A method for solving general equilibrium models with incomplete markets and many financial assets

DOI10.1016/J.JEDC.2012.05.010MaRDI QIDQ318872zbMATH OpenOpenAlexFDO

Authors Martin D. D. Evans, Viktoria Hnatkovska

Publication date 6 October 2016

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jedc.2012.05.010

zbMATH Keywords

portfolio choiceincomplete marketsdynamic stochastic general equilibrium models

Mathematics Subject Classification ID

Portfolio theory (91G10) Dynamic stochastic general equilibrium theory (91B51)

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Cites work

• scientific article; zbMATH DE number 1241609 (Why is no real title available?)
• A Dynamic Equilibrium Model of International Portfolio Holdings
• Accuracy of stochastic perturbation methods: The case of asset pricing models
• Asymptotic methods for aggregate growth models
• Business Cycles and the Asset Structure of Foreign Trade
• Comparing solution methods for dynamic equilibrium economies
• Country portfolio dynamics
• Incomplete asset markets and the cross-country consumption correlation puzzle
• International Risk Sharing and the Transmission of Productivity Shocks
• Projection methods for solving aggregate growth models
• Solving dynamic equilibrium models by a method of undetermined coefficients
• Solving dynamic general equilibrium models using a second-order approximation to the policy function
• Solving linear rational expectations models
• Strategic asset allocation
• Using the generalized Schur form to solve a multivariate linear rational expectations model

Cited in

(8)

• Solving DSGE portfolio choice models with dispersed private information
• Determination of general equilibrium with incomplete markets and default penalties
• Quantitative implications of indexed bonds in small open economies
• Finding Equilibrium in a Financial Model by Solving a Variational Inequality Problem
• Country portfolio dynamics
• A two-period model with portfolio choice: understanding results from different solution methods
• Computing general equilibrium models with occupational choice and financial frictions
• Computing equilibria in the general equilibrium model with incomplete asset markets

Describes a project that uses

Uses Software

• Gensys

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