Details about Karl Schmedders

Access statistics for papers by Karl Schmedders.

Last updated 2023-03-16. Update your information in the RePEc Author Service.

Short-id: psc9

Working Papers

2018

1. Re-use of collateral: leverage, volatility, and welfare
   Working Paper Series, European Central Bank
   Also in 2017 Meeting Papers, Society for Economic Dynamics (2017) View citations (2)
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2017) View citations (2)
   See also Journal Article in Review of Economic Dynamics (2023)

2017

2. Dynamic Principal–Agent Models
   Working Papers, Lancaster University Management School, Economics Department

2016

3. A Large-Scale Optimization Model for Replicating Portfolios in the Life Insurance Industry
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute
4. Dynamic Principal-Agent Models
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (1)
5. Higher-Order Effects in Asset-Pricing Models with Long-Run Risks
   2016 Meeting Papers, Society for Economic Dynamics View citations (5)
   See also Journal Article in Journal of Finance (2018)
6. New and Revised Results for 'Building Reputation for Contract Renewal: Implications for Performance Dynamics and Contract Duration'
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute
7. Statistical Approximation of High-Dimensional Climate Models
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute
   See also Journal Article in Journal of Econometrics (2020)

2015

8. Higher-Order Dynamics in Asset-Pricing Models with Recursive Preferences
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (2)

2014

9. Asset Prices with Temporary Shocks to Consumption
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute
10. Margin regulation and volatility
    Working Paper Series, European Central Bank View citations (1)
    Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2013) View citations (5)
    See also Journal Article in Journal of Monetary Economics (2015)

2013

11. Collateral requirements and asset prices
    Discussion Papers, Deutsche Bundesbank View citations (4)
    Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2011) View citations (8)
    2011 Meeting Papers, Society for Economic Dynamics (2011) View citations (7)
    See also Journal Article in International Economic Review (2015)
12. Long-Run UIP Holds Even in the Short Run
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute
13. The Perils of Performance Measurement in the German Mutual-Fund Industry
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute

2012

14. A Polynomial Optimization Approach to Principal-Agent Problems
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute
    See also Journal Article in Econometrica (2015)
15. Life-Cycle Portfolio Choice, the Wealth Distribution and Asset Prices
    2012 Meeting Papers, Society for Economic Dynamics View citations (1)
    Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2010) View citations (3)
16. Margin Requirements and Asset Prices
    2012 Meeting Papers, Society for Economic Dynamics View citations (2)
17. Optimal and Naive Diversification in Currency Markets
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (4)
    See also Journal Article in Management Science (2017)

2010

18. Finding All Pure-Strategy Equilibria in Static and Dynamic Games with Continuous Strategies
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (1)

2009

19. Non-parametric counterfactual analysis in dynamic general equilibrium
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (1)
    Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2007) View citations (1)
    See also Journal Article in Economic Theory (2010)

2008

20. Bond Ladders and Optimal Portfolios
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute
    See also Journal Article in Review of Financial Studies (2011)

2007

21. Competitive Equilibria in Semi-Algebraic Economies
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania View citations (2)
    See also Journal Article in Journal of Economic Theory (2010)

2006

22. Bond Portfolios and Two-Fund Separation in the Lucas Asset-Pricing Model
    Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science

2005

23. A Computational Approach to Proving Uniqueness in Dynamic Games
    Computing in Economics and Finance 2005, Society for Computational Economics View citations (6)
24. Excess price volatility and financial innovation
    Post-Print, HAL View citations (7)
    See also Journal Article in Economic Theory (2005)
25. Two-Fund Separation in Dynamic General Equilibrium
    2005 Meeting Papers, Society for Economic Dynamics View citations (2)
    Also in Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science (2005) View citations (2)
    See also Journal Article in Theoretical Economics (2007)

2004

26. Approximate Versus Exact Equilibria
    Computing in Economics and Finance 2004, Society for Computational Economics View citations (1)
    Also in Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science (2003)

