An Interior Point Algorithm For Computing Equilibria In Economies With Incomplete Asset Markets
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 catalogue of techniques for computing GEI equilibria. This paper presents an interior-point algorithm that exploits the special structure of GEI markets. We prove that the algorithm converges globally at a quadratic rate, rendering it particularly effective in solving large-scale GEI economies. To illustrate its performance, we solve relevant examples of GEI markets.
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Bibliographic InfoPaper provided by Universidad Carlos III, Departamento de Economía de la Empresa in its series Business Economics Working Papers with number wb046023.
Date of creation: Nov 2004
Date of revision:
This paper has been announced in the following NEP Reports:
- NEP-ALL-2004-12-02 (All new papers)
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