Solving General Equilibrium Models With Incomplete Markets And Many Assets

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Solving General Equilibrium Models with Incomplete Markets and Many Assets

Martin D. D. Evans,Viktoria Hnatkovska
Solving General Equilibrium Models with Incomplete Markets and Many Assets Book PDF

Author : Martin D. D. Evans,Viktoria Hnatkovska
Publisher : Unknown
Page : 28 pages
File Size : 41,7 Mb
Release : 2005
Category : Economics
ISBN : OCLC:254699566

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Solving General Equilibrium Models with Incomplete Markets and Many Assets by Martin D. D. Evans,Viktoria Hnatkovska Pdf

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

General Equilibrium Foundations of Finance

Thorsten Hens,Beate Pilgrim
General Equilibrium Foundations of Finance Book PDF

Author : Thorsten Hens,Beate Pilgrim
Publisher : Springer Science & Business Media
Page : 313 pages
File Size : 46,6 Mb
Release : 2013-03-09
Category : Business & Economics
ISBN : 9781475753172

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General Equilibrium Foundations of Finance by Thorsten Hens,Beate Pilgrim Pdf

The purpose of this book is to give a sound economic foundation of finance. Finance is a coherent branch of applied economics that is designed to understand financial markets in order to give advice for practical financial decisions. This book argues that for a sound economic foundation of finance the famous general equilibrium model which in its modern form emphasizes the incompleteness of financial markets is well suited. The aim of the book is to demonstrate that financial markets can be meaningfully embedded into a more general system of markets including, for example, commodity markets. The interaction of these markets can be described via the well known notion of a competitive equilibrium. We argue that for a sound foundation this competitive equilibrium should be unique. In a first step we demonstrate that this essential goal cannot of be achieved based only on the rationality principle, i. e. on the assumption utility maximization of some utility function subject to the budget constraint. In particular we show that this important lack of structure is disturbing as well for the case of mean-variance utility functions which are the basis of the Capital Asset Pricing Model, one of the cornerstones of finance. The final goal of our book is to give reasonable restrictions on the agents' utility functions which lead to a well determined financial markets model.

Differential Topology and General Equilibrium with Complete and Incomplete Markets

Antonio Villanacci,Laura Carosi,Pierluigi Benevieri,Andrea Battinelli
Differential Topology and General Equilibrium with Complete and Incomplete Markets Book PDF

Author : Antonio Villanacci,Laura Carosi,Pierluigi Benevieri,Andrea Battinelli
Publisher : Springer Science & Business Media
Page : 495 pages
File Size : 51,6 Mb
Release : 2013-04-17
Category : Mathematics
ISBN : 9781475736199

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Differential Topology and General Equilibrium with Complete and Incomplete Markets by Antonio Villanacci,Laura Carosi,Pierluigi Benevieri,Andrea Battinelli Pdf

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 .

Frontiers in Applied General Equilibrium Modeling

Timothy J. Kehoe,T. N. Srinivasan,John Whalley
Frontiers in Applied General Equilibrium Modeling Book PDF

Author : Timothy J. Kehoe,T. N. Srinivasan,John Whalley
Publisher : Cambridge University Press
Page : 452 pages
File Size : 46,9 Mb
Release : 2005-01-17
Category : Business & Economics
ISBN : 9781139443722

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Frontiers in Applied General Equilibrium Modeling by Timothy J. Kehoe,T. N. Srinivasan,John Whalley Pdf

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.

Essays in Dynamic General Equilibrium Theory

Alessandro Citanna
Essays in Dynamic General Equilibrium Theory Book PDF

Author : Alessandro Citanna
Publisher : Springer Science & Business Media
Page : 296 pages
File Size : 43,9 Mb
Release : 2005-01-17
Category : Business & Economics
ISBN : 3540222677

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Essays in Dynamic General Equilibrium Theory by Alessandro Citanna Pdf

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.

Solving for Country Portfolios in Open Economy Macro Models

Michael B. Devereux,Alan Sutherland
Solving for Country Portfolios in Open Economy Macro Models Book PDF

Author : Michael B. Devereux,Alan Sutherland
Publisher : International Monetary Fund
Page : 34 pages
File Size : 40,6 Mb
Release : 2007-12
Category : Business & Economics
ISBN : UCSD:31822035536135

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Solving for Country Portfolios in Open Economy Macro Models by Michael B. Devereux,Alan Sutherland Pdf

This paper presents a general approximation method for characterizing time-varying equilibrium portfolios in a two-country dynamic general equilibrium model. the method can be easily adapted to most dynamic general equilibrium models, it applies to environments in which markets are complete or incomplete, and it can be used for models of any dimension. Moreover, the approximation provides simple, easily interpretable closed form solutions for the dynamics of equilibrium portfolios.