2002

27. Controlling Price Volatility Through Financial Innovation
    Working Papers, HAL
    Also in Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science (2002)
    HEC Research Papers Series, HEC Paris (2002)
28. Optimal Policies for Patent Races
    Computing in Economics and Finance 2002, Society for Computational Economics
29. Optimal Rules for Patent Races
    Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science View citations (12)
    Also in GSIA Working Papers, Carnegie Mellon University, Tepper School of Business View citations (4)
    See also Journal Article in International Economic Review (2012)
30. Price Caps and Uncertain Demands
    Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science View citations (3)

2001

31. Asset Pricing in Models with incomplete markets and default
    Computing in Economics and Finance 2001, Society for Computational Economics View citations (11)
32. Computing Equilibria in Finance Economies with Incomplete Markets and Transaction Costs
    Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science View citations (2)
    Also in Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) (2000)
    See also Journal Article in Economic Theory (2006)
33. Demand Uncertainty and Risk-aversion: Why Price Caps May Lead to Higher Prices
    Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science
34. Stationary Equilibria in Asset-Pricing Models with Incomplete Markets and Collateral
    Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science View citations (19)
    See also Journal Article in Econometrica (2003)

2000

35. Asset Trading Volume with Dynamically Complete Markets and Heterogeneous Agents
    Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science
    See also Journal Article in Journal of Finance (2003)
36. Evidence of the effect of domicile on corporate average effective tax rates in the European Union
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR)
37. INCOMPLETE MARKETS, TRANSITORY SHOCKS AND WELFARE
    Computing in Economics and Finance 2000, Society for Computational Economics View citations (4)
    Also in Levine's Working Paper Archive, David K. Levine (2000) View citations (5)
    Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science (2000) View citations (10)
    See also Journal Article in Review of Economic Dynamics (2001)
38. MONOPOLISTIC SECURITY DESIGN IN FINANCE ECONOMIES
    Computing in Economics and Finance 2000, Society for Computational Economics View citations (1)
    Also in Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science (2000) View citations (1)
    See also Journal Article in Economic Theory (2001)

Undated

39. Computational General Equilibrium with Incomplete Assets
    Computing in Economics and Finance 1997, Society for Computational Economics

Journal Articles

2023

1. Re-use of collateral: Leverage, volatility, and welfare
   Review of Economic Dynamics, 2023, 47, 19-46
   See also Working Paper (2018)

2021

2. Asset pricing with heterogeneous agents and long-run risk
   Journal of Financial Economics, 2021, 140, (3), 941-964 View citations (3)

2020

3. Computing Economic Equilibria Using Projection Methods
   Annual Review of Economics, 2020, 12, (1), 317-353
4. Discrete‐time dynamic principal–agent models: Contraction mapping theorem and computational treatment
   Quantitative Economics, 2020, 11, (4), 1215-1251
5. Statistical approximation of high-dimensional climate models
   Journal of Econometrics, 2020, 214, (1), 67-80 View citations (2)
   See also Working Paper (2016)

2018

6. Higher Order Effects in Asset Pricing Models with Long‐Run Risks
   Journal of Finance, 2018, 73, (3), 1061-1111 View citations (45)
   See also Working Paper (2016)
7. Introduction: Einführung
   Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 2018, 238, (3-4), 183-187

2017

8. Optimal and Naive Diversification in Currency Markets
   Management Science, 2017, 63, (10), 3347-3360 View citations (10)
   See also Working Paper (2012)

2016

9. Asset prices with non-permanent shocks to consumption
   Journal of Economic Dynamics and Control, 2016, 69, (C), 152-178

2015

10. A Polynomial Optimization Approach to Principal–Agent Problems
    Econometrica, 2015, 83, 729-769 View citations (9)
    See also Working Paper (2012)
11. COLLATERAL REQUIREMENTS AND ASSET PRICES
    International Economic Review, 2015, 56, (1), 1-25 View citations (5)
    See also Working Paper (2013)
12. Margin regulation and volatility
    Journal of Monetary Economics, 2015, 75, (C), 54-68 View citations (10)
    See also Working Paper (2014)

2012

13. Financial Innovation and Asset Price Volatility
    American Economic Review, 2012, 102, (3), 147-51 View citations (10)
14. Finding all pure‐strategy equilibria in games with continuous strategies
    Quantitative Economics, 2012, 3, (2), 289-331 View citations (5)
15. OPTIMAL RULES FOR PATENT RACES
    International Economic Review, 2012, 53, (1), 23-52 View citations (10)
    See also Working Paper (2002)

