Solving General Equilibrium Models With Incomplete Markets And Many Assets
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Author | : Martin D. D. Evans |
Publisher | : |
Total Pages | : 28 |
Release | : 2005 |
Genre | : Economics |
ISBN | : |
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
Author | : Martin D.D Evans |
Publisher | : |
Total Pages | : 0 |
Release | : 2008 |
Genre | : |
ISBN | : |
This paper presents a new numerical method for solving stochastic general equilibrium models with dynamic portfolio choice over many financial assets. The method can be applied to models where there are heterogeneous agents, time-varying investment opportunity sets, and incomplete asset markets. We illustrate how the method is used by solving two versions of a two-country general equilibrium model with production and dynamic portfolio choice. We check the accuracy of our method by comparing the numerical solution to a complete markets version of the model against its known analytic properties. We then apply the method to an incomplete markets version where no analytic solution is available. In both models and for different degrees of risk aversion the standard accuracy tests confirm the effectiveness of our method.
Author | : Timothy J. Kehoe |
Publisher | : Cambridge University Press |
Total Pages | : 452 |
Release | : 2005-01-17 |
Genre | : Business & Economics |
ISBN | : 1139443720 |
This 2005 volume brings together twelve papers by many of the most prominent applied general equilibrium modelers honoring Herbert Scarf, the father of equilibrium computation in economics. It deals with developments in applied general equilibrium, a field which has broadened greatly since the 1980s. The contributors discuss some traditional as well as some modern topics in the field, including non-convexities in economy-wide models, tax policy, developmental modeling and energy modeling. The book also covers a range of distinct approaches, conceptual issues and computational algorithms, such as calibration and areas of application such as macroeconomics of real business cycles and finance. An introductory chapter written by the editors maps out issues and scenarios for the future evolution of applied general equilibrium.
Author | : Alessandro Citanna |
Publisher | : Springer Science & Business Media |
Total Pages | : 296 |
Release | : 2005-01-17 |
Genre | : Business & Economics |
ISBN | : 9783540222675 |
This collection of essays honors David Cass on the 30th anniversary of his joining the faculty of the Department of Economics at the University of Pennsylvania. Prof. Cass’s work has spawned a number of important lines of research in Economics, including the study of dynamic general equilibrium, the concept of sunspot equilibria, and general equilibrium theory when markets are incomplete. These essays, by his students and co-authors, celebrate his work and his influence on the profession.
Author | : Thorsten Hens |
Publisher | : |
Total Pages | : 157 |
Release | : 1991 |
Genre | : |
ISBN | : |
Author | : Karl Schmedders |
Publisher | : |
Total Pages | : 168 |
Release | : 1996 |
Genre | : |
ISBN | : |
Author | : Antonio Villanacci |
Publisher | : Springer |
Total Pages | : 0 |
Release | : 2010-12-07 |
Genre | : Mathematics |
ISBN | : 9781441953063 |
General equilibrium In this book we try to cope with the challenging task of reviewing the so called general equilibrium model and of discussing one specific aspect of the approach underlying it, namely, market completeness. With the denomination "general equilibrium" (from now on in short GE) we shall mainly refer to two different things. On one hand, in particular when using the expression "GE approach", we shall refer to a long established methodolog ical tradition in building and developing economic models, which includes, as of today, an enormous amount of contributions, ranging in number by several 1 thousands • On the other hand, in particular when using the expression "stan dard differentiable GE model", we refer to a very specific version of economic model of exchange and production, to be presented in Chapters 8 and 9, and to be modified in Chapters 10 to 15. Such a version is certainly formulated within the GE approach, but it is generated by making several quite restrictive 2 assumptions • Even to list and review very shortly all the collective work which can be ascribed to the GE approach would be a formidable task for several coauthors in a lifetime perspective. The book instead intends to address just a single issue. Before providing an illustration of its main topic, we feel the obligation to say a word on the controversial character of GE. First of all, we should say that we identify the GE approach as being based 3 on three principles .
Author | : Thorsten Hens |
Publisher | : |
Total Pages | : 40 |
Release | : 1991 |
Genre | : |
ISBN | : |
Author | : Burkhard Heer |
Publisher | : Springer Science & Business Media |
Total Pages | : 719 |
Release | : 2011-10-20 |
Genre | : Business & Economics |
ISBN | : 3540856846 |
Modern business cycle theory and growth theory uses stochastic dynamic general equilibrium models. In order to solve these models, economists need to use many mathematical tools. This book presents various methods in order to compute the dynamics of general equilibrium models. In part I, the representative-agent stochastic growth model is solved with the help of value function iteration, linear and linear quadratic approximation methods, parameterised expectations and projection methods. In order to apply these methods, fundamentals from numerical analysis are reviewed in detail. In particular, the book discusses issues that are often neglected in existing work on computational methods, e.g. how to find a good initial value. In part II, the authors discuss methods in order to solve heterogeneous-agent economies. In such economies, the distribution of the individual state variables is endogenous. This part of the book also serves as an introduction to the modern theory of distribution economics. Applications include the dynamics of the income distribution over the business cycle or the overlapping-generations model. In an accompanying home page to this book, computer codes to all applications can be downloaded.
Author | : Eva Cárceles Poveda |
Publisher | : |
Total Pages | : 81 |
Release | : 2005 |
Genre | : |
ISBN | : |