Country Portfolios in Open Economy Macro Models

Michael Devereux and Alan Sutherland ()

No 14372, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: This paper develops a simple approximation method for computing equilibrium portfolios in dynamic general equilibrium open economy macro models. The method is widely applicable, simple to implement, and gives analytical solutions for equilibrium portfolio positions in any combination or types of asset. It can be used in models with any number of assets, whether markets are complete or incomplete, and can be applied to stochastic dynamic general equilibrium models of any dimension, so long as the model is amenable to a solution using standard approximation methods. We first illustrate the approach using a simple two-asset endowment economy model, and then show how the results extend to the case of any number of assets and general economic structure.

JEL-codes: F3 F41 (search for similar items in EconPapers)
Date: 2008-10
New Economics Papers: this item is included in nep-cba, nep-dge and nep-opm
Note: IFM
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Citations: View citations in EconPapers (20)

Published as Michael B. Devereux & Alan Sutherland, 2011. "Country Portfolios In Open Economy Macro‐Models," Journal of the European Economic Association, John Wiley & Sons, Ltd., vol. 9(2), pages 337-369, 04.

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Related works:
Journal Article: COUNTRY PORTFOLIOS IN OPEN ECONOMY MACRO‐MODELS (2011)
Working Paper: Country portfolios in open economy macro models (2008)
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