recession," Working Papers 684, Federal Reserve Bank of Minneapolis.
- Andrew Glover & Jonathan Heathcote & Dirk Krueger & José-Víctor Ríos-Rull, 2011. "Intergenerational Redistribution in the Great Recession," NBER Working Papers 16924, National Bureau of Economic Research, Inc.
- Andrew Glover & Jonathan Heathcote & Dirk Krueger & José-Víctor Ríos-Rull, 2020. "Intergenerational Redistribution in the Great Recession," Journal of Political Economy, University of Chicago Press, vol. 128(10), pages 3730-3778.
- Heathcote, Jonathan & Krueger, Dirk & Glover, Andrew, 2011. "Intergenerational Redistribution in the Great Recession," CEPR Discussion Papers 8329, C.E.P.R. Discussion Papers.
- Andrew Glover & Jonathan Heathcote & Dirk Krueger & José-Víctor Ríos-Rull, 2014. "Intergenerational Redistribution in the Great Recession," Staff Report 498, Federal Reserve Bank of Minneapolis.
- Farmer, Roger, 2014.
"Asset Prices in a Lifecycle Economy,"
CEPR Discussion Papers
9897, C.E.P.R. Discussion Papers.
- Roger Farmer, 2014. "Asset Prices in a Lifecycle Economy," NBER Working Papers 19958, National Bureau of Economic Research, Inc.
- Stefanie Schraeder, 2016. "Information Processing and Non-Bayesian Learning in Financial Markets," Review of Finance, European Finance Association, vol. 20(2), pages 823-853.
- Dan Vu Cao, 2010.
"Collateral Shortages, Asset Price And Investment Volatility With Heterogeneous Beliefs,"
2010 Meeting Papers
1233, Society for Economic Dynamics.
- Dan Cao, 2011. "Collateral Shortages, Asset Price and Investment Volatility with Heterogeneous Beliefs," Working Papers gueconwpa~11-11-01, Georgetown University, Department of Economics.
- 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:
- 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.
- Felix KUBLER & Karl SCHMEDDERS, 2009.
"Non-parametric counterfactual analysis in dynamic general equilibrium,"
Swiss Finance Institute Research Paper Series
09-05, Swiss Finance Institute.
- 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.
- 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.
Cited by:
- 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.
- 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.
- Juan Carlos Escanciano & Stefan Hoderlein & Arthur Lewbel & Oliver Linton & Sorawoot Srisuma, 2015. "Nonparametric Euler equation identification and estimation," CeMMAP working papers CWP61/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Juan Carlos Escanciano & Stefan Hoderlein & Arthur Lewbel & Oliver Linton & Sorawoot Srisuma, 2010. "Nonparametric Euler Equation Identification and Estimation," Boston College Working Papers in Economics 757, Boston College Department of Economics, revised 15 Mar 2020.
- Juan Carlos Escanciano & Stefan Hoderlein & Arthur Lewbel & Oliver Linton & Sorawoot Srisuma, 2015. "Nonparametric Euler equation identification and estimation," CeMMAP working papers 61/15, Institute for Fiscal Studies.
- Juan Carlos Escanciano & Stefan Hoderlein & Arthur Lewbel & Oliver Linton, 2015. "Nonparametric Euler Equation Identification andEstimation," Cambridge Working Papers in Economics 1560, Faculty of Economics, University of Cambridge.
- Escanciano, Juan Carlos & Hoderlein, Stefan & Lewbel, Arthur & Linton, Oliver & Srisuma, Sorawoot, 2021. "Nonparametric Euler Equation Identification And Estimation," Econometric Theory, Cambridge University Press, vol. 37(5), pages 851-891, October.
- 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.
- 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.
- Felix KUBLER & Karl SCHMEDDERS, 2009. "Non-parametric counterfactual analysis in dynamic general equilibrium," Swiss Finance Institute Research Paper Series 09-05, Swiss Finance Institute.
- 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.
- Kenneth L. JUDD & Felix KUBLER & Karl SCHMEDDERS, 2008.
"Bond Ladders and Optimal Portfolios,"
Swiss Finance Institute Research Paper Series
08-32, Swiss Finance Institute.
- 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.
Cited by:
- 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.
- 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.
- Schmidhammer, Christoph & Hille, Vanessa & Wiedemann, Arnd, 2020. "Performance of maturity transformation strategies," Discussion Papers 58/2020, Deutsche Bundesbank.
- 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.
- Kubler, Felix & Schmedders, Karl, 2010. "Competitive equilibria in semi-algebraic economies," Journal of Economic Theory, Elsevier, vol. 145(1), pages 301-330, January.
Cited by:
- 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.
- Andrzej Kocięcki & Marcin Kolasa, 2023. "A solution to the global identification problem in DSGE models," KAE Working Papers 2023-083, Warsaw School of Economics, Collegium of Economic Analysis.
- Kocięcki, Andrzej & Kolasa, Marcin, 2023. "A solution to the global identification problem in DSGE models," Journal of Econometrics, Elsevier, vol. 236(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.
- E. Weyl & Michal Fabinger, 2015. "A Tractable Approach to Pass-Through Patterns," 2015 Meeting Papers 747, Society for Economic Dynamics.
- Zha, Tao & Rubio-RamÃrez, Juan Francisco & , & Foerster, Andrew, 2013.
"Perturbation Methods for Markov-Switching DSGE Models,"
CEPR Discussion Papers
9464, C.E.P.R. Discussion Papers.
- Andrew Foerster & Juan Rubio-Ramirez & Dan Waggoner & Ta Zha, 2013. "Perturbation Methods for Markov-Switching DSGE Models," Working Papers 2013-22, FEDEA.
- Andrew T. Foerster & Juan F. Rubio-Ramirez & Daniel F. Waggoner & Tao Zha, 2013. "Perturbation methods for Markov-switching DSGE model," Research Working Paper RWP 13-01, Federal Reserve Bank of Kansas City.
- Andrew Foerster & Juan F. Rubio‐Ramírez & Daniel F. Waggoner & Tao Zha, 2016. "Perturbation methods for Markov‐switching dynamic stochastic general equilibrium models," Quantitative Economics, Econometric Society, vol. 7(2), pages 637-669, July.
- Andrew Foerster & Juan Rubio-Ramírez & Daniel F. Waggoner & Tao Zha, 2014. "Perturbation Methods for Markov-Switching DSGE Models," NBER Working Papers 20390, National Bureau of Economic Research, Inc.
- Andrew T. Foerster & Juan F. Rubio-Ramirez & Daniel F. Waggoner & Tao Zha, 2014. "Perturbation methods for Markov-switching DSGE models," FRB Atlanta Working Paper 2014-16, Federal Reserve Bank of Atlanta.
- Tao Zha & Juan F. Rubio-Ramirez & Daniel F. Waggoner & Andrew T. Foerster, 2010. "Perturbation Methods for Markov-Switching Models," 2010 Meeting Papers 239, Society for Economic Dynamics.
