Abstract This paper is concerned with the existence and computation of general equilibrium with incomplete asset markets and default. Due to the incompleteness of asset markets, the excess demand functions are typically not continuous at prices and delivery rates for which the assets have redundant nominal deliveries. This discontinuity results in a serious problem for the existence and computation of general equilibrium. We show that this problem can be resolved by replacing the nominal delivery matrix with a constant-rank one and restricting the macro variables in a subset of the domains. With this approach, the economies with incomplete markets and default penalties can be analyzed with differentiable homotopy techniques, and thus in the same framework as standard general equilibrium models. As a by-product, the existence of equilibrium is ensured for generic economies. Several computational examples demonstrate the effectiveness of the algorithm and show some quantitative features of equilibria in the model with default penalties.

中文翻译：

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确定具有不完全市场和违约惩罚的一般均衡

摘要 本文研究了资产市场不完全和违约情况下一般均衡的存在和计算。由于资产市场的不完备性，在资产具有冗余名义交付的价格和交付率下，超额需求函数通常不连续。这种不连续性给一般均衡的存在和计算带来了严重的问题。我们表明，可以通过用恒定秩矩阵替换名义传递矩阵并将宏变量限制在域子集中来解决这个问题。通过这种方法，可以使用可微同伦技术分析具有不完整市场和违约惩罚的经济体，因此可以在与标准一般均衡模型相同的框架中进行分析。作为副产品，确保一般经济存在均衡。几个计算示例证明了该算法的有效性，并显示了模型中具有默认惩罚的均衡的一些定量特征。