Solving General Equilibrium Models with Incomplete Markets and Many Assets

Martin Evans and Viktoria Hnatkovska ()

No 318, NBER Technical Working Papers from National Bureau of Economic Research, Inc

Abstract: This paper presents a new numerical method for solving general equilibrium models with many assets. The method can be applied to models where there are heterogeneous agents, time-varying investment opportunity sets, and incomplete markets. It also can be used to study models where the equilibrium dynamics are non-stationary. We illustrate how the method is used by solving a one-- and two-sector versions of a two--country general equilibrium model with production. We check the accuracy of our method by comparing the numerical solution to the one-sector model against its known analytic properties. We then apply the method to the two-sector model where no analytic solution is available.

JEL-codes: C68 D52 G11 (search for similar items in EconPapers)
Date: 2005-10
New Economics Papers: this item is included in nep-bec and nep-fin
Note: TWP
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Citations: View citations in EconPapers (16)

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Related works:
Working Paper: Solving General Equilibrium Models with Incomplete Markets and Many Assets (2005)
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