2011

16. Bond Ladders and Optimal Portfolios
    Review of Financial Studies, 2011, 24, (12), 4123-4166 View citations (3)
    See also Working Paper (2008)

2010

17. Competitive equilibria in semi-algebraic economies
    Journal of Economic Theory, 2010, 145, (1), 301-330 View citations (18)
    See also Working Paper (2007)
18. Non-parametric counterfactual analysis in dynamic general equilibrium
    Economic Theory, 2010, 45, (1), 181-200 View citations (5)
    See also Working Paper (2009)
19. Tackling Multiplicity of Equilibria with Gröbner Bases
    Operations Research, 2010, 58, (4-part-2), 1037-1050 View citations (10)
20. Uniqueness of Steady States in Models with Overlapping Generations
    Journal of the European Economic Association, 2010, 8, (2-3), 635-644 View citations (4)

2007

21. On Price Caps Under Uncertainty
    Review of Economic Studies, 2007, 74, (1), 93-111 View citations (29)
22. Two-fund separation in dynamic general equilibrium
    Theoretical Economics, 2007, 2, (2) View citations (3)
    See also Working Paper (2005)

2006

23. Computing equilibria in finance economies with incomplete markets and transaction costs
    Economic Theory, 2006, 27, (3), 493-512 View citations (14)
    See also Working Paper (2001)
24. Reply to "Asset trading volume in infinite-horizon economies with dynamically complete markets and heterogeneous agents: Comment"
    Finance Research Letters, 2006, 3, (2), 102-105 View citations (2)

2005

25. Approximate versus Exact Equilibria in Dynamic Economies
    Econometrica, 2005, 73, (4), 1205-1235 View citations (24)
    See also Chapter (2008)
26. Excess price volatility and financial innovation
    Economic Theory, 2005, 26, (3), 559-587 View citations (12)
    See also Working Paper (2005)

2003

27. Asset Trading Volume with Dynamically Complete Markets and Heterogeneous Agents
    Journal of Finance, 2003, 58, (5), 2203-2217 View citations (32)
    See also Working Paper (2000)
28. Generic inefficiency of equilibria in the general equilibrium model with incomplete asset markets and infinite time
    Economic Theory, 2003, 22, (1), 1-15 View citations (5)
29. Stationary Equilibria in Asset-Pricing Models with Incomplete Markets and Collateral
    Econometrica, 2003, 71, (6), 1767-1793 View citations (142)
    See also Working Paper (2001)

2002

30. RECURSIVE EQUILIBRIA IN ECONOMIES WITH INCOMPLETE MARKETS
    Macroeconomic Dynamics, 2002, 6, (2), 284-306 View citations (59)

2001

31. Incomplete Markets, Transitory Shocks, and Welfare
    Review of Economic Dynamics, 2001, 4, (4), 747-766 View citations (16)
    See also Working Paper (2000)
32. Monopolistic security design in finance economies
    Economic Theory, 2001, 18, (1), 37-72 View citations (3)
    See also Working Paper (2000)

2000

33. Computing Equilibria in Stochastic Finance Economies
    Computational Economics, 2000, 15, (1-2), 145-72 View citations (10)
34. Computing equilibria in infinite-horizon finance economies: The case of one asset
    Journal of Economic Dynamics and Control, 2000, 24, (5-7), 1047-1078 View citations (12)

1999

35. General equilibrium models and homotopy methods
    Journal of Economic Dynamics and Control, 1999, 23, (9-10), 1249-1279 View citations (54)

1998

36. Computing equilibria in the general equilibrium model with incomplete asset markets
    Journal of Economic Dynamics and Control, 1998, 22, (8-9), 1375-1401 View citations (29)

Edited books

2012

1. Operations Research Proceedings 2011
   Operations Research Proceedings, Springer View citations (38)

Chapters

2008

1. Approximate Versus Exact Equilibria in Dynamic Economies
   Springer
   See also Journal Article in Econometrica (2005)