Existence and computation of a GEI equilibrium
Mercedes Esteban-Bravo ()
DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística
In this paper we propose a general mathematical approach to existence of production equilibria in general economic model with incomplete assets markets, based on mathematical programming theory. In the first part, we demonstrate the existence of a General Equilibrium with Incomplete markets (GEl)}. In the second part, we introduce a concept of local equilibrium and we characterize such an equilibrium as the solution of a nonlinear system of equations. This system is very useful in practice since we avoid to compute the excess demand function that is difficult to obtain in large applied models. Furthermore, our characterization only requires limited short-selling and convexity assumptions at the neighborhood of the solution point. Finally, we also propose an algorithm for computing equilibria by interior point methods and we present numerical examples.
Keywords: General; equilibrium; GEl; equilibrium; Computation; of; equilibria; Interior-point; methods (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:cte:wsrepe:10008
Access Statistics for this paper
More papers in DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística
Bibliographic data for series maintained by Ana Poveda ().