- Andrew Foerster & Juan F. Rubio-Ramirez & Daniel F. Waggoner & Tao Zha, 2013. "Perturbation methods for Markov-switching DSGE models," FRB Atlanta Working Paper 2013-01, Federal Reserve Bank of Atlanta.
- Orrego, Fabrizio, 2011. "Demografía y precios de activos," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 22, pages 83-101.
- 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.
- 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.
- 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.
- 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.
- Felix Kubler & Karl Schmedders, 2010. "Tackling Multiplicity of Equilibria with Gröbner Bases," Operations Research, INFORMS, vol. 58(4-part-2), pages 1037-1050, August.
- 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.
- Helena Soares & Tiago Neves Sequeira & Pedro Macias Marques & Orlando Gomes & Alexandra Ferreira-Lopes, 2012. "Social Infrastructure and the Preservation of Physical Capital: Equilibria and Transitional Dynamics," Working Papers Series 2 12-04, ISCTE-IUL, Business Research Unit (BRU-IUL).
- 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.
- 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.
- Toda, Alexis Akira, 2017.
"Huggett economies with multiple stationary equilibria,"
Journal of Economic Dynamics and Control, Elsevier, vol. 84(C), pages 77-90.
- Toda, Alexis Akira, 2017. "Huggett Economies with Multiple Stationary Equilibria," MPRA Paper 78984, University Library of Munich, Germany.
- 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.
- Orrego, Fabrizio, 2010. "Demography, stock prices and interest rates: The Easterlin hypothesis revisited," Working Papers 2010-012, Banco Central de Reserva del Perú.
- 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.
- 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:
- 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.
- 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.
- 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.
- David Besanko & Ulrich Doraszelski, 2005. "Learning-by-Doing, Organizational Forgetting, and Industry Dynanmics," Computing in Economics and Finance 2005 236, Society for Computational Economics.
- 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.
- 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.
- 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.
- Karl Schmedders, 2005.
"Two-Fund Separation in Dynamic General Equilibrium,"
Discussion Papers
1398, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- ,, 2007. "Two-fund separation in dynamic general equilibrium," Theoretical Economics, Econometric Society, vol. 2(2), June.
- Karl Schmedders, 2005. "Two-Fund Separation in Dynamic General Equilibrium," 2005 Meeting Papers 148, Society for Economic Dynamics.
Cited by:
- 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.
- Anufriev, M. & Bottazzi, G. & Marsili, M. & Pin, P., 2011. "Excess Covariance and Dynamic Instability in a Multi-Asset Model," CeNDEF Working Papers 11-09, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Chiaki Hara, 2005.
"Heterogeneous Risk Attitudes in a Continuous-Time Model,"
KIER Working Papers
609, Kyoto University, Institute of Economic Research.
- Chiaki Hara, 2006. "Heterogeneous Risk Attitudes In A Continuous‐Time Model," The Japanese Economic Review, Japanese Economic Association, vol. 57(3), pages 377-405, September.
- Won, Dong Chul, 2018. "One-fund separation in incomplete markets with two assets," Finance Research Letters, Elsevier, vol. 24(C), pages 168-174.
- Alessandro Citanna & Karl Schmedders, 2005.
"Excess price volatility and financial innovation,"
Post-Print
hal-00480119, HAL.
- 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.
Cited by:
- Helios Herrera, 2005. "Sorting in Risk-Aversion and Asset Price Volatility," Levine's Bibliography 172782000000000083, UCLA Department of Economics.
- 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.
- William Brock & Cars Hommes & Florian Wagener, 2006. "More Hedging Instruments may destablize Markets," Tinbergen Institute Discussion Papers 06-080/1, Tinbergen Institute, revised 30 Apr 2008.
- Brock, W.A. & Hommes, C.H. & Wagener, F.O.O., 2006. "More hedging instruments may destabilize markets," CeNDEF Working Papers 06-12, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Brock, W.A. & Hommes, C.H. & Wagener, F.O.O., 2009. "More hedging instruments may destabilize markets," Journal of Economic Dynamics and Control, Elsevier, vol. 33(11), pages 1912-1928, November.
- 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.
- 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.
- Laura Angeloni & Bernard Cornet, 2006. "Existence of financial equilibria in a multiperiod stochastic economy," Post-Print hal-00287671, HAL.
- Laura Angeloni & Bernard Cornet, 2005. "Existence Of Financial Equilibria In A Multiperiod Stochastic Economy," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 200506, University of Kansas, Department of Economics, revised Feb 2005.
- Jelena Kabulova & Jelena Stankevičienė, 2020. "Valuation of FinTech Innovation Based on Patent Applications," Sustainability, MDPI, vol. 12(23), pages 1-15, December.
- 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.
- Bernard Cornet & Abhishek Ranjan, 2013. "Equilibria in a multi-period economy," Post-Print halshs-00801402, HAL.
- Bernard Cornet & Abhishek Ranjan, 2013. "Equilibria in a multi-period economy," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00801402, HAL.
- 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.
- 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.
- Hervé Crès & Tobias Markeprand & Mich Tvede, 2016. "Incomplete financial markets and jumps in asset prices," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 62(1), pages 201-219, June.
- Felix Kubler & Karl Schmedders, 2003.
"Approximate Versus Exact Equilibria,"
Discussion Papers
1382, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- K.Schmedders & F.Kubler, 2004. "Approximate Versus Exact Equilibria," Computing in Economics and Finance 2004 46, Society for Computational Economics.
Cited by:
- 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.
- 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:
- 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 EconomÃa.
- 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.
- Bennett, John & Chioveanu, Ioana, 2016. "Pro-Consumer Price Ceilings under Regulatory Uncertainty," MPRA Paper 72161, University Library of Munich, Germany.
- Stanley Reynolds & David Rietzke, 2015.
"Price caps, oligopoly, and entry,"
Working Papers
80998880, Lancaster University Management School, Economics Department.
- Stanley S. Reynolds & David Rietzke, 2018. "Price caps, oligopoly, and entry," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 66(3), pages 707-745, October.
- 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:
- Hanno Lustig, 2001.
"The Market Price of Aggregate Risk and the Wealth Distribution,"
Finance
0111004, University Library of Munich, Germany, revised 16 Nov 2001.
- Hanno Lustig, 2004. "The Market Price of Aggregate Risk and the Wealth Distribution," UCLA Economics Online Papers 299, UCLA Department of Economics.
- Hanno Lustig & Yi-Li Chien, 2005. "The Market Price of Aggregate Risk and the Wealth Distribution," NBER Working Papers 11132, National Bureau of Economic Research, Inc.
- YiLi Chien & Hanno Lustig, 2010. "The Market Price of Aggregate Risk and the Wealth Distribution," The Review of Financial Studies, Society for Financial Studies, vol. 23(4), pages 1596-1650, April.
