Software

General Equilibrium with incomplete markets and default

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 (GEIλ). 

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/

* 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.