A New Approach to Computing Equilibrium in Incomplete Markets

• 발행기관: 한국계량경제학회
• 저자명: Dong Chul Won
• 간행물 정보: 『JOURNAL OF ECONOMIC THEORY AND ECONOMETRICS』Vol.28 No.3, 1~21쪽, 전체 21쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2017.09.30

영문 초록

The paper is a sequel to Won (2016) which attempts to characterize full-rank GEI equilibrium as pre-GEI equilibrium. The pre-GEI equilibrium ap-proach for computing full-rank GEI equilibrium is useful because pre-GEI equi-librium always exist under standard conditions. The goal of the current paper is to develop algorithms which can be implemented to compute pre-GEI equilib-rium. The algorithms are built on a prototype system of equations which consist of the first-order conditions for utility maximization and market clearing condi-tions. The prototype system can be directly encoded into an algorithm or can be transformed into implementable forms for algorithms such as homotopy path-following algorithms. Two examples are presented where the algorithms are implemented to compute pre-GEI equilibrium and their performance are com-paratively discussed.

목차

1.INTRODUCTION

2. THE MODEL

3. PRE-GEI EQUILIBRIUM AND FULL-RANK GEI EQUILIBRIUM

4. ALGORITHMS FOR COMPUTING PRE-GEI EQUILIBRIUM

5. EXAMPLES

6. CONCLUSION

키워드

incomplete markets pre-GEI equilibrium real assets homotopy path-following algorithms quasi-solution.