- Adrian Peralta-Alva & Manuel S. Santos, 2012.
"Analysis of numerical errors,"
Working Papers
2012-062, Federal Reserve Bank of St. Louis.
- Manuel S. Santos & Adrian Peralta-Alva, 2012. "Analysis of Numerical Errors," Working Papers 2012-6, University of Miami, Department of Economics.
- 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.
- Gaël Giraud, 2010.
"Financial crashes versus liquidity trap : the dilemma of monetary policy,"
Post-Print
halshs-00657047, HAL.
- Gaël Giraud, 2010. "Financial crashes versus liquidity trap : the dilemma of monetary policy," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00657047, HAL.
- Gaël Giraud, 2010. "Financial Crashes versus liquidity trap: the dilemma of monetary policy," Documents de travail du Centre d'Economie de la Sorbonne 10014, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- 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.
- 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.
- Miguel A. Iraola & Juan Pablo Torres-Martínez, 2012. "Liquidity Contractions and Prepayment Risk on Collateralized Asset Markets," Working Papers wp364, University of Chile, Department of Economics.
- 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.
- Charles Ka Yui Leung, 2004. "Macroeconomics and Housing: A Review of the Literature," Discussion Papers 00004, Chinese University of Hong Kong, Department of Economics.
- Leung, Charles, 2004. "Macroeconomics and housing: a review of the literature," Journal of Housing Economics, Elsevier, vol. 13(4), pages 249-267, December.
- Hanno Lustig, 2001.
"The Market Price of Aggregate Risk and the Wealth Distribution,"
Finance
0111004, University Library of Munich, Germany, revised 16 Nov 2001.
- 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.
- 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.
- 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).
Cited by:
- 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.
- Adrian Buss & Bernard Dumas, 2019. "The Dynamic Properties of Financial‐Market Equilibrium with Trading Fees," Journal of Finance, American Finance Association, vol. 74(2), pages 795-844, April.
- Adrian Buss & Bernard Dumas, 2013. "The Dynamic Properties of Financial-Market Equilibrium with Trading Fees," NBER Working Papers 19155, National Bureau of Economic Research, Inc.
- Dumas, Bernard & Buss, Adrian, 2013. "The Dynamic Properties of Financial-Market Equilibrium with Trading Fees," CEPR Discussion Papers 9524, C.E.P.R. Discussion Papers.
- 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.
- 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.
- 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.
- 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).
- V. Filipe MARTINS-DA-ROCHA & YIANNIS VAILAKIS, 2008. "Endogenous Transaction Costs," Discussion Papers 0810, University of Exeter, Department of Economics.
- 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).
- 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.
- 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.
- 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.
- Li, Peixuan & Dang, Chuangyin & Herings, P.J.J., 2023. "Computing Perfect Stationary Equilibria in Stochastic Games," Discussion Paper 2023-006, Tilburg University, Center for Economic Research.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
Cited by:
- 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.
- 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.
- Timothy Cogley & Thomas J. Sargent & Viktor Tsyrennikov, 2014. "Wealth Dynamics in a Bond Economy with Heterogeneous Beliefs," Economic Journal, Royal Economic Society, vol. 124(575), pages 1-30, March.
- Viktor Tsyrennikov & Thomas Sargent & Timothy Cogley, 2012. "Wealth Dynamics in a Bond Economy with Heterogeneous Beliefs," 2012 Meeting Papers 1079, Society for Economic Dynamics.
- Hanno Lustig, 2001.
"The Market Price of Aggregate Risk and the Wealth Distribution,"
Finance
0111004, University Library of Munich, Germany, revised 16 Nov 2001.
- Hanno Lustig, 2004. "The Market Price of Aggregate Risk and the Wealth Distribution," UCLA Economics Online Papers 299, UCLA Department of Economics.
- Hanno Lustig & Yi-Li Chien, 2005. "The Market Price of Aggregate Risk and the Wealth Distribution," NBER Working Papers 11132, National Bureau of Economic Research, Inc.
- YiLi Chien & Hanno Lustig, 2010. "The Market Price of Aggregate Risk and the Wealth Distribution," The Review of Financial Studies, Society for Financial Studies, vol. 23(4), pages 1596-1650, April.
- Matthew Hoelle, 2014. "Quantitative Easing under Incomplete Markets: Optimality Conditions for Stationary Policy," Purdue University Economics Working Papers 1277, Purdue University, Department of Economics.
- 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.
- Ferreira, Thiago Revil T. & Torres-Martínez, Juan Pablo, 2009. "The impossibility of effective enforcement mechanisms in collateralized credit markets," MPRA Paper 13781, University Library of Munich, Germany.
- Elenev, Vadim & Landvoigt, Tim & Van Nieuwerburgh, Stijn, 2016.
"Phasing out the GSEs,"
Journal of Monetary Economics, Elsevier, vol. 81(C), pages 111-132.
- Vadim Elenev & Tim Landvoigt & Stijn Van Nieuwerburgh, 2015. "Phasing Out the GSEs," NBER Working Papers 21626, National Bureau of Economic Research, Inc.
- Tim Landvoigt & Stijn Van Nieuwerburgh & Vadim Elenev, 2015. "Phasing out the GSEs," 2015 Meeting Papers 977, Society for Economic Dynamics.
- 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.
- Abdelkrim Seghir & Juan Pablo Torres-Martinez, 2006. "Wealth transfers and the role of collateral when lifetimes are uncertain," Textos para discussão 527, Department of Economics PUC-Rio (Brazil).
- 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).
- Damián Pierri & Kevin Reffett, 2021. "Memory, Multiple Equilibria and Emerging Market Crises," Working Papers 154, Universidad de San Andres, Departamento de Economia, revised Aug 2021.
- Pierri, Damian Rene & Reffett, Kevin, 2021. "Memory, multiple equilibria and emerging market crises," UC3M Working papers. Economics 32871, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Sonja Brangewitz & Gaël Giraud, 2012.
"Learning by Trading in Infinite Horizon Strategic Market Games with Default,"
Post-Print
halshs-00747899, HAL.
- Sonja Brangewitz & Gaël Giraud, 2012. "Learning by Trading in Infinite Horizon Strategic Market Games with Default," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00747899, HAL.
- Sonja Brangewitz & Gaël Giraud, 2012. "Learning by Trading in Infinite Horizon Strategic Market Games with Default," Documents de travail du Centre d'Economie de la Sorbonne 12062, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Sonja Brangewitz & Gaël Giraud, 2012. "Learning by Trading in Infinite Horizon Strategic Market Games with Default," Documents de travail du Centre d'Economie de la Sorbonne 12062r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Oct 2013.
- 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.
- Dumas, Bernard & Lyasoff, Andrew, 2009.
"Incomplete-Market Equilibria Solved Recursively on an Event Tree,"
CEPR Discussion Papers
7138, C.E.P.R. Discussion Papers.
