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

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dc.contributor.author Esteban-Bravo, Mercedes
dc.date.accessioned 2010-03-16T09:40:13Z
dc.date.accessioned 2010-05-24T12:11:29Z
dc.date.available 2010-05-24T12:11:29Z
dc.date.issued 2008-03
dc.identifier.bibliographicCitation Journal of Economic Dynamics and Control, 2008, v. 32, n. 3, pp. 677-694
dc.identifier.issn 0165-1889
dc.identifier.uri http://hdl.handle.net/10016/7357
dc.description.abstract Computing 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.format.mimetype text/plain
dc.format.mimetype application/pdf
dc.language.iso eng
dc.publisher Elsevier
dc.relation.isversionof http://hdl.handle.net/10016/107
dc.rights ©Elsevier
dc.subject.other General equilibrium
dc.subject.other Incomplete markets
dc.subject.other Computation of equilibria
dc.subject.other Interior point methods
dc.title An interior-point algorithm for computing equilibria in economies with incomplete asset markets
dc.type article
dc.type.review PeerReviewed
dc.description.status Publicado
dc.relation.publisherversion http://dx.doi.org/10.1016/j.jedc.2007.02.008
dc.subject.jel C68
dc.subject.jel C63
dc.subject.eciencia Empresa
dc.identifier.doi 10.1016/j.jedc.2007.02.008
dc.rights.accessRights openAccess
dc.identifier.publicationfirstpage 677
dc.identifier.publicationissue 3
dc.identifier.publicationlastpage 694
dc.identifier.publicationtitle Journal of Economic Dynamics and Control
dc.identifier.publicationvolume 32
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