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Computing Equilibria in General Equilibrium Models via Interior-point Methods

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  • Mercedes Esteban-Bravo

    () (Department of Computing, Imperial College of Science, Technology and Medicine, 180 Queen's Gate, London, U.K.)

Abstract

In this paper we study new computational methods to find equilibria in general equilibrium models. We first survey the algorithms to compute equilibria that can be found in the literature on computational economics and we indicate how these algorithms can be improved from the computational point of view. We also provide alternative algorithms that are able to compute the equilibria in an efficient manner even for large-scale models, based on interior-point methods. We illustrate the proposed methods with some examples taken from the literature on general equilibrium models.

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Bibliographic Info

Article provided by Society for Computational Economics in its journal Computational Economics.

Volume (Year): 23 (2004)
Issue (Month): 2 (03)
Pages: 147-171

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Handle: RePEc:kap:compec:v:23:y:2004:i:2:p:147-171

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Web page: http://www.springerlink.com/link.asp?id=100248
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  1. Victor Ginsburgh & Michiel Keyzer, 2002. "The structure of applied general equilibrium models," ULB Institutional Repository 2013/3313, ULB -- Universite Libre de Bruxelles.
  2. Talman, A.J.J. & Laan, G. van der, 1979. "A restart algorithm for computing fixed points without an extra dimension," Open Access publications from Tilburg University urn:nbn:nl:ui:12-153012, Tilburg University.
  3. Smale, Steve, 1976. "A convergent process of price adjustment and global newton methods," Journal of Mathematical Economics, Elsevier, vol. 3(2), pages 107-120, July.
  4. Herbert E. Scarf, 1967. "The Approximation of Fixed Points of a Continuous Mapping," Cowles Foundation Discussion Papers 216R, Cowles Foundation for Research in Economics, Yale University.
  5. Timothy J. Kehoe, 1990. "Computation and Multiplicity of Equilibria," Discussion Paper Serie A 309, University of Bonn, Germany.
  6. Victor Ginsburgh & Jean Waelbroeck, 1981. "Activity analysis and general equilibrium modelling," ULB Institutional Repository 2013/1649, ULB -- Universite Libre de Bruxelles.
  7. Herbert E. Scarf, 1977. "The Computation of Equilibrium Prices: An Exposition," Cowles Foundation Discussion Papers 473, Cowles Foundation for Research in Economics, Yale University.
  8. Mantel, Rolf R, 1971. "The Welfare Adjustment Process: Its Stability Properties," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 12(3), pages 415-30, October.
  9. Eaves, B. Curtis & Schmedders, Karl, 1999. "General equilibrium models and homotopy methods," Journal of Economic Dynamics and Control, Elsevier, vol. 23(9-10), pages 1249-1279, September.
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Cited by:
  1. Esteban Bravo, Mercedes & Vidal-Sanz, Jose M., 2007. "Computing continuous-time growth models with boundary conditions via wavelets," Open Access publications from Universidad Carlos III de Madrid info:hdl:10016/7345, Universidad Carlos III de Madrid.
  2. Zoltan Pap, 2011. "Computing Economic Equilibria by a Homotopy Method," Papers 1110.5144, arXiv.org.
  3. Esteban Bravo, Mercedes, 2008. "An interior-point algorithm for computing equilibria in economies with incomplete asset markets," Open Access publications from Universidad Carlos III de Madrid info:hdl:10016/7357, Universidad Carlos III de Madrid.

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