- Bernard DUMAS & Andrew LYASOFF, 2008. "Incomplete-Market Equilibria Solved Recursively on an Event Tree," Swiss Finance Institute Research Paper Series 08-49, Swiss Finance Institute.
- Bernard Dumas & Andrew Lyasoff, 2008. "Incomplete-Market Equilibria Solved Recursively on an Event Tree," NBER Working Papers 14629, National Bureau of Economic Research, Inc.
- Bernard Dumas & Andrew Lyasoff, 2012. "Incomplete-Market Equilibria Solved Recursively on an Event Tree," Journal of Finance, American Finance Association, vol. 67(5), pages 1897-1941, October.
- Victor Filipe Martins da Rocha & Yiannis Vailakis, 2012.
"Endogenous debt constraints in collateralized economies with default penalties,"
Post-Print
hal-00664551, HAL.
- Martins-da-Rocha, V. Filipe & Vailakis, Yiannis, 2012. "Endogenous debt constraints in collateralized economies with default penalties," Journal of Mathematical Economics, Elsevier, vol. 48(1), pages 1-13.
- Martins-da-Rocha, Victor Filipe & Vailakis, Yiannis, 2011. "Endogenous debt constraints in collateralized economies with default penalties," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 719, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Raouf Boucekkine & Kazuo Nishimura & Alain Venditti, 2015.
"Introduction to Financial Frictions and Debt Constraints,"
AMSE Working Papers
1825, Aix-Marseille School of Economics, France.
- Boucekkine, Raouf & Nishimura, Kazuo & Venditti, Alain, 2015. "Introduction to financial frictions and debt constraints," Journal of Mathematical Economics, Elsevier, vol. 61(C), pages 271-275.
- Raouf Boucekkine & Kazuo Nishimura & Alain Venditti, 2015. "Introduction to financial frictions and debt constraints," Post-Print hal-01457335, HAL.
- 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.
- 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.
- Michael Grill & Karl Schmedders & Felix Kubler & Johannes Brumm, 2011. "Collateral Requirements and Asset Prices," 2011 Meeting Papers 737, Society for Economic Dynamics.
- Brumm, Johannes & Grill, Michael & Kubler, Felix & Schmedders, Karl, 2013. "Collateral requirements and asset prices," Discussion Papers 44/2013, Deutsche Bundesbank.
- 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.
- Blume, Lawrence E. & Cogley, Timothy & Easley, David A. & Sargent, Thomas J. & Tsyrennikov, Viktor, 2018. "A case for incomplete markets," Journal of Economic Theory, Elsevier, vol. 178(C), pages 191-221.
- Viktor Tsyrennikov & Timothy Cogley & Thomas Sargent & David Easley & Lawrence Blume, 2014. "The Case for Incomplete Markets," 2014 Meeting Papers 1098, Society for Economic Dynamics.
- 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.
- Katrin Rabitsch & Serhiy Stepanchuk & Viktor Tsyrennikov, 2014. "International Portfolios: A Comparison of Solution Methods," Department of Economics Working Papers wuwp159, Vienna University of Economics and Business, Department of Economics.
- Viktor Tsyrennikov & Serhiy Stepanchuk & Katrin Rabitsch, 2013. "International Portfolios: A Comparison of Solution Methods," 2013 Meeting Papers 1146, Society for Economic Dynamics.
- Rabitsch, Katrin & Stepanchuk, Serhiy & Tsyrennikov, Viktor, 2014. "International Portfolios: A Comparison of Solution Methods," Department of Economics Working Paper Series 159, WU Vienna University of Economics and Business.
- Brumm, Johannes & Grill, Michael & Kubler, Felix & Schmedders, Karl, 2015.
"Margin regulation and volatility,"
Journal of Monetary Economics, Elsevier, vol. 75(C), pages 54-68.
- Johannes Brumm & Michael Grill & Felix Kubler & Karl Schmedders, 2013. "Margin Regulation and Volatility," Swiss Finance Institute Research Paper Series 13-59, Swiss Finance Institute.
- Brumm, Johannes & Kubler, Felix & Grill, Michael & Schmedders, Karl, 2014. "Margin regulation and volatility," Working Paper Series 1698, European Central Bank.
- 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).
- Aloisio Araujo & Mário Páscoa & Juan Pablo Torres-Martínez, 2008. "Long-lived Collateralized Assets and Bubbles," Working Papers wp284, University of Chile, Department of Economics.
- Araujo, Aloisio & Páscoa, Mário R. & Torres-Martínez, Juan Pablo, 2011. "Long-lived collateralized assets and bubbles," Journal of Mathematical Economics, Elsevier, vol. 47(3), pages 260-271.
- Aloisio Araujo & Mário R. Pascoa & Juan Pablo Torres-Martínez, 2010. "Long-lived collateralized assets and bubbles," Working Papers wp314, University of Chile, Department of Economics.
- Adrian Peralta-Alva & Manuel S. Santos, 2012.
"Analysis of numerical errors,"
Working Papers
2012-062, Federal Reserve Bank of St. Louis.
- Manuel S. Santos & Adrian Peralta-Alva, 2012. "Analysis of Numerical Errors," Working Papers 2012-6, University of Miami, Department of Economics.
- 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.
- 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.
- 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.
- 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.
- Koeniger, Winfried & Hintermaier, Thomas, 2015. "Household Debt and Crises of Confidence," CEPR Discussion Papers 10865, C.E.P.R. Discussion Papers.
- Hintermaier, Thomas & Koeniger, Winfried, 2015. "Household debt and crises of confidence," CFS Working Paper Series 519, Center for Financial Studies (CFS).
- Hintermaier, Thomas & Koeniger, Winfried, 2015. "Household Debt and Crises of Confidence," Bonn Econ Discussion Papers 06/2015, University of Bonn, Bonn Graduate School of Economics (BGSE).
- Hintermaier, Thomas & Koeniger, Winfried, 2015. "Household Debt and Crises of Confidence," IZA Discussion Papers 9409, Institute of Labor Economics (IZA).
- Thomas Hintermaier & Winfried Koeniger, 2018. "Household debt and crises of confidence," Quantitative Economics, Econometric Society, vol. 9(3), pages 1489-1542, November.
- 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.
- Cuong Le Van & Ngoc-Sang Pham, 2016. "Intertemporal equilibrium with financial asset and physical capital," PSE-Ecole d'économie de Paris (Postprint) hal-01302382, HAL.
- Cuong Le Van & Ngoc-Sang Pham, 2014. "Intertemporal equilibrium with financial asset and physical capital," Documents de travail du Centre d'Economie de la Sorbonne 14085, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Cuong Le Van & Ngoc-Sang Pham, 2014. "Intertemporal equilibrium with financial asset and physical capital," Post-Print halshs-01147470, HAL.
