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.
- 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:
- 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.
- Andrei S. Gonçalves, 2021. "Reinvestment Risk and the Equity Term Structure," Journal of Finance, American Finance Association, vol. 76(5), pages 2153-2197, October.
- Mignanego, Fausto & Sbuelz, Alessandro, 2022. "Analytical cyclical price–dividend ratios," Economics Letters, Elsevier, vol. 215(C).
- Alexis Akira Toda, 2018.
"Data-based Automatic Discretization of Nonparametric Distributions,"
Papers
1805.00896, arXiv.org, revised May 2019.
- 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.
- 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 Borovicka & John Stachurski, 2017. "Necessary and Sufficient Conditions for Existence and Uniqueness of Recursive Utilities," Papers 1710.06526, arXiv.org, revised Apr 2019.
- 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.
- 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).
- 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.
- Stefan Nagel & Zhengyang Xu, 2019. "Asset Pricing with Fading Memory," 2019 Meeting Papers 71, Society for Economic Dynamics.
- Stefan Nagel & Zhengyang Xu, 2019. "Asset Pricing with Fading Memory," NBER Working Papers 26255, National Bureau of Economic Research, Inc.
- 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.
- He, Yunhao & Leippold, Markus, 2020. "Short-run risk, business cycle, and the value premium," Journal of Economic Dynamics and Control, Elsevier, vol. 120(C).
- 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.
- 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.
- 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.
- 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.
- Andreas Tryphonides, 2018. "Tilting Approximate Models," Papers 1805.10869, arXiv.org, revised Mar 2024.
- 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).
- Thomas J. Sargent & John Stachurski, 2024. "Dynamic Programming: Finite States," Papers 2401.10473, arXiv.org.
- Andrei, Daniel & Carlin, Bruce I., 2023. "Schumpeterian competition in a Lucas economy," Journal of Economic Theory, Elsevier, vol. 208(C).
- Gu, Shihao & Kelly, Bryan & Xiu, Dacheng, 2021. "Autoencoder asset pricing models," Journal of Econometrics, Elsevier, vol. 222(1), pages 429-450.
- 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.
- Kristof Lommers & Ouns El Harzli & Jack Kim, 2021. "Confronting Machine Learning With Financial Research," Papers 2103.00366, arXiv.org, revised Mar 2021.
- de Groot, Oliver & Richter, Alexander W. & Throckmorton, Nathaniel, 2020.
"Valuation Risk Revalued,"
CEPR Discussion Papers
14588, C.E.P.R. Discussion Papers.
- Oliver de Groot & Alexander W. Richter & Nathaniel A. Throckmorton, 2022. "Valuation risk revalued," Quantitative Economics, Econometric Society, vol. 13(2), pages 723-759, May.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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).
- 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.
- Flint O'Neil, 2020. "Existence and Uniqueness of Recursive Utility Models in $L_p$," Papers 2005.07067, arXiv.org.
- Gareth Lui-Evans & Shalini Mitra, 2019. "Informality and Bank Stability," Working Papers 201903, University of Liverpool, Department of Economics.
- 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.
- Ihor Kendiukhov, 2024. "Present Value of the Future Consumer Goods Multiplier," Papers 2402.01938, arXiv.org.
- Andras Fulop & Jeremy Heng & Junye Li, 2022. "Efficient Likelihood-based Estimation via Annealing for Dynamic Structural Macrofinance Models," Papers 2201.01094, arXiv.org.
- 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.
- 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.).
- 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.
- Aleksy Leeuwenkamp & Wentao Hu, 2023. "New general dependence measures: construction, estimation and application to high-frequency stock returns," Papers 2309.00025, arXiv.org.
- 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.
- Weidong Tian, 2021. "Long Run Law and Entropy," Papers 2111.06238, arXiv.org.
- 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.
- Wenzelburger, Jan, 2020. "Mean-variance analysis and the Modified Market Portfolio," Journal of Economic Dynamics and Control, Elsevier, vol. 111(C).
- Paolo Guasoni & Gu Wang, 2020. "Consumption in incomplete markets," Finance and Stochastics, Springer, vol. 24(2), pages 383-422, April.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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, 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 Borovicka & John Stachurski, 2017. "Necessary and Sufficient Conditions for Existence and Uniqueness of Recursive Utilities," Papers 1710.06526, arXiv.org, revised Apr 2019.
- 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, 2018.
"Necessary and Sufficient Conditions for Existence and Uniqueness of Recursive Utilities,"
2018 Meeting Papers
1275, Society for Economic Dynamics.
- 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.
- 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, 2017.
"Re-Use of Collateral: Leverage, Volatility, and Welfare,"
Swiss Finance Institute Research Paper Series
17-04, Swiss Finance Institute.
- 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, 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.
- 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.
- 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, 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.
- 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.
- Suzuki, Shiba, 2018. "Inequality and asset fire sales," MPRA Paper 90906, University Library of Munich, Germany.
- Chabakauri, Georgy & Han, Brandon Yueyang, 2020. "Collateral constraints and asset prices," Journal of Financial Economics, Elsevier, vol. 138(3), pages 754-776.
- 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.
- 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.
- 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.
- 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.
- 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).
- Michael Grill & Karl Schmedders & Felix Kubler & Johannes Brumm, 2012.
"Margin Requirements and Asset Prices,"
2012 Meeting Papers
533, Society for Economic Dynamics.
Cited by:
- Chabakauri, Georgy, 2015. "Asset pricing with heterogeneous preferences, beliefs, and portfolio constraints," Journal of Monetary Economics, Elsevier, vol. 75(C), pages 21-34.
- 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).
- 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:
- Daniel Krv{s}ek & Dylan Possamai, 2023. "Randomisation with moral hazard: a path to existence of optimal contracts," Papers 2311.13278, arXiv.org.
- 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.
- Philipp Renner & Karl Schmedders, 2017. "Dynamic Principal–Agent Models," Working Papers 203620456, Lancaster University Management School, Economics Department.
- 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.
- Rehbeck, John, 2018. "Note on unique Nash equilibrium in continuous games," Games and Economic Behavior, Elsevier, vol. 110(C), pages 216-225.
- Philipp Renner, 2020. "An augmented first-order approach for incentive problems," Working Papers 297498586, 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.
- 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.
- 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:
- 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).
- 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).
- 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.
- 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.
- 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.
- 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.
- Mikhail Chernov & Magnus Dahlquist & Lars Lochstoer, 2023.
"Pricing Currency Risks,"
Journal of Finance, American Finance Association, vol. 78(2), pages 693-730, April.
- Chernov, Mikhail & Dahlquist, Magnus & Lochstoer, Lars, 2020. "Pricing Currency Risks," CEPR Discussion Papers 15571, C.E.P.R. Discussion Papers.
- Mikhail Chernov & Magnus Dahlquist & Lars A. Lochstoer, 2020. "Pricing Currency Risks," NBER Working Papers 28260, National Bureau of Economic Research, Inc.
- 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.
- 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).
- 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.
- 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.
- 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).
- Platanakis, Emmanouil & Sutcliffe, Charles & Urquhart, Andrew, 2018. "Optimal vs naïve diversification in cryptocurrencies," Economics Letters, Elsevier, vol. 171(C), pages 93-96.
- 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:
- 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, 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.
- 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.
- 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, 2022. "Financial Intermediation, Capital Accumulation, and Crisis Recovery," Post-Print hal-04074448, HAL.
- 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 R. Zame, 2013. "Collateral Equilibrium: A Basic Framework," Levine's Working Paper Archive 786969000000000741, David K. Levine.
- 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.
