Country Portfolio Dynamics

Author/Editor:

Alan Sutherland ; Michael B. Devereux

Publication Date:

December 1, 2007

Electronic Access:

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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.

Series:

Working Paper No. 2007/283

Subject:

Bonds Consumption Currencies General equilibrium models

English

Publication Date:

December 1, 2007

ISBN/ISSN:

9781451868463/1018-5941

Stock No:

WPIEA2007283

Pages:

27

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