- Cuong Le Van & Ngoc-Sang Pham, 2014. "Intertemporal equilibrium with financial asset and physical capital," Documents de travail du Centre d'Economie de la Sorbonne 14085r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Feb 2015.
- Cuong Le Van & Ngoc-Sang Pham, 2014. "Intertemporal equilibrium with financial asset and physical capital," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01147470, HAL.
- Cuong Le Van & Ngoc-Sang Pham, 2016. "Intertemporal equilibrium with financial asset and physical capital," Post-Print hal-01302382, HAL.
- Cuong Le Van & Ngoc-Sang Pham, 2016. "Intertemporal equilibrium with financial asset and physical capital," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01302382, HAL.
- Cuong Le Van & Ngoc-Sang Pham, 2015. "Intertemporal equilibrium with financial asset and physical capital," Documents de recherche 15-01, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
- 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.
- GOTTARDI, Piero & KUBLER, Felix, 2012.
"Dynamic Competitive Economies with Complete Markets and Collateral Constraints,"
Economics Working Papers
ECO2012/17, European University Institute.
- Felix Kubler & Piero Gottardi, 2012. "Dynamic Competitive Economies with Complete Markets and Collateral Constraints," 2012 Meeting Papers 467, Society for Economic Dynamics.
- Piero Gottardi & Felix Kubler, 2015. "Dynamic Competitive Economies with Complete Markets and Collateral Constraints," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 82(3), pages 1119-1153.
- Felipe Martins-da-Rocha & Yiannis Vailakis, 2008.
"Collateral, default penalties and almost finite-time solvency,"
Levine's Working Paper Archive
122247000000002049, David K. Levine.
- Martins-da-Rocha, Victor Filipe & Vailakis, Yiannis, 2008. "Collateral, default penalties and almost finite-time solvency," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 670, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- 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.
- Zhigang Feng & Jianjun Miao & Adrian Peralta-Alva & Manual Santos, 2009. "Numerical Simulation of Nonoptimal Dynamic Equilibrium Models," Working Papers 0912, University of Miami, Department of Economics.
- Zhigang Feng & Manuel Santos & Adrian Peralta-Alva & Jianjun Miao, 2009. "Numerical Simulation of Nonoptimal Dynamic Equilibrium Models," 2009 Meeting Papers 541, Society for Economic Dynamics.
- Zhigang Feng & Jianjun Miao & Adrian Peralta‐Alva & Manuel S. Santos, 2014. "Numerical Simulation Of Nonoptimal Dynamic Equilibrium Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 55(1), pages 83-110, February.
- Zhigang Feng & Jianjun Miao & Adrian Peralta-Alva & Manuel S. Santos, "undated". "Numerical Simulation of Nonoptimal Dynamic Equilibrium Models," Boston University - Department of Economics - Working Papers Series wp2009-013, Boston University - Department of Economics.
- 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.
- Bosi, Stefano & Van, Cuong Le & Pham, Ngoc-Sang, 2018. "Intertemporal equilibrium with heterogeneous agents, endogenous dividends and collateral constraints," Journal of Mathematical Economics, Elsevier, vol. 76(C), pages 1-20.
- Stefano Bosi & Cuong Le Van & Ngoc-Sang Pham, 2018. "Intertemporal equilibrium with heterogeneous agents, endogenous dividends and collateral constraints," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-03260777, HAL.
- Stefano Bosi & Cuong Le Van & Ngoc-Sang Pham, 2018. "Intertemporal equilibrium with heterogeneous agents, endogenous dividends and collateral constraints," Post-Print halshs-01223969, HAL.
- Stefano Bosi & Cuong Le Van & Ngoc-Sang Pham, 2018. "Intertemporal equilibrium with heterogeneous agents, endogenous dividends and collateral constraints," Post-Print halshs-03260777, HAL.
- 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 15067rr, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Mar 2018.
- Stefano Bosi & Cuong Le Van & Ngoc-Sang Pham, 2018. "Intertemporal equilibrium with heterogeneous agents, endogenous dividends and collateral constraints," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01223969, HAL.
- Pham, Ngoc-Sang & Le Van, Cuong & Bosi, Stefano, 2018. "Intertemporal equilibrium with heterogeneous agents, endogenous dividends and collateral constraints," MPRA Paper 84905, University Library of Munich, Germany, revised 11 Mar 2018.
- Stefano Bosi & Cuong Le Van & Ngoc-Sang Pham, 2018. "Intertemporal equilibrium with heterogeneous agents, endogenous dividends and collateral constraints," PSE-Ecole d'économie de Paris (Postprint) halshs-03260777, HAL.
- Aryan Eftekhari & Simon Scheidegger, 2022. "High-Dimensional Dynamic Stochastic Model Representation," Papers 2202.06555, arXiv.org.
- 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.
- José Fajardo, 2008.
"Statistical Arbitrage with Default and Collateral,"
Working Papers
w200808, Banco de Portugal, Economics and Research Department.
- Fajardo, José & Lacerda, Ana, 2010. "Statistical arbitrage with default and collateral," Economics Letters, Elsevier, vol. 108(1), pages 81-84, July.
- Gaël Giraud, 2010.
"Financial crashes versus liquidity trap : the dilemma of monetary policy,"
Post-Print
halshs-00657047, HAL.
- Gaël Giraud, 2010. "Financial crashes versus liquidity trap : the dilemma of monetary policy," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00657047, HAL.
- Gaël Giraud, 2010. "Financial Crashes versus liquidity trap: the dilemma of monetary policy," Documents de travail du Centre d'Economie de la Sorbonne 10014, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Kubler, Felix & Scheidegger, Simon, 2023.
"Uniformly self-justified equilibria,"
Journal of Economic Theory, Elsevier, vol. 212(C).
- Felix Kubler & Simon Scheidegger, 2021. "Uniformly Self-Justified Equilibria," Papers 2112.14054, arXiv.org.
- Vadim Elenev & Tim Landvoigt & Stijn Van Nieuwerburgh, 2021.
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Econometrica, Econometric Society, vol. 89(3), pages 1361-1418, May.
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"Debt-Constraints or Incomplete Markets? A Decomposition of the Wealth and Consumption Inequality in the U.S,"
Macroeconomics
0404004, University Library of Munich, Germany.
- Juan-Carlos Cordoba, 2004. "Debt-Constraints or Incomplete Markets? A Decomposition of the Wealth and Consumption Inequality in the U.S," Econometric Society 2004 Latin American Meetings 335, Econometric Society.
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"Income Mobility and Welfare,"
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- Mr. Tom Krebs & Mr. Pravin Krishna & Mr. William Maloney, 2013. "Income Mobility and Welfare," IMF Working Papers 2013/024, International Monetary Fund.
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696, Board of Governors of the Federal Reserve System (U.S.).
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- Kim, Jinill & Kim, Sunghyun Henry & Levin, Andrew, 2003. "Patience, persistence, and welfare costs of incomplete markets in open economies," Journal of International Economics, Elsevier, vol. 61(2), pages 385-396, December.