- Geanakoplos, John & William R. Zame, 2013. "Collateral Equilibrium: A Basic Framework," Cowles Foundation Discussion Papers 1906, Cowles Foundation for Research in Economics, Yale University.
- 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.
- 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, 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.
- 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, 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.
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- 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.
- 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.
- Chabakauri, Georgy & Rytchkov, Oleg, 2021. "Asset pricing with index investing," Journal of Financial Economics, Elsevier, vol. 141(1), pages 195-216.
- Granziera, Eleonora & Kozicki, Sharon, 2015.
"House price dynamics: Fundamentals and expectations,"
Journal of Economic Dynamics and Control, Elsevier, vol. 60(C), pages 152-165.
- Eleonora Granziera & Sharon Kozicki, 2012. "House Price Dynamics: Fundamentals and Expectations," Staff Working Papers 12-12, Bank of Canada.
- 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," 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.
- 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, 2018. "The dynamics of financially constrained arbitrage," LSE Research Online Documents on Economics 84081, 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.
- 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.
- 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.
- Winfried Koeniger & Thomas Hintermaier, 2012. "Collateral constraints and macroeconomic volatility," 2012 Meeting Papers 390, Society for Economic Dynamics.
- 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.
- 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:
- 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.
- 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.
- 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.
- 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, 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.
- 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, 2020. "Intergenerational Redistribution in the Great Recession," Journal of Political Economy, University of Chicago Press, vol. 128(10), pages 3730-3778.
- Stefanie Schraeder, 2016. "Information Processing and Non-Bayesian Learning in Financial Markets," Review of Finance, European Finance Association, vol. 20(2), pages 823-853.
- 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:
- 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, 2015. "Nonparametric Euler Equation Identification andEstimation," Cambridge Working Papers in Economics 1560, 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 61/15, Institute for Fiscal Studies.
- 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.
- 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 & 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.
- 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.
- 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.
- 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.
- Schmidhammer, Christoph & Hille, Vanessa & Wiedemann, Arnd, 2020. "Performance of maturity transformation strategies," Discussion Papers 58/2020, Deutsche Bundesbank.
- 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.
- 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:
- Felix Kubler & Karl Schmedders, 2010. "Tackling Multiplicity of Equilibria with Gröbner Bases," Operations Research, INFORMS, vol. 58(4-part-2), pages 1037-1050, August.
- 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.
- 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.
- 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 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 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.
- Andrew Foerster & Juan Rubio-Ramirez & Dan Waggoner & Ta Zha, 2013. "Perturbation Methods for Markov-Switching DSGE Models," Working Papers 2013-22, FEDEA.
- 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.
- 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.
- Kocięcki, Andrzej & Kolasa, Marcin, 2023.
"A solution to the global identification problem in DSGE models,"
Journal of Econometrics, Elsevier, vol. 236(2).
- 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.
- 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.
- 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).
- Toda, Alexis Akira, 2017.
"Huggett Economies with Multiple Stationary Equilibria,"
MPRA Paper
78984, University Library of Munich, Germany.
- Toda, Alexis Akira, 2017. "Huggett economies with multiple stationary equilibria," Journal of Economic Dynamics and Control, Elsevier, vol. 84(C), pages 77-90.
- 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.
- Orrego, Fabrizio, 2010. "Demography, stock prices and interest rates: The Easterlin hypothesis revisited," Working Papers 2010-012, Banco Central de Reserva del Perú.
- 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.
- 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-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.
- Andrew Foerster & Juan Rubio-Ramirez & Dan Waggoner & Ta Zha, 2013. "Perturbation Methods for Markov-Switching DSGE Models," Working Papers 2013-22, FEDEA.
- 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.
- 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.
- 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.
- 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.
- Orrego, Fabrizio, 2011. "Demografía y precios de activos," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 22, pages 83-101.
- E. Weyl & Michal Fabinger, 2015. "A Tractable Approach to Pass-Through Patterns," 2015 Meeting Papers 747, Society for Economic Dynamics.
- 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.
- 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.
- 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.
- 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:
- 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.
- Chiaki Hara, 2005. "Heterogeneous Risk Attitudes in a Continuous-Time Model," KIER Working Papers 609, Kyoto University, Institute of Economic Research.
- 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.
- 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.
- 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:
- 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, 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.
- Laura Angeloni & Bernard Cornet, 2006. "Existence of financial equilibria in a multiperiod stochastic economy," Post-Print hal-00287671, HAL.
- 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.
- 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," 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," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00801402, HAL.
- Helios Herrera, 2005. "Sorting in Risk-Aversion and Asset Price Volatility," Levine's Bibliography 172782000000000083, UCLA Department of Economics.
- 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.
- 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.
- 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.
- 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.
- Jelena Kabulova & Jelena Stankevičienė, 2020. "Valuation of FinTech Innovation Based on Patent Applications," Sustainability, MDPI, vol. 12(23), pages 1-15, December.
- 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.
- 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:
- 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.
- 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.
- 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.
- 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.
- 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.
- 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:
- 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.
- 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.
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- Thomas Hintermaier & Winfried Koeniger, 2018. "Household debt and crises of confidence," Quantitative Economics, Econometric Society, vol. 9(3), pages 1489-1542, November.
- 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," Economics Working Paper Series 1518, University of St. Gallen, School of Economics and Political Science.
- Geng, Runjie & Kubler, Felix, 2023. "Stochastic overlapping generations with non-convex budget sets," Journal of Mathematical Economics, Elsevier, vol. 107(C).
- 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.
- 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.
- 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.
- Orrillo, Jaime, 2005. "Collateral once again," Economics Letters, Elsevier, vol. 87(1), pages 27-33, April.
- Timothy J. Kehoe & David K. Levine, 2006.
"Bankruptcy and Collateral in Debt Constrained Markets,"
NBER Working Papers
12656, National Bureau of Economic Research, Inc.
- Timothy J. Kehoe & David K. Levine, 2006. "Bankruptcy and collateral in debt constrained markets," Staff Report 380, Federal Reserve Bank of Minneapolis.
- Timothy J. Kehoe & David K. Levine, 2008. "Bankruptcy and Collateral in Debt Constrained Markets," Chapters, in: Roger E.A. Farmer (ed.), Macroeconomics in the Small and the Large, chapter 5, Edward Elgar Publishing.
- 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.
- 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.
- Hanno Lustig, 2004. "Can Housing Collateral Explain Long-Run Swings in Asset Returns? (joint with Stijn Van Nieuwerburgh)," UCLA Economics Online Papers 322, UCLA Department of Economics.
- Damián Pierri, 2023. "Simulations in Models with Heterogeneous Agents, Incomplete Markets and Aggregate Uncertainty," Working Papers 259, Red Nacional de Investigadores en Economía (RedNIE).
- 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," 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 12062r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Oct 2013.
- 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.
- Felix Kubler & Simon Scheidegger, 2021.
"Uniformly Self-Justified Equilibria,"
Papers
2112.14054, arXiv.org.
- Kubler, Felix & Scheidegger, Simon, 2023. "Uniformly self-justified equilibria," Journal of Economic Theory, Elsevier, vol. 212(C).
- 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).
- Felipe Martins-da-Rocha & Yiannis Vailakis, 2008. "Collateral, default penalties and almost finite-time solvency," Levine's Working Paper Archive 122247000000002049, David K. Levine.
- Iraola, Miguel A. & Sepúlveda, Fabián & Torres-Martínez, Juan Pablo, 2019. "Financial segmentation and collateralized debt in infinite-horizon economies," Journal of Mathematical Economics, Elsevier, vol. 80(C), pages 56-69.
