The general equilibrium model with incomplete asset markets provides a unified framework for many problems in finance and macroeconomics. In its simplest version with only two time periods and a single physical commodity the model is ideally suited for the study of problems in cross sectional...

In this paper we argue that in realistically calibrated two period general equilibrium models with incomplete markets CAPM-pricing provides a good benchmark for equilibrium prices even when agents are not mean-variance optimizers and returns are not normally distributed. We numerically...

This paper presents a new numerical algorithm for solving Sylvester equation involved in higher order perturbation method used for solution of stochastic dynamic general equilibrium models. The new algorithm is better than methods used so far (esp. very popular doubling algorithm) in terms of...

We describe algorithm to find higher order approximations of stochastic rational expectations models near the deterministic steady state. Using matrix representation of function derivatives instead of tensor representation we obtain simple expressions of matrix equations determining higher order...

When demands and supplies are uncertain, given the prices, equilibrium cannot be defined by equating them. New equilibria are then formed on modeling markets as the abstract risk taking agent. The theory of acceptable risks is applied to redefine economic equilibrium. The market sets two prices...

El documento aborda los posibles efectos que puede tener la inclusión de agentes noricardianos en un modelo de equilibrio general dinámico sobre el llamado principio deTaylor; al hacerlo se encuentra que el principio de Taylor sólo se modifica bajo ciertascondiciones sobre las rigideces...