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

Format:

Book

Author/Creator:

Evans, Martin D. D.

Contributor:

National Bureau of Economic Research.

Hnatkovska, Viktoria.

Series:

Technical Working Paper Series (National Bureau of Economic Research) no. t0318.

NBER technical working paper series no. t0318

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2005.

Summary:

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.

Notes:

Print version record

October 2005.