Solving for Country Portfolios in Open Economy Macro Models

ByMichael B. Devereux, Alan Sutherland

December 1, 2007

Download PDF

More Formats on IMF eLibrary

Order a Print Copy

More formats on IMF eLibrary

Order a Print Copy

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

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:
https://doi.org/10.5089/9781451868470.001
Issue:
284
Series:
Working Paper No. 2007/284
Stock No:
WPIEA2007284
ISBN:
9781451868470
ISSN:
1018-5941

IMF’s Work

RESOURCES

TOPICS

Flagship Publications

Other Publications

IMF reports and publications by country

Regional Offices

All News

See Also

For Journalists

Press Center

RESOURCES

FLAGSHIPS

KEY SERIES

IMF NOTES

Loading component...

IMF Working Papers