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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