Not logged in.
Quick Search - Contribution
Contribution Details
| Type | Journal Article |
| Scope | Discipline-based scholarship |
| Title | Computing equilibria in finance economies with incomplete markets and transaction costs |
| Organization Unit | |
| Authors |
|
| Item Subtype | Original Work |
| Refereed | Yes |
| Status | Published in final form |
| Language |
|
| Journal Title | Economic Theory |
| Publisher | Springer |
| Geographical Reach | international |
| ISSN | 0938-2259 |
| Volume | 27 |
| Number | 3 |
| Page Range | 493 - 512 |
| Date | 2006 |
| Abstract Text | Transaction costs on financial markets may have important consequences for volumes of trade, asset pricing, and welfare. This paper introduces an algorithm for the computation of equilibria in the general equilibrium model with incomplete asset markets and transaction costs. We show that economies with transaction costs can be analyzed with differentiable homotopy techniques and thus in the same framework as frictionless economies despite the existence of non-differentiabilities of agents’ asset demand functions and the existence of locally non-unique equilibria. We introduce an equilibrium selection concept into the computation of economic equilibria that picks out a specific equilibrium in the presence of a continuum of equilibria. |
| Free access at | DOI |
| Digital Object Identifier | 10.1007/s00199-004-0583-4 |
| Other Identification Number | merlin-id:3541 |
| Export |
BibTeX
EP3 XML (ZORA)
|