Solving for Country Portfolios in Open Economy Macro Models

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.

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Year of publication:	2007-12-01
Authors:	Devereux, Michael B. ; Sutherland, Alan
Institutions:	International Monetary Fund (IMF)
Subject:	Payments imbalances \| Markets \| Trade \| Bonds \| equations \| equation \| equilibrium solution \| covariance \| asset markets \| bond \| nominal bonds \| returns on bonds \| international capital \| foreign bonds \| general equilibrium model \| perturbation \| hedge \| international finance \| general equilibrium models \| nominal exchange rate \| foreign equity \| random variable \| equation system \| financial markets \| random variables \| financial globalization \| international financial markets \| hedging \| separability \| stock market \| standard deviation \| algebra

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Extent:	application/pdf
Series:	IMF Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	The text is part of a series IMF Working Papers Number 07/284 2 pages long
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005826170