Computing Equilibria in Finance Economies

P. Jean-Jacques Herings () and Felix Kubler ()

No 10, Research Memoranda from Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization

Abstract: The general equilibrium model with incomplete asset markets provides a unified framework for many problems in finance and macroeconomics. In its simplest version with only two time periods and a single physical commodity the model is ideally suited for the study of problems in cross sectional asset pricing and portfolio theory. In this paper we develop a homotopy algorithm to approximate equilibria in these ''finance economies''. Since the algorithm is tailor made for finance economies, the number of nonlinear equations that has to be solved for, and therefore the computing time,is an order of magnitude smaller than that of existing general purpose algorithms.The algorithm is shown to be generically convergent. We implement the algorithm using HOMPACK. To illustrate its performance, we present various numerical examples and report running times.

Keywords: Economics (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cmp and nep-fin
Date: 2002
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (5) Track citations by RSS feed

Downloads: (external link)
http://137.120.22.236/www-edocs/loader/file.asp?id=567 (application/pdf)
Our link check indicates that this URL is bad, the error code is: 500 Can't connect to 137.120.22.236:80 (10060)

Related works:
Working Paper: Computing equilibria in finance economies (2002)
Working Paper: Computing Equilibria in Finance Economies (2001)
Working Paper: Computing Equilibria in Finance Economies (2000)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:dgr:umamet:2002010

Access Statistics for this paper

More papers in Research Memoranda from Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization
Series data maintained by Charles Bollen ().