Solving for Country Portfolios in Open Economy Macro Models
December 1, 2007
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Summary
This paper presents a general approximation method for characterizing time-varying equilibrium portfolios in a two-country dynamic general equilibrium model. the method can be easily adapted to most dynamic general equilibrium models, it applies to environments in which markets are complete or incomplete, and it can be used for models of any dimension. Moreover, the approximation provides simple, easily interpretable closed form solutions for the dynamics of equilibrium portfolios.
Subject: Asset allocation, Bonds, General equilibrium models, Securities markets, Stocks
Keywords: mover accent, WP
Pages:
27
Volume:
2007
DOI:
Issue:
284
Series:
Working Paper No. 2007/284
Stock No:
WPIEA2007284
ISBN:
9781451868470
ISSN:
1018-5941
