Country portfolios in open economy macro models
Michael Devereux () and
Alan Sutherland ()
No 9, Globalization Institute Working Papers from Federal Reserve Bank of Dallas
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: E52 E58 F41 (search for similar items in EconPapers)
Pages: 30 pages
New Economics Papers: this item is included in nep-cba, nep-dge, nep-mac and nep-opm
Note: Published as: Devereux, Michael B. and Alan Sutherland (2010), "Country Portfolios Dynamics," Journal of Economic Dynamics and Control 34 (7): 1325-1342.
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Journal Article: COUNTRY PORTFOLIOS IN OPEN ECONOMY MACRO‐MODELS (2011)
Working Paper: Country Portfolios in Open Economy Macro Models (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:fip:feddgw:09
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