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Monetary policy and portfolio choice in an open economy macro model
Devereux, Michael B.; Sutherland, Alan - In: Journal of the European Economic Association 5 (2007) 2/3, pp. 491-499
Persistent link: https://www.econbiz.de/10003483679
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Portfolio Choice in a Monetary Open-Economy DSGE Model
Engel, Charles M. - 2010
This paper develops a two-country monetary DSGE model in which households choose a portfolio of home and foreign equities, and a forward position in foreign exchange. Some goods prices are set without full information of the state. We show that temporarily sticky nominal goods prices can have...
Persistent link: https://www.econbiz.de/10012761579
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Portfolio Choice in a Monetary Open-Economy DSGE Model
Engel, Charles - 2006
This paper develops a two-country monetary DSGE model in which households choose a portfolio of home and foreign equities, and a forward position in foreign exchange. Some goods prices are set without full information of the state. We show that temporarily sticky nominal goods prices can have...
Persistent link: https://www.econbiz.de/10012466454
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Stabilizing an unstable economy : on the choice of proper policy measures
Asada, Tōichirō; Chiarella, Carl; Flaschel, Peter; … - 2009
Currently, many monetary and fiscal policy measures are aimed at preventing the financial market meltdown that started in the US subprime sector and has spread worldwide as a great recession. Although some slow recovery appears to be on the horizon, it is worthwhile exploring the fragility and...
Persistent link: https://www.econbiz.de/10003905077
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Stabilizing an unstable economy : on the choice of proper policy measures
Asada, Tōichirō; Chiarella, Carl; Flaschel, Peter; … - 2010
In the last months, the world's economies were confronted with the largest economic recession since the Great Depression. The occurrence of a worldwide financial market meltdown as a consequence originally stemming from of the crisis in the US subprime housing sector was only prevented by...
Persistent link: https://www.econbiz.de/10003985522
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Modeling liquidity effects in discrete time
Çetin, Umut; Rogers, Leonard C. G. - In: Mathematical finance : an international journal of … 17 (2007) 1, pp. 15-29
Persistent link: https://www.econbiz.de/10003543099
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The True Invariant of an Arbitrage Free Portfolio : Finite Liquidity Effect
Schmidt, Anatoly B. - 2012
The Black-Scholes theory for a portfolio with an arbitrary number of shares, x, is expanded for the case of finite …
Persistent link: https://www.econbiz.de/10013101006
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Optimal Portfolio Selection : The Role of Illiquidity and Investment Horizon
Cheng, Ping - 2017
Modern Portfolio Theory is a single-period model developed for the efficient securities market, in which asset prices … market paradigm; however, mixed-asset portfolio analysis continues to rely on Modern Portfolio Theory. This paper proposes an … alternative model that extends the Modern Portfolio Theory to accommodate multi-period utility maximization as well as the unique …
Persistent link: https://www.econbiz.de/10012961796
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Liquidity Effects of Institutional Investment Horizons
Lei, Zhen - 2018
We examine whether institutional investors with different investment horizons exert different influences on a stock's liquidity effects. Our findings show that stocks increased by short-term institutions become more liquid while stocks increased by long-term institutions become less liquid....
Persistent link: https://www.econbiz.de/10012928309
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Portfolio choice in a monetary open-economy DSGE model
Engel, Charles; Matsumoto, Akito - 2006
Persistent link: https://www.econbiz.de/10003326089