Computing equilibria in economies with incomplete markets, collateral and default penalties

Susan Schommer ()

Annals of Operations Research, 2013, vol. 206, issue 1, 367-383

Abstract: This article implements an Augmented Lagrangian algorithm to compute equilibria in a general equilibrium model with incomplete markets and default. It is one of the first attempts to solve such a model on a large scale. Convergence is found for various economic parameters. We illustrate the effectiveness of this approach for simulating general equilibrium economies with a default. Copyright Springer Science+Business Media New York 2013

Date: 2013
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DOI: 10.1007/s10479-012-1276-1

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