- Winfried Koeniger & Thomas Hintermaier, 2007. "Incomplete Markets and the Evolution of US Consumer Debt," 2007 Meeting Papers 256, Society for Economic Dynamics.
- Ngoc-Sang Pham, 2023.
"Some Lectures on Macroeconomics,"
Working Papers
hal-04366349, HAL.
- Pham, Ngoc-Sang, 2023. "Some Lectures on Macroeconomics," MPRA Paper 119643, University Library of Munich, Germany.
- V. Filipe Martins-Da-Rocha & Toan Phan & Yiannis Vailakis, 2022. "Pecuniary Externalities in Competitive Economies with Limited Pledgeability," Working Papers hal-03909596, HAL.
- 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.
- Fajardo, José & Lacerda, Ana, 2010.
"Statistical arbitrage with default and collateral,"
Economics Letters, Elsevier, vol. 108(1), pages 81-84, July.
- José Fajardo, 2008. "Statistical Arbitrage with Default and Collateral," Working Papers w200808, Banco de Portugal, Economics and Research Department.
- 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.
- 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.
- Lang, Jan Hannes & Menno, Dominik, 2023.
"The state-dependent impact of changes in bank capital requirements,"
Working Paper Series
2828, European Central Bank.
- Lang, Jan Hannes & Menno, Dominik, 2023. "The state-dependent impact of changes in bank capital requirements," Discussion Papers 19/2023, Deutsche Bundesbank.
- Michael Grill & Karl Schmedders & Felix Kubler & Johannes Brumm, 2012. "Margin Requirements and Asset Prices," 2012 Meeting Papers 533, Society for Economic Dynamics.
- Aryan Eftekhari & Simon Scheidegger, 2022. "High-Dimensional Dynamic Stochastic Model Representation," Papers 2202.06555, arXiv.org.
- Devereux, Michael B. & Saito, Makoto & Yu, Changhua, 2020. "International capital flows, portfolio composition, and the stability of external imbalances," Journal of International Economics, Elsevier, vol. 127(C).
- Weerachart Kilenthong, 2011. "Collateral premia and risk sharing under limited commitment," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 46(3), pages 475-501, April.
- Felix Kubler & Simon Scheidegger, 2018. "Self-justi ed equilibria: Existence and computation," 2018 Meeting Papers 694, Society for Economic Dynamics.
- Bloise, G. & Citanna, A., 2019. "Asset shortages, liquidity and speculative bubbles," Journal of Economic Theory, Elsevier, vol. 183(C), pages 952-990.
- Gregory Phelan & Alexis Akira Toda, 2015.
"Securitized Markets, International Capital Flows, and Global Welfare,"
Department of Economics Working Papers
2015-14, Department of Economics, Williams College, revised Jul 2017.
- Phelan, Gregory & Toda, Alexis Akira, 2019. "Securitized markets, international capital flows, and global welfare," Journal of Financial Economics, Elsevier, vol. 131(3), pages 571-592.
- Darong Dai, 2014. "The Long-Run Behavior of Consumption and Wealth Dynamics in Complete Financial Market with Heterogeneous Investors," Journal of Applied Mathematics, Hindawi, vol. 2014, pages 1-16, July.
- Hyunju Lee, 2018. "Gross Capital Flows and International Diversification," 2018 Meeting Papers 51, Society for Economic Dynamics.
- 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.
- Li, Yan & Yang, Liyan, 2013. "Prospect theory, the disposition effect, and asset prices," Journal of Financial Economics, Elsevier, vol. 107(3), pages 715-739.
- Hintermaier, Thomas & Koeniger, Winfried, 2010.
"The method of endogenous gridpoints with occasionally binding constraints among endogenous variables,"
Journal of Economic Dynamics and Control, Elsevier, vol. 34(10), pages 2074-2088, October.
- Thomas Hintermaier & Winfried Koeniger, 2009. "Replication programs for paper "The method of endogenous gridpoints with occasionally binding constraints among endogenous variables"," QM&RBC Codes 184, Quantitative Macroeconomics & Real Business Cycles.
- Thomas Hintermaier & Winfried Koeniger, 2010. "The method of endogenous gridpoints with occasionally binding constraints among endogenous variables," Post-Print hal-00732758, HAL.
- Shen, Hewei, 2022. "Financial integration and the correlation between international debt and equity flows," Journal of International Money and Finance, Elsevier, vol. 122(C).
- Hanno Lustig & Stijn Van Nieuwerburgh, 2006. "Can Housing Collateral Explain Long-Run Swings in Asset Returns?," NBER Working Papers 12766, National Bureau of Economic Research, Inc.
- Marques, Luis B, 2007. "Welfare Implications of Exchange Rate Changes," MPRA Paper 5721, University Library of Munich, Germany.
- 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.
- Leonid Kogan & Indrajit Mitra, 2021. "Near-Rational Equilibria in Heterogeneous-Agent Models: A Verification Method," FRB Atlanta Working Paper 2021-16, Federal Reserve Bank of Atlanta.
- Michael Grill & Johannes Brumm, 2010. "Computing Equilibria in Dynamic Models with Occasionally Binding Constraints," 2010 Meeting Papers 695, Society for Economic Dynamics.
- 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.
- Ngoc-Sang Pham, 2022. "Impacts of (individual and aggregate) productivity and credit shocks on equilibrium aggregate production," Working Papers halshs-03686284, HAL.
- Páscoa, Mário Rui & Seghir, Abdelkrim, 2009. "Harsh default penalties lead to Ponzi schemes," Games and Economic Behavior, Elsevier, vol. 65(1), pages 270-286, January.
- Cao, Dan, 2020. "Recursive equilibrium in Krusell and Smith (1998)," Journal of Economic Theory, Elsevier, vol. 186(C).
- Tong Zhang, 2019. "Haircut Cycles," 2019 Meeting Papers 124, Society for Economic Dynamics.
- 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.
- Victor Filipe Martins da Rocha & Rafael Mouallem Rosa, 2023. "Complete Markets with Bankruptcy Risk and Pecuniary Default Penalties," Post-Print hal-02921220, HAL.
- Hanno Lustig, "undated". "Exploring the Link between Housing and the Value Premium (joint with Stijn Van Nieuwerburgh)," UCLA Economics Online Papers 389, UCLA Department of Economics.
- 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:
- 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.
- 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.
- 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," Post-Print 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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, 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.
- 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, 2015. "The Dynamic Properties of Financial-Market Equilibrium with Trading Fees," NBER Working Papers 21421, National Bureau of Economic Research, Inc.
- 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.
- 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.
- 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.
- 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.
- 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. Filipe MARTINS-DA-ROCHA & YIANNIS VAILAKIS, 2008.
"Endogenous Transaction Costs,"
Discussion Papers
0810, University of Exeter, Department of Economics.
- 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. 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.
- 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.
- 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.
- 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.
- 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.
- Felix Kubler & Karl Schmedders, 2000.
"Incomplete Markets, Transitory Shocks and Welfare,"
Levine's Working Paper Archive
2133, David K. Levine.
- Felix Kubler & Karl Schmedders, 2001. "Incomplete Markets, Transitory Shocks, and Welfare," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 4(4), pages 747-766, October.
- Felix Kubler & Karl Schmedders, 2000. "Incomplete Markets, Transitory Shocks, and Welfare," Discussion Papers 1285, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Felix Kubler & Karl Schmedders, 2000. "Incomplete Markets, Transitory Shocks And Welfare," Computing in Economics and Finance 2000 130, Society for Computational Economics.
Cited by:
- 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.
