Country Portfolio Dynamics

ByAlan Sutherland, Michael B. Devereux

December 1, 2007

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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: Bonds, Consumption, Currencies, General equilibrium models

Keywords: mover accent, WP

Pages:
27
Volume:
2007
DOI:
https://doi.org/10.5089/9781451868463.001
Issue:
283
Series:
Working Paper No. 2007/283
Stock No:
WPIEA2007283
ISBN:
9781451868463
ISSN:
1018-5941

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