Existence and computation of a GEI equilibrium

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dc.contributor.author Esteban-Bravo, Mercedes
dc.contributor.editor Universidad Carlos III de Madrid. Departamento de Estadística
dc.date.accessioned 2011-01-18T18:08:40Z
dc.date.available 2011-01-18T18:08:40Z
dc.date.issued 2000-08
dc.identifier.uri http://hdl.handle.net/10016/10008
dc.description.abstract In this paper we propose a general mathematical approach to existence of production equilibria in general economic model with incomplete assets markets, based on mathematical programming theory. In the first part, we demonstrate the existence of a General Equilibrium with Incomplete markets (GEl)}. In the second part, we introduce a concept of local equilibrium and we characterize such an equilibrium as the solution of a nonlinear system of equations. This system is very useful in practice since we avoid to compute the excess demand function that is difficult to obtain in large applied models. Furthermore, our characterization only requires limited short-selling and convexity assumptions at the neighborhood of the solution point. Finally, we also propose an algorithm for computing equilibria by interior point methods and we present numerical examples.
dc.format.mimetype application/octet-stream
dc.format.mimetype application/octet-stream
dc.format.mimetype application/pdf
dc.language.iso eng
dc.relation.ispartofseries UC3M Working papers. Statistics and Econometrics
dc.relation.ispartofseries 00-61
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.other General equilibrium
dc.subject.other GEl equilibrium
dc.subject.other Computation of equilibria
dc.subject.other Interior-point methods
dc.title Existence and computation of a GEI equilibrium
dc.type workingPaper
dc.subject.eciencia Estadística
dc.rights.accessRights openAccess
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