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An interior-point algorithm for computing equilibria in economies with incomplete asset markets

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dc.affiliation.dptoUC3M. Departamento de Economía de la Empresaes
dc.contributor.authorEsteban-Bravo, Mercedes
dc.date.accessioned2010-03-16T09:40:13Z
dc.date.accessioned2010-05-24T12:11:29Z
dc.date.available2010-05-24T12:11:29Z
dc.date.issued2008-03
dc.description.abstractComputing equilibria in general equilibria models with incomplete asset (GEI) markets is technically difficult. The standard numerical methods for computing these equilibria are based on homotopy methods. Despite recent advances in computational economics, much more can be done to enlarge the catalog of techniques for computing GEI equilibria. This paper presents an interior-point algorithm that exploits the special structure of GEI markets. It is proved that, under mild conditions, the algorithm converges globally at a quadratic rate, rendering it particularly effective in solving large-scale GEI economies. To illustrate its performance, relevant examples of GEI markets are solved
dc.description.statusPublicado
dc.format.mimetypetext/plain
dc.format.mimetypeapplication/pdf
dc.identifier.bibliographicCitationJournal of Economic Dynamics and Control, 2008, v. 32, n. 3, pp. 677-694
dc.identifier.doi10.1016/j.jedc.2007.02.008
dc.identifier.issn0165-1889
dc.identifier.publicationfirstpage677
dc.identifier.publicationissue3
dc.identifier.publicationlastpage694
dc.identifier.publicationtitleJournal of Economic Dynamics and Control
dc.identifier.publicationvolume32
dc.identifier.urihttps://hdl.handle.net/10016/7357
dc.language.isoeng
dc.publisherElsevier
dc.relation.isversionofhttp://hdl.handle.net/10016/107
dc.relation.publisherversionhttp://dx.doi.org/10.1016/j.jedc.2007.02.008
dc.rights©Elsevier
dc.rights.accessRightsopen access
dc.subject.ecienciaEmpresa
dc.subject.jelC68
dc.subject.jelC63
dc.subject.otherGeneral equilibrium
dc.subject.otherIncomplete markets
dc.subject.otherComputation of equilibria
dc.subject.otherInterior point methods
dc.titleAn interior-point algorithm for computing equilibria in economies with incomplete asset markets
dc.typeresearch article*
dc.type.reviewPeerReviewed
dspace.entity.typePublication
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