Description

Fortran code for subroutines that define general equilibrium in a range of models: complete markets (GE),  incomplete markets (GEI) and incomplete markets with collateral (GEIC) and with default penalties (GEI_λ). 
These subroutines include inputs, nonlinear system and outputs.
The random generation of inputs, including initial points, collateral, default penalties, was made through shell manipulation of the output of the random number generator /dev/urandom (provided by Linux).
We characterized an equilibrium as a simultaneous solution of a nonlinear system.
In all cases the nonlinear system is solved using ALGENCAN and the compiler gfortran.

Instructions

Choose a General Equilibrium model from the list below. Download the model and the examples below and also download the method ALGENCAN from the Tango Project home page, and follow the instructions given in its README file.
Save the subroutine for General Equilibrium Model in the folder: $(ALGENCAN)/sources/problems/
Save the examples in the folder: $(ALGENCAN)/bin/

Subroutine for General Equilibrium Model	Description*	Examples**
Complete markets (GE) GEsystem.f	Given a endowments, durability technologies and probability of states , the GE system is solved. It's characterized by the first order conditions of the consumer's problem, market clearing and price normalization.	fortranGE.tar.gz
Incomplete markets (GEI) GEIsystem.f	Given a endowments, durability technologies, probability of states and promise in the asset , the GEI system is solved. It's characterized by the first order conditions of the consumer's problem, market clearing and price normalization.	fortranGEI.tar.gz
GEI with collateral (GEIC) Colsystem.f	Given a endowments, durability technologies, probability of states, promise in the asset and collateral requirement , the GEIC system is solved. It's characterized by the first order conditions of the consumer's problem, market clearing, price normalization, portfolio condition and boundary conditions.	fortrancol.tar.gz
GEI with default penalties (GEIλ) Pensystem.f	Given a endowments, durability technologies, probability of states, promise in the asset penalty, bound on sale of asset and variable "b" , the GEIλ system is solved. It's characterized by the first order conditions of the consumer's problem, market clearing, price normalization, portfolio condition, boundary conditions and inequalities for non-negativity of the default and bound on sale of asset.	fortranpen.tar.gz

* All subroutines are solved with logarithmic utility function. You can modify the subroutine to solve with another utility function and must modify also the analytical derivatives or used the approximations (coded( 5) = .false. in your subroutine).
** To extract, run in an UNIX shell: tar -xzf name.tar.gz. These examples correspond to Section 4.1.1 in paper "Computing general equilibrium with incomplete markets with collateral and default penalties".

Problems with downloading? Please, write to schommer@impa.br

If you use this code, the author would appreciate your acknowledging having done so in the reports, publications etc., resulting from their use.