- GOTTARDI, Piero & KUBLER, Felix, 2012. "Dynamic Competitive Economies with Complete Markets and Collateral Constraints," Economics Working Papers ECO2012/17, European University Institute.
- Akyol, Ahmet & Athreya, Kartik, 2005.
"Risky higher education and subsidies,"
Journal of Economic Dynamics and Control, Elsevier, vol. 29(6), pages 979-1023, June.
- Ahmet Akyol & Kartik B. Athreya, 2003. "Risky higher education and subsidies," Working Paper 03-02, Federal Reserve Bank of Richmond.
- 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.
- Jinill Kim, Sunghyun Kim, and Andrew Levin, 2001. "Patience, Persistence, and Welfare Costs of Incomplete Markets in Open Economies," Computing in Economics and Finance 2001 7, Society for Computational Economics.
- Jinill Kim & Sunghyun Henry Kim & Andrew T. Levin, 2001. "Patience, persistence and welfare costs of incomplete markets in open economies," International Finance Discussion Papers 696, Board of Governors of the Federal Reserve System (U.S.).
- Lee, Khang Min & Moyen, Nathalie, 2006. "Optimal liberalization of financial markets," Journal of International Money and Finance, Elsevier, vol. 25(8), pages 1319-1335, December.
- David K. Levine & William Zame, 2001.
"Does Market Incompleteness Matter,"
Levine's Working Paper Archive
78, David K. Levine.
- David K. Levine & William R. Zame, 2002. "Does Market Incompleteness Matter?," Econometrica, Econometric Society, vol. 70(5), pages 1805-1839, September.
- Josep Pijoan-Mas, 2006.
"Precautionary Savings or Working Longer Hours?,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 9(2), pages 326-352, April.
- Josep Pijoan-Mas, 2004. "Precautionary Savings or Working Longer Hours?," 2004 Meeting Papers 350, Society for Economic Dynamics.
- Pijoan-Mas, Josep, 2005. "Precautionary Savings or Working Longer Hours?," CEPR Discussion Papers 5322, C.E.P.R. Discussion Papers.
- Josep Pijoan-Mas, 2003. "Precautionary Savings or Working Longer Hours?," Working Papers wp2003_0311, CEMFI.
- Henry Kim & Jinill Kim & Robert Kollmann, 2005. "Applying Perturbation Methods to Incomplete Market Models with Exogenous Borrowing Constraints," Discussion Papers Series, Department of Economics, Tufts University 0504, Department of Economics, Tufts University.
- Krebs, Tom & Krishna, Pravin & Maloney, William F., 2012.
"Income Risk, Income Mobility and Welfare,"
IZA Discussion Papers
7056, Institute of Labor Economics (IZA).
- Krebs, Tom & Krishna, Pravin & Maloney, William F., 2012. "Income risk, income mobility and welfare," Policy Research Working Paper Series 6254, The World Bank.
- 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.
- Juan-Carlos Cordoba, 2004.
"Debt-Constraints or Incomplete Markets? A Decomposition of the Wealth and Consumption Inequality in the U.S,"
Macroeconomics
0404004, University Library of Munich, Germany.
- 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.
- Krebs, Tom & Krishna, Pravin & Maloney, William F., 2013.
"Income Mobility and Welfare,"
Working Papers
13-02, University of Mannheim, Department of Economics.
- Mr. Tom Krebs & Mr. Pravin Krishna & Mr. William Maloney, 2013. "Income Mobility and Welfare," IMF Working Papers 2013/024, International Monetary Fund.
- Giuseppe Ambrosini & Francesco Menoncin, 2018. "Optimal Portfolios with Credit Default Swaps," Journal of Financial Services Research, Springer;Western Finance Association, vol. 54(1), pages 81-109, August.
- Giorgio Primiceri & Thijs van Rens, 2002.
"Inequality over the Business Cycle: Estimating Income Risk using Micro-Data on Consumption,"
Macroeconomics
0212003, University Library of Munich, Germany.
- Giorgio Primiceri & Thijs van Rens, 2002. "Inequality over the business cycle: Estimating income risk using micro-data on consumption," Economics Working Papers 943, Department of Economics and Business, Universitat Pompeu Fabra, revised Oct 2004.
- Chiaki Hara & James Huang & Christoph Kuzmics, 2006. "Efficient Risk-Sharing Rules with Heterogeneous Risk Attitudes and Background Risks," KIER Working Papers 621, Kyoto University, Institute of Economic Research.
- Heathcote, Jonathan & Storesletten, Kjetil & Violante, Giovanni L., 2008.
"Insurance and opportunities: A welfare analysis of labor market risk,"
Journal of Monetary Economics, Elsevier, vol. 55(3), pages 501-525, April.
- Jonathan Heathcote & Kjetil Storesletten & Giovanni L. Violante, 2007. "Insurance and Opportunities: A Welfare Analysis of Labor Market Risk," NBER Working Papers 13673, National Bureau of Economic Research, Inc.
- 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:
- Hara, Chiaki, 2011. "Pareto improvement and agenda control of sequential financial innovations," Journal of Mathematical Economics, Elsevier, vol. 47(3), pages 336-345.
- Chiaki Hara, 2010. "Pareto Improvement and Agenda Control of Sequential Financial Innovations," KIER Working Papers 748, Kyoto University, Institute of Economic Research.
- 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 L. Judd & Sy-Ming Guu, 2001.
"Asymptotic Methods for Asset Market Equilibrium Analysis,"
NBER Working Papers
8135, National Bureau of Economic Research, Inc.
- 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 & Felix Kubler & Karl Schmedders, 2000.
"Asset Trading Volume with Dynamically Complete Markets and Heterogeneous Agents,"
Discussion Papers
1294, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Kenneth L. Judd & Felix Kubler & Karl Schmedders, 2003. "Asset Trading Volume with Dynamically Complete Markets and Heterogeneous Agents," Journal of Finance, American Finance Association, vol. 58(5), pages 2203-2217, October.
Cited by:
- 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.
- Karl Schmedders & Felix Kubler, 2012.
"Life-Cycle Portfolio Choice, the Wealth Distribution and Asset Prices,"
2012 Meeting Papers
536, 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.
- 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.
- GOTTARDI, Piero & KUBLER, Felix, 2012. "Dynamic Competitive Economies with Complete Markets and Collateral Constraints," Economics Working Papers ECO2012/17, European University Institute.
- David N. DeJong & Emilio Espino, 2007. "The Cyclical Behavior of Equity Turnover," Working Paper 294, Department of Economics, University of Pittsburgh, revised Jun 2010.
- Berrada, Tony & Hugonnier, Julien & Rindisbacher, Marcel, 2007. "Heterogeneous preferences and equilibrium trading volume," Journal of Financial Economics, Elsevier, vol. 83(3), pages 719-750, March.
- 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.
- 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.
- Emilio Espino, 2006. "Equilibrium Portfolios in the Neoclassical Growth Model," 2006 Meeting Papers 92, Society for Economic Dynamics.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- ,, 2007. "Two-fund separation in dynamic general equilibrium," Theoretical Economics, Econometric Society, vol. 2(2), June.
- 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.
- Chiaki Hara, 2009. "Effectively Complete Asset Markets with Multiple Goods and over Multiple Periods," KIER Working Papers 685, Kyoto University, Institute of Economic Research.
- Thomas Hintermaier & Emilio Espino, 2005.
"Asset Trading Volume in a Production Economy,"
2005 Meeting Papers
363, Society for Economic Dynamics.
- Emilio Espino & Thomas Hintermaier, 2009. "Asset trading volume in a production economy," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 39(2), pages 231-258, May.