- GOTTARDI, Piero & KUBLER, Felix, 2012.
"Dynamic Competitive Economies with Complete Markets and Collateral Constraints,"
Economics Working Papers
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- Felix Kubler & Piero Gottardi, 2012. "Dynamic Competitive Economies with Complete Markets and Collateral Constraints," 2012 Meeting Papers 467, Society for Economic Dynamics.
- Piero Gottardi & Felix Kubler, 2015. "Dynamic Competitive Economies with Complete Markets and Collateral Constraints," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 82(3), pages 1119-1153.
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- Krebs, Tom & Krishna, Pravin & Maloney, William F., 2012.
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- Tom Krebs & Pravin Krishna & William F. Maloney, 2013. "Income Risk, Income Mobility and Welfare," Documentos CEDE 10495, Universidad de los Andes, Facultad de Economía, CEDE.
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Journal of Monetary Economics, Elsevier, vol. 55(3), pages 501-525, April.
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- Viktor Tsyrennikov & Serhiy Stepanchuk & Katrin Rabitsch, 2013. "International Portfolios: A Comparison of Solution Methods," 2013 Meeting Papers 1146, Society for Economic Dynamics.
- Rabitsch, Katrin & Stepanchuk, Serhiy & Tsyrennikov, Viktor, 2014. "International Portfolios: A Comparison of Solution Methods," Department of Economics Working Paper Series 159, WU Vienna University of Economics and Business.
- GOTTARDI, Piero & KUBLER, Felix, 2012.
"Dynamic Competitive Economies with Complete Markets and Collateral Constraints,"
Economics Working Papers
ECO2012/17, European University Institute.
- Felix Kubler & Piero Gottardi, 2012. "Dynamic Competitive Economies with Complete Markets and Collateral Constraints," 2012 Meeting Papers 467, Society for Economic Dynamics.
- Piero Gottardi & Felix Kubler, 2015. "Dynamic Competitive Economies with Complete Markets and Collateral Constraints," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 82(3), pages 1119-1153.
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- David N. DeJong & Emilio Espino, 2007. "The Cyclical Behavior of Equity Turnover," Working Paper 294, Department of Economics, University of Pittsburgh, revised Jun 2010.
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Theoretical Economics, Econometric Society, vol. 2(2), June.
- Karl Schmedders, 2005. "Two-Fund Separation in Dynamic General Equilibrium," Discussion Papers 1398, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Karl Schmedders, 2005. "Two-Fund Separation in Dynamic General Equilibrium," 2005 Meeting Papers 148, Society for Economic Dynamics.
- Pablo F Beker & Emilio Espino, 2007.
"The Dynamics of Efficient Asset Trading with Heterogeneous Beliefs,"
Levine's Bibliography
122247000000001715, UCLA Department of Economics.
- Beker, Pablo F. & Espino, Emilio, 2011. "The dynamics of efficient asset trading with heterogeneous beliefs," Journal of Economic Theory, Elsevier, vol. 146(1), pages 189-229, January.
- 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.
- Peter Bossaerts & William R. Zame, 2005. "Asset Trading Volume in Infinite-Horizon Economies with Dynamically Complete Markets and Heterogeneous Agents: Comment," UCLA Economics Working Papers 841, UCLA Department of Economics.
- 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.
- 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.
- Manjira Datta & Leonard J. Mirman & Olivier F. Morand & Kevin L. Reffett, 2005. "Markovian Equilibrium in Infinite Horizon Economies with Incomplete Markets and Public Policy," Tinbergen Institute Discussion Papers 05-013/2, Tinbergen Institute.
- 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.
- 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.
- 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.
- 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.
- Emilio Espino, 2006.
"Equilibrium Portfolios in the Neoclassical Growth Model,"
2006 Meeting Papers
92, Society for Economic Dynamics.
- Espino, Emilio, 2007. "Equilibrium portfolios in the neoclassical growth model," Journal of Economic Theory, Elsevier, vol. 137(1), pages 673-687, November.
- Emilio Espino, 2005. "Equilibrium Portfolios in the Neoclassical Growth Model," Working Papers 87, Universidad de San Andres, Departamento de Economia, revised Dec 2005.
- 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.
- Elena Asparouhova & Peter Bossaerts & Nilanjan Roy & William Zame, 2016. "“Lucas” in the Laboratory," Journal of Finance, American Finance Association, vol. 71(6), pages 2727-2780, December.
- Elena Asparouhova & Peter Bossaerts & Nilanjan Roy & William Zame, 2013. "'Lucas' In The Laboratory," NBER Working Papers 19068, National Bureau of Economic Research, Inc.
- Eric Aldrich, 2012. "Trading Volume in General Equilibrium with Complete Markets," 2012 Meeting Papers 36, Society for Economic Dynamics.
- Chiaki Hara, 2009. "Effectively Complete Asset Markets with Multiple Goods and over Multiple Periods," KIER Working Papers 685, Kyoto University, Institute of Economic Research.
- 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.
- Karl Schmedders & Felix Kubler, 2012. "Life-Cycle Portfolio Choice, the Wealth Distribution and Asset Prices," 2012 Meeting Papers 536, Society for Economic Dynamics.
- 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.
- 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.
- 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.
- 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.
- Karl Schmedders, 2000.
"Monopolistic Security Design in Finance Economies,"
Discussion Papers
1288, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- 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.
- Karl Schmedders, 2000. "Monopolistic Security Design In Finance Economies," Computing in Economics and Finance 2000 129, Society for Computational Economics.
Cited by:
- Chiaki Hara, 2010. "Pareto Improvement and Agenda Control of Sequential Financial Innovations," KIER Working Papers 748, Kyoto University, Institute of Economic Research.
- Hara, Chiaki, 2011. "Pareto improvement and agenda control of sequential financial innovations," Journal of Mathematical Economics, Elsevier, vol. 47(3), pages 336-345.
- 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.
- Kenneth L. Judd & Sy-Ming Guu, 2001. "Asymptotic Methods for Asset Market Equilibrium Analysis," NBER Working Papers 8135, National Bureau of Economic Research, Inc.
- 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.
- Kenneth Judd & Karl Schmedders & Sevin Yeltekin, "undated".
"Optimal Rules for Patent Races,"
GSIA Working Papers
2006-E37, Carnegie Mellon University, Tepper School of Business.
- 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.
- Kenneth Judd & Karl Schmedders, 2002. "Optimal Rules for Patent Races," Discussion Papers 1343, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
Cited by:
- 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.
- Fershtman, Chaim & Markovich, Sarit, 2010. "Patents, imitation and licensing in an asymmetric dynamic R&D race," International Journal of Industrial Organization, Elsevier, vol. 28(2), pages 113-126, March.
- 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.
