| Article ID: | iaor20133929 |
| Volume: | 206 |
| Issue: | 1 |
| Start Page Number: | 367 |
| End Page Number: | 383 |
| Publication Date: | Jul 2013 |
| Journal: | Annals of Operations Research |
| Authors: | Schommer Susan |
| Keywords: | augmented Lagrangian, market efficiency |
This article implements an Augmented Lagrangian algorithm to compute equilibria in a general equilibrium model with incomplete markets and default. It is one of the first attempts to solve such a model on a large scale. Convergence is found for various economic parameters. We illustrate the effectiveness of this approach for simulating general equilibrium economies with a default.