- 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, 2013. "'Lucas' In The Laboratory," NBER Working Papers 19068, National Bureau of Economic Research, Inc.
- 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.
- Eric Aldrich, 2012. "Trading Volume in General Equilibrium with Complete Markets," 2012 Meeting Papers 36, Society for Economic Dynamics.
- Sara Eugeni, 2017.
"Nominal Exchange Rates and Net Foreign Assets' Dynamics: the Stabilization Role of Valuation Effects,"
Working Papers
2017_09, Durham University Business School.
- Eugeni, Sara, 2024. "Nominal exchange rates and net foreign assets' dynamics: The stabilization role of valuation effects," Journal of International Money and Finance, Elsevier, vol. 141(C).
- Eugeni, Sara, 2015. "Nominal Exchange Rates and Net Foreign Assets' Dynamics: the Stabilization Role of Valuation Effects," MPRA Paper 63549, University Library of Munich, Germany.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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:
- 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.
- 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.
- Weintraub, Gabriel Y. & Benkard, C. Lanier & Van Roy, Benjamin, 2007. "Computational Methods for Oblivious Equilibrium," Research Papers 1969, Stanford University, Graduate School of Business.
- 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.
- 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.
- 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.
- 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.
- 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.
- Gregor Schwerhoff & Ottmar Edenhofer & Marc Fleurbaey, 2020. "Taxation Of Economic Rents," Journal of Economic Surveys, Wiley Blackwell, vol. 34(2), pages 398-423, April.
- 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.
- Brüggemann, Julia & Meub, Lukas, 2017. "Experimental evidence on the effects of innovation contests," Information Economics and Policy, Elsevier, vol. 39(C), pages 72-83.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
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, 2022. "Code and data files for "Re-use of collateral: Leverage, volatility, and welfare"," Computer Codes 20-480, Review of 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.
- 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).
- 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.
- 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).
- 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.
- Brumm, Johannes & Kubler, Felix & Grill, Michael & Schmedders, Karl, 2014. "Margin regulation and volatility," Working Paper Series 1698, European Central Bank.
- Johannes Brumm & Michael Grill & Felix Kubler & Karl Schmedders, 2013. "Margin Regulation and Volatility," Swiss Finance Institute Research Paper Series 13-59, Swiss Finance Institute.
- 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.
- 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:
- Cai,Yongyang & Selod,Harris & Steinbuks,Jevgenijs, 2015. "Urbanization and property rights," Policy Research Working Paper Series 7486, The World Bank.
- Grzybowski, Lukasz, 2005. "Essays on Economics of Network Industries: Mobile Telephony," Munich Dissertations in Economics 5561, University of Munich, 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.
- 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.
- 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.
- 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.
- 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:
- 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.
- 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.
- 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.
- ÅžimÅŸek, Alp, 2021. "The Macroeconomics of Financial Speculation," CEPR Discussion Papers 15733, C.E.P.R. Discussion Papers.
- Paula Garda & Volker Ziemann, 2014. "Economic Policies and Microeconomic Stability: A Literature Review and Some Empirics," OECD Economics Department Working Papers 1115, OECD Publishing.
- 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.
- Johan Walden & Christian Heyerdahl-Larsen, 2015. "Efficiency and Distortions in a Production Economy with Heterogeneous Beliefs," 2015 Meeting Papers 124, Society for Economic Dynamics.
- 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.
- ÅžimÅŸek, Alp & Caballero, Ricardo, 2019. "A Risk-centric Model of Demand Recessions and Speculation," CEPR Discussion Papers 13815, C.E.P.R. Discussion Papers.
- 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.
- 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.
- 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.
- Wei Xiong & Alp Simsek & Markus Brunnermeier, 2014.
"A Welfare Criterion for Models with Distorted Beliefs,"
2014 Meeting Papers
1418, Society for Economic Dynamics.
- 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.
"Tackling Multiplicity of Equilibria with Gröbner Bases,"
Operations Research, INFORMS, vol. 58(4-part-2), pages 1037-1050, August.
Cited by:
- 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.
- Kocięcki, Andrzej & Kolasa, Marcin, 2023.
"A solution to the global identification problem in DSGE models,"
Journal of Econometrics, Elsevier, vol. 236(2).
- 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.
- 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.
- Toda, Alexis Akira, 2019. "Wealth distribution with random discount factors," Journal of Monetary Economics, Elsevier, vol. 104(C), pages 101-113.
- 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).
- Toda, Alexis Akira, 2017.
"Huggett Economies with Multiple Stationary Equilibria,"
MPRA Paper
78984, University Library of Munich, Germany.
- Toda, Alexis Akira, 2017. "Huggett economies with multiple stationary equilibria," Journal of Economic Dynamics and Control, Elsevier, vol. 84(C), pages 77-90.
- Harold L. Cole & Felix Kubler, 2011.
"Recursive Contracts, Lotteries and Weakly Concave Pareto Sets,"
NBER Working Papers
17064, National Bureau of Economic Research, Inc.
- Felix Kubler & Harold L. Cole, 2011. "Recursive Contracts, Lotteries and Weakly Concave Pareto Sets," 2011 Meeting Papers 59, Society for Economic Dynamics.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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, 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.
"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:
- Toda, Alexis Akira, 2017.
"Huggett Economies with Multiple Stationary Equilibria,"
MPRA Paper
78984, University Library of Munich, Germany.
- Toda, Alexis Akira, 2017. "Huggett economies with multiple stationary equilibria," Journal of Economic Dynamics and Control, Elsevier, vol. 84(C), pages 77-90.
- Orrego, Fabrizio, 2010. "Demography, stock prices and interest rates: The Easterlin hypothesis revisited," Working Papers 2010-012, Banco Central de Reserva del Perú.
- 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,"
MPRA Paper
78984, University Library of Munich, Germany.
- 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.
- ,, 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," 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.
- 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:
- Brueckner, Marcus & Hong, Haidi & Vespignani, Joaquin, 2023.
"Regulation of petrol and diesel prices and their effects on GDP growth: evidence from China,"
Working Papers
2023-02, University of Tasmania, Tasmanian School of Business and Economics.
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"Price caps, oligopoly, and entry,"
Working Papers
80998880, Lancaster University Management School, Economics Department.
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"Pro‐Consumer Price Ceilings under Regulatory Uncertainty,"
Scandinavian Journal of Economics, Wiley Blackwell, vol. 121(4), pages 1757-1784, October.
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"Should Courts Always Enforce What Contracting Parties Write?,"
Working Papers
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- 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.
- 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.
- Luca Anderlini & Leonardo Felli & Andrew Postlewaite, 2009. "Should Courts Always Enforce What Contracting Parties Write?," PIER Working Paper Archive 09-004, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- 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.
- Anderlini, Luca & Felli, Leonardo & Postlewaite, Andrew, 2004. "Should Courts Always Enforce What Contracting Parties Write?," CEPR Discussion Papers 4197, C.E.P.R. Discussion Papers.
- Luca Anderlini & Leonardo Felli & Andrew Postlewaite, 2006. "Should Courts Always Enforce What Contracting Parties Write?," Working Papers gueconwpa~06-06-07, Georgetown University, Department of Economics.
- 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.
- Luca Anderlini & Leonardo Felli & Andrew Postlewaite, 2003. "Should Courts Always Enforce What Contracting Parties Write?," PIER Working Paper Archive 06-024, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 01 Oct 2006.
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"Failure of ad valorem and specific tax equivalence under uncertainty,"
International Journal of Economic Theory, The International Society for Economic Theory, vol. 10(4), pages 387-402, December.