- Gregor Schwerhoff & Ottmar Edenhofer & Marc Fleurbaey, 2020. "Taxation Of Economic Rents," Journal of Economic Surveys, Wiley Blackwell, vol. 34(2), pages 398-423, April.
- 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.
- 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.
- 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.
- 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.
- Weintraub, Gabriel Y. & Benkard, C. Lanier & Van Roy, Benjamin, 2007. "Computational Methods for Oblivious Equilibrium," Research Papers 1969, Stanford University, Graduate School of Business.
- 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.
- 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.
- Brüggemann, Julia & Meub, Lukas, 2017. "Experimental evidence on the effects of innovation contests," Information Economics and Policy, Elsevier, vol. 39(C), pages 72-83.
- 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.
- 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.
- 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.
- 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.
- 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
- 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.
- Brumm, Johannes & Grill, Michael & Kubler, Felix & Schmedders, Karl, 2018. "Re-use of collateral: leverage, volatility, and welfare," Working Paper Series 2218, European Central Bank.
- Michael Grill & Karl Schmedders & Felix Kubler & Johannes Brumm, 2017. "Re-use of Collateral: Leverage, Volatility, and Welfare," 2017 Meeting Papers 697, Society for Economic Dynamics.
- 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.
- Johannes Brumm & Michael Grill & Felix Kubler & Karl Schmedders, 2022. "Code and data files for "Re-use of collateral: Leverage, volatility, and welfare"," Computer Codes 20-480, Review of Economic Dynamics.
- 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:
- 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).
- 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).
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Philipp Renner & Karl Schmedders, 2012. "A Polynomial Optimization Approach to Principal-Agent Problems," Swiss Finance Institute Research Paper Series 12-35, Swiss Finance Institute.
- 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.
- 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.
- Michael Grill & Karl Schmedders & Felix Kubler & Johannes Brumm, 2011. "Collateral Requirements and Asset Prices," 2011 Meeting Papers 737, Society for Economic Dynamics.
- Brumm, Johannes & Grill, Michael & Kubler, Felix & Schmedders, Karl, 2013. "Collateral requirements and asset prices," Discussion Papers 44/2013, Deutsche Bundesbank.
- 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.
- Johannes Brumm & Michael Grill & Felix Kubler & Karl Schmedders, 2013. "Margin Regulation and Volatility," Swiss Finance Institute Research Paper Series 13-59, Swiss Finance Institute.
- Brumm, Johannes & Kubler, Felix & Grill, Michael & Schmedders, Karl, 2014. "Margin regulation and volatility," Working Paper Series 1698, European Central Bank.
- 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:
- Grzybowski, Lukasz, 2005. "Essays on Economics of Network Industries: Mobile Telephony," Munich Dissertations in Economics 5561, University of Munich, Department of Economics.
- 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.
- Ron Borkovsky & Paul Ellickson & Brett Gordon & Victor Aguirregabiria & Pedro Gardete & Paul Grieco & Todd Gureckis & Teck-Hua Ho & Laurent Mathevet & Andrew Sweeting, 2015. "Multiplicity of equilibria and information structures in empirical games: challenges and prospects," Marketing Letters, Springer, vol. 26(2), pages 115-125, June.
- 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.
- Fedor Iskhakov & John Rust & Bertel Schjerning, 2016. "Recursive Lexicographical Search: Finding All Markov Perfect Equilibria of Finite State Directional Dynamic Games," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 83(2), pages 658-703.
- Cai,Yongyang & Selod,Harris & Steinbuks,Jevgenijs, 2015. "Urbanization and property rights," Policy Research Working Paper Series 7486, The World Bank.
- 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.
- Kenneth Judd & Karl Schmedders, 2002. "Optimal Rules for Patent Races," Discussion Papers 1343, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Kenneth Judd & Karl Schmedders & Sevin Yeltekin, "undated". "Optimal Rules for Patent Races," GSIA Working Papers 2006-E37, Carnegie Mellon University, Tepper School of Business.
- 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:
- 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.
- 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.
- 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.
- Ricardo J Caballero & Alp Simsek, 2020. "A Risk-Centric Model of Demand Recessions and Speculation," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 135(3), pages 1493-1566.
- ÅžimÅŸek, Alp & Caballero, Ricardo, 2019. "A Risk-centric Model of Demand Recessions and Speculation," CEPR Discussion Papers 13815, C.E.P.R. Discussion Papers.
- Johan Walden & Christian Heyerdahl-Larsen, 2015. "Efficiency and Distortions in a Production Economy with Heterogeneous Beliefs," 2015 Meeting Papers 124, Society for Economic Dynamics.
- 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.
- Wei Xiong & Alp Simsek & Markus Brunnermeier, 2014. "A Welfare Criterion for Models with Distorted Beliefs," 2014 Meeting Papers 1418, Society for Economic Dynamics.
- Markus K. Brunnermeier & Alp Simsek & Wei Xiong, 2014. "A Welfare Criterion for Models with Distorted Beliefs," NBER Working Papers 20691, National Bureau of Economic Research, Inc.
- 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.
- Paula Garda & Volker Ziemann, 2014. "Economic Policies and Microeconomic Stability: A Literature Review and Some Empirics," OECD Economics Department Working Papers 1115, OECD Publishing.
- ÅžimÅŸek, Alp, 2021. "The Macroeconomics of Financial Speculation," CEPR Discussion Papers 15733, C.E.P.R. Discussion Papers.
- 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.
- 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.
- Kenneth L. JUDD & Felix KUBLER & Karl SCHMEDDERS, 2008. "Bond Ladders and Optimal Portfolios," Swiss Finance Institute Research Paper Series 08-32, Swiss Finance Institute.
- 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:
- 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.
- Toda, Alexis Akira, 2017.
"Huggett economies with multiple stationary equilibria,"
Journal of Economic Dynamics and Control, Elsevier, vol. 84(C), pages 77-90.
- Toda, Alexis Akira, 2017. "Huggett Economies with Multiple Stationary Equilibria," MPRA Paper 78984, University Library of Munich, Germany.
- Orrego, Fabrizio, 2010. "Demography, stock prices and interest rates: The Easterlin hypothesis revisited," Working Papers 2010-012, Banco Central de Reserva del Perú.
- 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.
- 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.
- 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:
- 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.
- Andrzej Kocięcki & Marcin Kolasa, 2023. "A solution to the global identification problem in DSGE models," KAE Working Papers 2023-083, Warsaw School of Economics, Collegium of Economic Analysis.
- Kocięcki, Andrzej & Kolasa, Marcin, 2023. "A solution to the global identification problem in DSGE models," Journal of Econometrics, Elsevier, vol. 236(2).
- Zhigang Feng, 2015. "Time‐consistent optimal fiscal policy over the business cycle," Quantitative Economics, Econometric Society, vol. 6(1), pages 189-221, March.
- Roberto Robatto, 2019.