The Structure of Applied General Equilibrium Models

Victor Ginsburgh,Michiel Keyzer
The Structure of Applied General Equilibrium Models Book PDF

Author : Victor Ginsburgh,Michiel Keyzer
Publisher : MIT Press
Page : 580 pages
File Size : 54,6 Mb
Release : 2002
Category : Business & Economics
ISBN : 0262571579

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The Structure of Applied General Equilibrium Models by Victor Ginsburgh,Michiel Keyzer Pdf

Bridges the gap between applied and theoretical general equilibrium models.

Computable General Equilibrium Modeling

Kenneth Castellanos,Andrew Feltenstein,Gohar Sedrakyan
Computable General Equilibrium Modeling Book PDF

Author : Kenneth Castellanos,Andrew Feltenstein,Gohar Sedrakyan
Publisher : Taylor & Francis
Page : 147 pages
File Size : 50,5 Mb
Release : 2023-09-08
Category : Business & Economics
ISBN : 9781000937534

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Computable General Equilibrium Modeling by Kenneth Castellanos,Andrew Feltenstein,Gohar Sedrakyan Pdf

Many books have been written on computable general equilibrium (CGE) modeling. However, there are certain important areas for economic policy that have been largely overlooked. This intermediate/advanced text presents the topic as a methodology for the analysis of macro and fiscal policies in modern economies while introducing levels of disaggregation that are beyond the scope of standard macro models. The book begins by presenting the historical and intuitive background of general equilibrium analysis. Moving on, computer software is introduced to derive numerical solutions for economic models. The authors provide examples of code, bringing in data sources that have become the foundations of CGE applications. The methodology presented here, which differs from other CGE books, includes financial assets, government budget deficits, and debt financing of private investment. These topics are analyzed in the context of dynamic optimization, generating endogenous variables such as inflation, interest, and growth rates. The book also devotes significant attention to the applications of CGE models to developing economies. This textbook comes with a range of downloadable supplements and will be a valuable resource for students taking a CGE course as part of a program in advanced microeconomics, macroeconomics, development economics, or international trade economics.

General Equilibrium Analysis

Monique Florenzano
General Equilibrium Analysis Book PDF

Author : Monique Florenzano
Publisher : Springer Science & Business Media
Page : 187 pages
File Size : 52,8 Mb
Release : 2013-03-09
Category : Business & Economics
ISBN : 9781475753158

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General Equilibrium Analysis by Monique Florenzano Pdf

General Equilibrium Analysis is a systematic exposition of the Walrasian model of economic equilibrium with a finite number of agents, as formalized by Arrow, Debreu and McKenzie at the beginning of the fifties and since then extensively used, worked and studied. Existence and optimality of general equilibrium are developed repeatedly under different sets of hypothesis which define some general settings and delineate different approaches to the general equilibrium existence problem. The final chapter is devoted to the extension of the general equilibrium model to economies defined on an infinite dimensional commodity space. The objective of General Equilibrium Analysis is to give to each problem in each framework the most general solution, at least for the present state of art. The intended readers are graduate students, specialists and researchers in economics, especially in mathematical economics. The book is appropriate as a class text, or for self-study.

Notes and Problems in Applied General Equilibrium Economics

K.R. Pearson,B.R. Parmenter,A.A. Powell,P.J. Wilcoxen,P.B. Dixon
Notes and Problems in Applied General Equilibrium Economics Book PDF

Author : K.R. Pearson,B.R. Parmenter,A.A. Powell,P.J. Wilcoxen,P.B. Dixon
Publisher : Elsevier
Page : 409 pages
File Size : 49,9 Mb
Release : 2014-06-28
Category : Business & Economics
ISBN : 9780080934037

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Notes and Problems in Applied General Equilibrium Economics by K.R. Pearson,B.R. Parmenter,A.A. Powell,P.J. Wilcoxen,P.B. Dixon Pdf

"General-equilibrium" refers to an analytical approach which looks at the economy as a complete system of inter-dependent components (industries, households, investors, governments, importers and exporters). "Applied" means that the primary interest is in systems that can be used to provide quantitative analysis of economic policy problems in particular countries. Reflecting the authors' belief in the models as vehicles for practical policy analysis, a considerable amount of material on data and solution techniques as well as on theoretical structures has been included. The sequence of chapters follows what is seen as the historical development of the subject. The book is directed at graduate students and professional economists who may have an interest in constructing or applying general equilibrium models. The exercises and readings in the book provide a comprehensive introduction to applied general equilibrium modeling. To enable the reader to acquire hands-on experience with computer implementations of the models which are described in the book, a companion set of diskettes is available.