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"Consumer confusion, obfuscation, and price regulation,"
RIEI Working Papers
2015-04, Xi'an Jiaotong-Liverpool University, Research Institute for Economic Integration.
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Working Papers ECARES
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"Regulation of petrol and diesel prices and their effects on GDP growth: evidence from China,"
Working Papers
2023-02, University of Tasmania, Tasmanian School of Business and Economics.
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"Computing equilibria in finance economies with incomplete markets and transaction costs,"
Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 27(3), pages 493-512, April.
See citations under working paper version above.
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- 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.
- Judd, Kenneth L. & Kubler, Felix & Schmedders, Karl, 2006.
"Reply to "Asset trading volume in infinite-horizon economies with dynamically complete markets and heterogeneous agents: Comment","
Finance Research Letters, Elsevier, vol. 3(2), pages 102-105, June.
Cited by:
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"Asset Trading Volume in Infinite-Horizon Economies with Dynamically Complete Markets and Heterogeneous Agents: Comment,"
UCLA Economics Working Papers
841, UCLA Department of Economics.
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"Asset Trading Volume in Infinite-Horizon Economies with Dynamically Complete Markets and Heterogeneous Agents: Comment,"
UCLA Economics Working Papers
841, UCLA Department of Economics.
- Felix Kubler & Karl Schmedders, 2005.
"Approximate versus Exact Equilibria in Dynamic Economies,"
Econometrica, Econometric Society, vol. 73(4), pages 1205-1235, July.
- 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.
Cited by:
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"Organizational Equilibrium with Capital,"
NBER Working Papers
25376, National Bureau of Economic Research, Inc.
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"Recursive equilibrium with Price Perfect Foresight and a minimal state space,"
Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 61(1), pages 1-54, January.
- Rodrigo Jardim Raad, 2016. "Recursive equilibrium with Price Perfect Foresight and a minimal state space," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 61(1), pages 1-54, January.
- P. Siconolfi & A. Citanna, 2007. "Recursive equilibrium in stochastic OLG economies," 2007 Meeting Papers 777, Society for Economic Dynamics.
- Geng, Runjie & Kubler, Felix, 2023. "Stochastic overlapping generations with non-convex budget sets," Journal of Mathematical Economics, Elsevier, vol. 107(C).
- Felix Kubler & Johannes Brumm, 2013. "Applying Negishi's method to stochastic models with overlapping generations," 2013 Meeting Papers 1352, Society for Economic Dynamics.
- Pascal Gauthier & Timothy J. Kehoe & Erwan Quintin, 2022.
"Constructing pure-exchange economies with many equilibria,"
Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 73(2), pages 541-564, April.
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- Felix Kubler & Simon Scheidegger, 2021.
"Uniformly Self-Justified Equilibria,"
Papers
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- Kubler, Felix & Scheidegger, Simon, 2023. "Uniformly self-justified equilibria," Journal of Economic Theory, Elsevier, vol. 212(C).
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"Endogenous market incompleteness without market frictions: Dynamic suboptimality of competitive equilibrium in multiperiod overlapping generations economies,"
Journal of Economic Theory, Elsevier, vol. 147(2), pages 426-449.
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- Alessandro Citanna & Paolo Siconolfi, 2008. "On the nonexistence of recursive equilibrium in stochastic OLG economies," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 37(3), pages 417-437, December.
- Devereux, Michael B. & Saito, Makoto & Yu, Changhua, 2020. "International capital flows, portfolio composition, and the stability of external imbalances," Journal of International Economics, Elsevier, vol. 127(C).
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"Excess price volatility and financial innovation,"
Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 26(3), pages 559-587, October.
See citations under working paper version above.
- Alessandro Citanna & Karl Schmedders, 2005. "Excess price volatility and financial innovation," Post-Print hal-00480119, HAL.
- Kenneth L. Judd & Felix Kubler & Karl Schmedders, 2003.
"Asset Trading Volume with Dynamically Complete Markets and Heterogeneous Agents,"
Journal of Finance, American Finance Association, vol. 58(5), pages 2203-2217, October.
See citations under working paper version above.
- Kenneth L. Judd & Felix Kubler & Karl Schmedders, 2000. "Asset Trading Volume with Dynamically Complete Markets and Heterogeneous Agents," Discussion Papers 1294, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Felix Kubler & Karl Schmedders, 2003.
"Stationary Equilibria in Asset-Pricing Models with Incomplete Markets and Collateral,"
Econometrica, Econometric Society, vol. 71(6), pages 1767-1793, November.
See citations under working paper version above.
- 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.
"Generic inefficiency of equilibria in the general equilibrium model with incomplete asset markets and infinite time,"
Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 22(1), pages 1-15, August.
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"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.
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"Incomplete Financial Markets and Jumps in Asset Prices,"
Discussion Papers
09-12, University of Copenhagen. Department of Economics.
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"Non-existence of recursive equilibria on compact state spaces when markets are incomplete,"
Journal of Economic Theory, Elsevier, vol. 115(1), pages 134-150, March.
- Tom Krebs, 2002. "Non-Existence of Recursive Equilibria on Compact State Spaces When Markets are Incomplete," Working Papers 2002-17, Brown University, Department of Economics.
- Felix KUBLER & Karl SCHMEDDERS, 2009.
"Non-parametric counterfactual analysis in dynamic general equilibrium,"
Swiss Finance Institute Research Paper Series
09-05, Swiss Finance Institute.
- Kubler, Felix & Schmedders, Karl, 2002.
"Recursive Equilibria In Economies With Incomplete Markets,"
Macroeconomic Dynamics, Cambridge University Press, vol. 6(2), pages 284-306, April.
Cited by:
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"Optimal Fiscal Policy with Heterogeneous Agents and Aggregate Shocks,"
Sciences Po publications
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- François Le Grand & Xavier Ragot, 2017. "Optimal Fiscal Policy with Heterogeneous Agents and Aggregate Shocks," SciencePo Working papers Main hal-03458683, HAL.
- François Le Grand & Xavier Ragot, 2017. "Optimal Fiscal Policy with Heterogeneous Agents and Aggregate Shocks," SciencePo Working papers hal-03458683, HAL.
- François Le Grand & Xavier Ragot, 2017. "Optimal Fiscal Policy with Heterogeneous Agents and Aggregate Shocks," Working Papers hal-03458683, HAL.
- François Le Grand & Xavier Ragot, 2017. "Optimal Fiscal Policy with Heterogeneous Agents and Aggregate Shocks," Sciences Po Economics Discussion Papers 2017-03, Sciences Po Departement of Economics.
- Xavier Ragot & Francois Le Grand, 2017. "Optimal Fiscal Policy with Heterogeneous Agents and Aggregate Shocks," 2017 Meeting Papers 969, Society for Economic Dynamics.
- John Stachurski, 2009. "Economic Dynamics: Theory and Computation," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262012774, December.
- 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," NBER Working Papers 14629, National Bureau of Economic Research, Inc.
- 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, 2012. "Incomplete-Market Equilibria Solved Recursively on an Event Tree," Journal of Finance, American Finance Association, vol. 67(5), pages 1897-1941, October.
- Krueger, Dirk & Lustig, Hanno, 2010.
"When is market incompleteness irrelevant for the price of aggregate risk (and when is it not)?,"
Journal of Economic Theory, Elsevier, vol. 145(1), pages 1-41, January.
- Dirk Krueger & Hanno Lustig, 2006. "When is Market Incompleteness Irrelevant for the Price of Aggregate Risk (and when is it not)?," NBER Working Papers 12634, National Bureau of Economic Research, Inc.
- Karl Schmedders & Felix Kubler, 2012.