"Online Appendix to "Systemic Banking Panics, Liquidity Risk, and Monetary Policy","
Online Appendices
18-235, Review of Economic Dynamics.
- Roberto Robatto, 2019. "Systemic Banking Panics, Liquidity Risk, and Monetary Policy," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 34, pages 20-42, October.
- 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.
- Toda, Alexis Akira, 2019.
"Wealth distribution with random discount factors,"
Journal of Monetary Economics, Elsevier, vol. 104(C), pages 101-113.
- Toda, Alexis Akira, 2017. "Wealth Distribution with Random Discount Factors," University of California at San Diego, Economics Working Paper Series qt5n29f260, Department of Economics, UC San Diego.
- Felix Kubler & Harold L. Cole, 2011.
"Recursive Contracts, Lotteries and Weakly Concave Pareto Sets,"
2011 Meeting Papers
59, Society for Economic Dynamics.
- Harold L. Cole & Felix Kubler, 2011. "Recursive Contracts, Lotteries and Weakly Concave Pareto Sets," NBER Working Papers 17064, National Bureau of Economic Research, Inc.
- Harold Cole & Felix Kubler, 2010. "Recursive Contracts, Lotteries and Weakly Concave Pareto Sets," PIER Working Paper Archive 10-038, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Harold Cole & Felix Kubler, 2012. "Recursive Contracts, Lotteries and Weakly Concave Pareto Sets," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 15(4), pages 479-500, October.
- 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.
- 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.
- Helena Soares & Tiago Neves Sequeira & Pedro Macias Marques & Orlando Gomes & Alexandra Ferreira-Lopes, 2012. "Social Infrastructure and the Preservation of Physical Capital: Equilibria and Transitional Dynamics," Working Papers Series 2 12-04, ISCTE-IUL, Business Research Unit (BRU-IUL).
- 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.
- Toda, Alexis Akira, 2017.
"Huggett economies with multiple stationary equilibria,"
Journal of Economic Dynamics and Control, Elsevier, vol. 84(C), pages 77-90.
- Toda, Alexis Akira, 2017. "Huggett Economies with Multiple Stationary Equilibria," MPRA Paper 78984, University Library of Munich, Germany.
- 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.
- 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.
- Felix KUBLER & Karl SCHMEDDERS, 2009. "Non-parametric counterfactual analysis in dynamic general equilibrium," Swiss Finance Institute Research Paper Series 09-05, Swiss Finance Institute.
- 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.
- ,, 2007.
"Two-fund separation in dynamic general equilibrium,"
Theoretical Economics, Econometric Society, vol. 2(2), June.
See citations under working paper version above.
- Karl Schmedders, 2005. "Two-Fund Separation in Dynamic General Equilibrium," 2005 Meeting Papers 148, Society for Economic Dynamics.
- Karl Schmedders, 2005. "Two-Fund Separation in Dynamic General Equilibrium," Discussion Papers 1398, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- 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:
- 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.
- Anderlini, Luca & Felli, Leonardo & Postlewaite, Andrew, 2006. "Should courts always enforce what contracting parties write?," LSE Research Online Documents on Economics 4677, London School of Economics and Political Science, LSE Library.
- Anderlini Luca & Felli Leonardo & Postlewaite Andrew, 2011. "Should Courts Always Enforce What Contracting Parties Write?," Review of Law & Economics, De Gruyter, vol. 7(1), pages 14-28, February.
- Anderlini, Luca & Felli, Leonardo & Postlewaite, Andrew, 2003. "Should courts always enforce what contracting parties write?," LSE Research Online Documents on Economics 3593, London School of Economics and Political Science, LSE Library.
- Luca Anderlini & Leonardo Felli & Andrew Postlewaite, 2006. "Should Courts always Enforce what Contracting Parties Write?," CESifo Working Paper Series 1847, CESifo.
- Luca Anderlini & Leonardo Felli & Andrew Postlewaite, 2003. "Should Courts Always Enforce What Contracting Parties Write?," PIER Working Paper Archive 03-026, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
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Levine's Working Paper Archive
2133, David K. Levine.
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- 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.
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- Herings, P.J.J. & Schmedders, K., 2000.
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Research Memorandum
034, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- 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.
- 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.
- 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.
- David Besanko & Ulrich Doraszelski, 2005. "Learning-by-Doing, Organizational Forgetting, and Industry Dynanmics," Computing in Economics and Finance 2005 236, Society for Computational Economics.
- 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.
- 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.
- 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.
- Wei Ma, 2014. "A Simple Method for Computing Equilibria when Asset Markets Are Incomplete," Working Papers 201478, University of Pretoria, Department of Economics.
- 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).
- 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.
- 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.
- 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.
- 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.
Software components
-
Sorry, no citations of software components recorded.
Chapters
- 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.
- Felix Kubler & Karl Schmedders, 2005. "Approximate versus Exact Equilibria in Dynamic Economies," Econometrica, Econometric Society, vol. 73(4), pages 1205-1235, July.
Books
- 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.
Cited by:
- Mayer, Stefan & Klein, Robert & Seiermann, Stephanie, 2013. "A simulation-based approach to price optimisation of the mixed bundling problem with capacity constraints," International Journal of Production Economics, Elsevier, vol. 145(2), pages 584-598.
- 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.
- Alexander Y. Kruger, 2016. "Nonlinear Metric Subregularity," Journal of Optimization Theory and Applications, Springer, vol. 171(3), pages 820-855, December.
- Carlo Andrea Bollino & Philipp Galkin, 2021. "Energy Security and Portfolio Diversification: Conventional and Novel Perspectives," Energies, MDPI, vol. 14(14), pages 1-24, July.
- 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.
- 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.
- 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.
- 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.
- 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.
- Gabriel Frahm, 2018. "An Intersection–Union Test for the Sharpe Ratio," Risks, MDPI, vol. 6(2), pages 1-13, April.
- 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).
- Jürgen Fleiß & Stefan Palan, 2013.
"Of Coordinators and Dictators: A Public Goods Experiment,"
Games, MDPI, vol. 4(4), pages 1-24, October.
- Jürgen Fleiß & Stefan Palan, 2012. "Of Coordinators and Dictators: A Public Goods Experiment," Working Paper Series, Social and Economic Sciences 2012-03, Faculty of Social and Economic Sciences, Karl-Franzens-University Graz.
- Filipe Rodrigues & Agostinho Agra & Lars Magnus Hvattum & Cristina Requejo, 2021. "Weighted proximity search," Journal of Heuristics, Springer, vol. 27(3), pages 459-496, June.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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).
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Tadeusz Sawik, 2018. "Selection of a dynamic supply portfolio under delay and disruption risks," 2018 Papers psa1077, Job Market Papers.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Klein, Robert & Kolb, Johannes, 2015. "Maximizing customer equity subject to capacity constraints," Omega, Elsevier, vol. 55(C), pages 111-125.
- 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.
- 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.