General Equilibrium Models of Monetary Economies

Ross M. Starr
General Equilibrium Models of Monetary Economies Book PDF

Author : Ross M. Starr
Publisher : Academic Press
Page : 364 pages
File Size : 46,7 Mb
Release : 2014-05-10
Category : Business & Economics
ISBN : 9781483273518

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General Equilibrium Models of Monetary Economies by Ross M. Starr Pdf

General Equilibrium Models of Monetary Economies: Studies in the Static Foundations of Monetary Theory is a collection of essays that addresses the integration of the theory of money and the theory of value by using a mathematical general equilibrium theory. The papers discuss monetary theory, microeconomic theory, bilateral trade, transactions costs, intertemporal allocation, and the value of money. The Arrow-Debreu model of Walrasian general equilibrium theory provides a framework to represent money as a device for facilitating trade among economic agents without the use of money as a medium of exchange and as a store of value. The essays analyze the rationale for using a medium of exchange, for using a store of value, and for holding of idle balances in equilibrium. The essays show that by explicit modeling of the structure and difficulties of trade, a powerful class of models which deny money and finance a role in the economy, has by itself shown to have provided the foundation for the structures of trade. The collection will prove helpful for economists, statistician, mathematicians, students or professors of economics and business.

Financial Markets Theory

Emilio Barucci
Financial Markets Theory Book PDF

Author : Emilio Barucci
Publisher : Springer Science & Business Media
Page : 488 pages
File Size : 44,6 Mb
Release : 2002-12-11
Category : Business & Economics
ISBN : 185233469X

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Financial Markets Theory by Emilio Barucci Pdf

A presentation of classical asset pricing theory, this textbook is the only one to address the economic foundations of financial markets theory from a mathematically rigorous standpoint and to offer a self-contained critical discussion based on empirical results. Tools for understanding the economic analysis are provided, and mathematical models are presented in discrete time/finite state space for simplicity. Examples and exercises included.

Partial- Vs. General-equilibrium Models of the International Capital Market

Bernard Dumas
Partial Vs General equilibrium Models of the International Capital Market Book PDF

Author : Bernard Dumas
Publisher : Unknown
Page : 72 pages
File Size : 48,5 Mb
Release : 1993
Category : Capital market
ISBN : UCSD:31822015496185

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Partial- Vs. General-equilibrium Models of the International Capital Market by Bernard Dumas Pdf

In this essay, I discuss and compare two ways of modeling international capital market equilibrium: the orthodox, general-equilibrium approach and the heterodox, partial-equilibrium CAPM (Capital Asset Pricing Model) approach. The benchmark for this comparison is the model's ability to provide an explanation for, or take into account, a number of stylized facts of international finance: UIRP deviations, home-equity preference, PPP deviations and their persistence, consumption behavior in relation to wealth. In addition, I ask which approach is more likely in future research to help us identify the relevant state variables of the economy. None of the models satisfactorily explains the stylized facts but the CAPM approach affords the most productive avenue for empirical research in the immediate future.

Issues in General Economic Research and Application: 2013 Edition

Anonim
Issues in General Economic Research and Application 2013 Edition Book PDF

Author : Anonim
Publisher : ScholarlyEditions
Page : 1229 pages
File Size : 46,6 Mb
Release : 2013-05-01
Category : Business & Economics
ISBN : 9781490106885

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Issues in General Economic Research and Application: 2013 Edition by Anonim Pdf

Issues in General Economic Research and Application: 2013 Edition is a ScholarlyEditions™ book that delivers timely, authoritative, and comprehensive information about Theoretical Economics. The editors have built Issues in General Economic Research and Application: 2013 Edition on the vast information databases of ScholarlyNews.™ You can expect the information about Theoretical Economics in this book to be deeper than what you can access anywhere else, as well as consistently reliable, authoritative, informed, and relevant. The content of Issues in General Economic Research and Application: 2013 Edition has been produced by the world’s leading scientists, engineers, analysts, research institutions, and companies. All of the content is from peer-reviewed sources, and all of it is written, assembled, and edited by the editors at ScholarlyEditions™ and available exclusively from us. You now have a source you can cite with authority, confidence, and credibility. More information is available at http://www.ScholarlyEditions.com/.

Economic Dynamics and General Equilibrium

Anders Borglin
Economic Dynamics and General Equilibrium Book PDF

Author : Anders Borglin
Publisher : Springer Science & Business Media
Page : 422 pages
File Size : 42,5 Mb
Release : 2004-01-22
Category : Business & Economics
ISBN : 3540002650

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Economic Dynamics and General Equilibrium by Anders Borglin Pdf

The developments of economic theory in the 1950s served to pinpoint important underlying assumptions in the study of market institutions. The conflict between observed institutions and the benchmark interpretation became apparent. This led to the introduction of new equilibrium concepts. The emphasis was on the possibilities to transfer purchasing power over time using spot markets involving assets or money. This advanced textbook focuses on the developments in the theory of incomplete markets and overlapping generations economies where income transfers over time are restricted either by available assets or by the unfeasibility of contracts with unborn generations. It bridges the gap between standard textbooks on microeconomics and more advanced expositions. Contains diagrams, examples and exercises.