"Life-Cycle Portfolio Choice, the Wealth Distribution and Asset Prices,"
2012 Meeting Papers
536, 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.
- 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.
- GOTTARDI, Piero & KUBLER, Felix, 2012. "Dynamic Competitive Economies with Complete Markets and Collateral Constraints," Economics Working Papers ECO2012/17, European University Institute.
- Manuel Santos & Jianjun Miao, 2005.
"Numerical Solution of Dynamic Non-Optimal Economies,"
2005 Meeting Papers
266, Society for Economic Dynamics.
- Junjian Miao & Manuel Santos, 2005. "Numerical Solution of Dynamic Non-Optimal Economies," Boston University - Department of Economics - Working Papers Series WP2005-003, Boston University - Department of Economics.
- Fatih Guvenen, 2005.
"Reconciling Conflicting Evidence on the Elasticity of Intertemporal Substitution: A Macroeconomic Perspective,"
Macroeconomics
0507005, University Library of Munich, Germany.
- Guvenen, Fatih, 2006. "Reconciling conflicting evidence on the elasticity of intertemporal substitution: A macroeconomic perspective," Journal of Monetary Economics, Elsevier, vol. 53(7), pages 1451-1472, October.
- M. Fatih Guvenen, 2002. "Reconciling Conflicting Evidence on the Elasticity of Intertemporal Substitution: A Macroeconomic Perspective," RCER Working Papers 491, University of Rochester - Center for Economic Research (RCER), revised Mar 2003.
- Adrian Peralta-Alva & Manuel S. Santos, 2009.
"Problems in the numerical simulation of models with heterogeneous agents and economic distortions,"
Working Papers
2009-036, Federal Reserve Bank of St. Louis.
- Adrian Peralta - Alva & Manuel S. Santos, 2009. "Problems in the Numerical Simulation of Models with Heterogeneous Agents and Economic Distortions," Working Papers 2010-14, University of Miami, Department of Economics.
- Adrian Peralta-Alva & Manuel S. Santos, 2010. "Problems in the Numerical Simulation of Models with Heterogeneous Agents and Economic Distortions," Journal of the European Economic Association, MIT Press, vol. 8(2-3), pages 617-625, 04-05.
- Felix Kubler & Karl Schmedders, 2000.
"Incomplete Markets, Transitory Shocks And Welfare,"
Computing in Economics and Finance 2000
130, Society for Computational Economics.
- Felix Kubler & Karl Schmedders, 2001. "Incomplete Markets, Transitory Shocks, and Welfare," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 4(4), pages 747-766, October.
- Felix Kubler & Karl Schmedders, 2000. "Incomplete Markets, Transitory Shocks and Welfare," Levine's Working Paper Archive 2133, David K. Levine.
- Felix Kubler & Karl Schmedders, 2000. "Incomplete Markets, Transitory Shocks, and Welfare," Discussion Papers 1285, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Jianjun Miao, 2004.
"Competitive Equilibria of Economies with a Continuum of Consumers and Aggregate Shocks,"
CEMA Working Papers
460, China Economics and Management Academy, Central University of Finance and Economics.
- Jianjun Miao, 2003. "Competitive Equilibria of Economies with a Continuum of Consumers and Aggregate Shocks," Macroeconomics 0310001, University Library of Munich, Germany.
- Miao, Jianjun, 2006. "Competitive equilibria of economies with a continuum of consumers and aggregate shocks," Journal of Economic Theory, Elsevier, vol. 128(1), pages 274-298, May.
- 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.
- 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 & 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 & 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, 2009. "Numerical simulation of nonoptimal dynamic equilibrium models," Working Papers 2009-018, Federal Reserve Bank of St. Louis.
- David K. Levine & William Zame, 2001.
"Does Market Incompleteness Matter,"
Levine's Working Paper Archive
78, David K. Levine.
- David K. Levine & William R. Zame, 2002. "Does Market Incompleteness Matter?," Econometrica, Econometric Society, vol. 70(5), pages 1805-1839, September.
- Hanno Lustig, "undated". "When is Market Incompleteness Irrelevant for the Price of Aggregate Risk (joint with Dirk Krueger, UPenn)," UCLA Economics Online Papers 380, UCLA Department of Economics.
- K.Schmedders & F.Kubler, 2004.
"Approximate Versus Exact Equilibria,"
Computing in Economics and Finance 2004
46, Society for Computational Economics.
- Felix Kubler & Karl Schmedders, 2003. "Approximate Versus Exact Equilibria," Discussion Papers 1382, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Leo Kaas, 2020.
"Block-Recursive Equilibria in Heterogenous-Agent Models,"
CESifo Working Paper Series
8737, CESifo.
- Kaas, Leo, 2023. "Block-recursive equilibria in heterogeneous-agent models," Journal of Economic Theory, Elsevier, vol. 212(C).
- Rodrigo Raad, 2016.
"Recursive equilibrium with Price Perfect Foresight and a minimal state space,"
Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 61(1), pages 1-54, January.
- Rodrigo Jardim Raad, 2016. "Recursive equilibrium with Price Perfect Foresight and a minimal state space," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 61(1), pages 1-54, January.
- Damián Pierri & Julián Martínez, 2020.
"Accuracy in Recursive Minimal State Space Methods,"
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- Pierri, Damian Rene, 2021. "Accuracy in recursive minimal state space methods," UC3M Working papers. Economics 33753, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Pablo F. Beker & Subir Chattopadhyay, 2006.
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Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 4(4), pages 747-766, October.
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- Felix Kubler & Karl Schmedders, 2000. "Incomplete Markets, Transitory Shocks, and Welfare," Discussion Papers 1285, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Felix Kubler & Karl Schmedders, 2000. "Incomplete Markets, Transitory Shocks And Welfare," Computing in Economics and Finance 2000 130, Society for Computational Economics.
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Journal of Economic Dynamics and Control, Elsevier, vol. 24(5-7), pages 1047-1078, June.
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"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.
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- Felix Kubler & Karl Schmedders, 2000.
"Incomplete Markets, Transitory Shocks And Welfare,"
Computing in Economics and Finance 2000
130, Society for Computational Economics.
- Felix Kubler & Karl Schmedders, 2001. "Incomplete Markets, Transitory Shocks, and Welfare," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 4(4), pages 747-766, October.
- Felix Kubler & Karl Schmedders, 2000. "Incomplete Markets, Transitory Shocks and Welfare," Levine's Working Paper Archive 2133, David K. Levine.
- Felix Kubler & Karl Schmedders, 2000. "Incomplete Markets, Transitory Shocks, and Welfare," Discussion Papers 1285, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
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"Asset Trading Volume with Dynamically Complete Markets and Heterogeneous Agents,"
Journal of Finance, American Finance Association, vol. 58(5), pages 2203-2217, October.
- Kenneth L. Judd & Felix Kubler & Karl Schmedders, 2000. "Asset Trading Volume with Dynamically Complete Markets and Heterogeneous Agents," Discussion Papers 1294, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
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- 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.
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"Computing Equilibria in Stochastic Finance Economies,"
Computational Economics, Springer;Society for Computational Economics, vol. 15(1-2), pages 145-172, April.
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"Controlling Price Volatility Through Financial Innovation,"
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hal-00594367, HAL.
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"Competitive equilibria in semi-algebraic economies,"
Journal of Economic Theory, Elsevier, vol. 145(1), pages 301-330, January.
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- 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.
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Journal of Economic Dynamics and Control, Elsevier, vol. 23(9-10), pages 1249-1279, September.
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"Homotopy methods to compute equilibria in game theory,"
Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 42(1), pages 119-156, January.
