Solving DSGE Portfolio Choice Models with Asymmetric Countries

Grzegorz Długoszek

VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking from Verein für Socialpolitik / German Economic Association

Abstract: This paper combines the bifurcation theory and the nonlinear moving average approximation to solve asymmetric DSGE models with portfolio choice. Contrary to existing local solution techniques, the proposed method captures the direct effect of risk on agents’ portfolios. The risk-adjusted net and gross asset positions are shown to lie close to the ergodic mean of the global solution. Hence, the method is able to account for asymmetries in the model, which improves accuracy of the approximation.

JEL-codes: E44 F41 G11 (search for similar items in EconPapers)
Date: 2017
New Economics Papers: this item is included in nep-dge, nep-mac and nep-opm
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Citations: View citations in EconPapers (1)

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https://www.econstor.eu/bitstream/10419/168182/1/VfS-2017-pid-3002.pdf (application/pdf)

Related works:
Working Paper: Solving DSGE portfolio choice models with asymmetric countries (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:vfsc17:168182

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