Asymptotic methods for asset market equilibrium analysis
Asymptotic methods for asset market equilibrium analysis
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DOI：
10.1007/pl00004130
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发表时间：
2001-06-01
期刊：
影响因子：
1.3
通讯作者：
Guu, SM
中科院分区：
文献类型：
--
作者：
Judd, KL;Guu, SM
当资产市场不完整时，一般均衡分析很困难。我们简化假设，不确定性是小的，并使用分歧的方法来计算泰勒级数近似的资产需求和资产市场均衡。必须使用计算机来推导这些近似值，因为它们涉及大量的代数运算，我们使用这种方法来分析引入新的安全的分配和福利效应。我们发现，增加任何非平凡的衍生证券将提高风险证券相对于债券的价格时，风险是小的。
General equilibrium analysis is difficult when asset markets are incomplete. We make the simplifying assumption that uncertainty is small and use bifurcation methods to compute Taylor series approximations for asset demand and asset market equilibrium. A computer must be used to derive these approximations since they involve large amounts of algebraic manipulation, We use this method to analyze the allocative and welfare effects of introducing a new security. We find that adding any nontrivial derivative security will raise the price of the risky security relative to the bond when risks are small.