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Network decomposition of general financial equilibria with transaction costs

โœ Scribed by Nagurney, Anna; Dong, June

Publisher
John Wiley and Sons
Year
1996
Tongue
English
Weight
647 KB
Volume
28
Category
Article
ISSN
0028-3045

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โœฆ Synopsis

In this paper, we developed a new general financial equilibrium model with transaction costs which considers multiple sectors of an economy, each of which seeks to determine its optimal composition of instruments held as assets and as liabilities in its portfolio. The governing equilibrium conditions are shown to satisfy a variational inequality problem, which is then studied in terms of existence and other qualitative properties. A decomposition algorithm is proposed which exploits the underlying generalized network structure of the problem and convergence results obtained. Finally, the algorithm is applied to compute the equilibrium asset, liability, and price pattern in several numerical examples.

๐Ÿ“œ SIMILAR VOLUMES

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General financial equilibrium modeling with policy interventions and transaction costs
โœ Anna Nagurney; June Dong ๐Ÿ“‚ Article ๐Ÿ“… 1996 ๐Ÿ› Springer US ๐ŸŒ English โš– 697 KB

In this paper we develop a general financial equilibrium model with policy interventions, in terms of taxes and price controls, and with transaction costs. The equilibrium conditions governing the financial model are derived and the equilibrium assets, liabilities, and instrument prices are shown to