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"The role of labor-income risk in household risk-taking?,"
CFS Working Paper Series
640, Center for Financial Studies (CFS).
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"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.
- 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).
- 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.
- 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.
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"A Log-linear Homotopy Approach to Initialize the Parameterized Expectations Algorithm,"
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"Computing Perfect Stationary Equilibria in Stochastic Games,"
Other publications TiSEM
5b68f5d7-3209-4a1b-924c-6, Tilburg University, School of Economics and Management.
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- Ron N. Borkovsky & Ulrich Doraszelski & Yaroslav Kryukov, 2010. "A User's Guide to Solving Dynamic Stochastic Games Using the Homotopy Method," Operations Research, INFORMS, vol. 58(4-part-2), pages 1116-1132, August.
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- Wei Ma, 2014. "A Simple Method for Computing Equilibria when Asset Markets Are Incomplete," Working Papers 201478, University of Pretoria, Department of Economics.
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"Symmetric Markovian games of commons with potentially sustainable endogenous growth,"
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- Pablo Schenone, 2020. "Final Topology for Preference Spaces," Papers 2004.02357, arXiv.org, revised Mar 2024.
- Boone, C.A.J.J. & Roijakkers, A.H.W.M. & van Olffen, W., 2002. "Locus of control and study program choice: evidence of personality sorting in educational choice," Research Memorandum 006, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
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- Noman Arshed & Rukhsana Kalim, 2021. "Modelling demand and supply of Islamic banking deposits," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2813-2831, April.
- 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.
- Herings, P. Jean-Jacques & Zhan, Yang, 2021. "The computation of pairwise stable networks," Research Memorandum 004, Maastricht University, Graduate School of Business and Economics (GSBE).
- Nandeeta Neerunjun & Hubert Stahn, 2023. "Renewable energy support: pre-announced policies and (in)-efficiency," AMSE Working Papers 2335, Aix-Marseille School of Economics, France.
- Ferrasse, Jean-Henry & Neerunjun, Nandeeta & Stahn, Hubert, 2022. "Intermittency and electricity retailing: An incomplete market approach," Mathematical Social Sciences, Elsevier, vol. 120(C), pages 24-36.
- Shen, Hewei, 2022. "Financial integration and the correlation between international debt and equity flows," Journal of International Money and Finance, Elsevier, vol. 122(C).
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- 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.
- 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.
- Wei Ma, 2017. "A Rejoinder to Notes on a ‘Constructive Proof of the Existence of a Collateral Equilibrium’," Computational Economics, Springer;Society for Computational Economics, vol. 49(1), pages 175-176, January.
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"Homotopy methods to compute equilibria in game theory,"
Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 42(1), pages 119-156, January.
- Schmedders, Karl, 1998.
"Computing equilibria in the general equilibrium model with incomplete asset markets,"
Journal of Economic Dynamics and Control, Elsevier, vol. 22(8-9), pages 1375-1401, August.
Cited by:
- 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.
- Herings, P.J.J. & Kubler, F., 1999.
"The Robustness of the CAPM - A Computational Approach,"
Other publications TiSEM
06a4e5b2-f380-4d5b-a96f-8, Tilburg University, School of Economics and Management.
- P. Jean-Jacques Herings & Felix Kubler, 2000. "The Robustness of the CAPM-A Computational Approach," Econometric Society World Congress 2000 Contributed Papers 0400, Econometric Society.
- Herings, P.J.J. & Kubler, F., 2000. "The Robustness of CAPM-A Computational Approach," Research Memorandum 002, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Herings, P.J.J. & Kubler, F., 1999. "The Robustness of the CAPM - A Computational Approach," Discussion Paper 1999-54, Tilburg University, Center for Economic Research.
- Besanko, David & Doraszelski, Ulrich & Kryukov, Yaroslav & Satterthwaite, Mark, 2007.
"Learning-by-Doing, Organizational Forgetting and Industry Dynamics,"
CEPR Discussion Papers
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- David Besanko & Ulrich Doraszelski, 2005. "Learning-by-Doing, Organizational Forgetting, and Industry Dynanmics," Computing in Economics and Finance 2005 236, Society for Computational Economics.
- 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.
- 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.
- 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).
- 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.
- 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.
- 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.
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"Impact of Pension System Structure on International Financial Capital Allocation,"
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- Staveley-O’Carroll, James & Staveley-O’Carroll, Olena M., 2017. "Impact of pension system structure on international financial capital allocation," European Economic Review, Elsevier, vol. 95(C), pages 1-22.
- 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).
- Ron N. Borkovsky & Ulrich Doraszelski & Yaroslav Kryukov, 2010. "A User's Guide to Solving Dynamic Stochastic Games Using the Homotopy Method," Operations Research, INFORMS, vol. 58(4-part-2), pages 1116-1132, August.
- Wei Ma, 2014. "A Simple Method for Computing Equilibria when Asset Markets Are Incomplete," Working Papers 201478, University of Pretoria, Department of Economics.
- 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.
- Eaves, B. Curtis & Schmedders, Karl, 1999. "General equilibrium models and homotopy methods," Journal of Economic Dynamics and Control, Elsevier, vol. 23(9-10), pages 1249-1279, September.
- Marlon Azinovic & Jan v{Z}emliv{c}ka, 2023. "Economics-Inspired Neural Networks with Stabilizing Homotopies," Papers 2303.14802, arXiv.org.
- Kenneth L. Judd & Sy-Ming Guu, 2001.
"Asymptotic Methods for Asset Market Equilibrium Analysis,"
NBER Working Papers
8135, National Bureau of Economic Research, Inc.
- 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.
- de Ruyter, J.C. & Wetzels, M.G.M., 2000. "The role of corporate image and extension similarity in service brand extensions," Research Memorandum 035, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- 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.
- 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.
- 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.
- Esteban-Bravo, Mercedes, 2004. "An interior point algorithm for computing equilibria in economies with incomplete asset markets," DEE - Working Papers. Business Economics. WB wb046023, Universidad Carlos III de Madrid. Departamento de EconomÃa de la Empresa.
- 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.
- Esteban-Bravo, Mercedes, 2000. "Existence and computation of a GEI equilibrium," DES - Working Papers. Statistics and Econometrics. WS 10008, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
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.
- 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.
- 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.
- 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.
- Carlo Andrea Bollino & Philipp Galkin, 2021. "Energy Security and Portfolio Diversification: Conventional and Novel Perspectives," Energies, MDPI, vol. 14(14), pages 1-24, July.
- Gabriel Frahm, 2018. "An Intersection–Union Test for the Sharpe Ratio," Risks, MDPI, vol. 6(2), pages 1-13, April.
- 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.
- 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.
- Tadeusz Sawik, 2018.
"Selection of a dynamic supply portfolio under delay and disruption risks,"
2018 Papers
psa1077, Job Market Papers.
- 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.
- 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.
- 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.
- 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.
- 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.
- Filipe Rodrigues & Agostinho Agra & Lars Magnus Hvattum & Cristina Requejo, 2021. "Weighted proximity search," Journal of Heuristics, Springer, vol. 27(3), pages 459-496, June.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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).
- 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.
- 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.
- 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.
- 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.
- 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.
- 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).
- Alexander Y. Kruger, 2016. "Nonlinear Metric Subregularity," Journal of Optimization Theory and Applications, Springer, vol. 171(3), pages 820-855, December.
- Klein, Robert & Kolb, Johannes, 2015. "Maximizing customer equity subject to capacity constraints," Omega, Elsevier, vol. 55(C), pages 111-125.
- 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.
- 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.
- 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.
- 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.