Solving for Country Portfolios in Open Economy Macro Models
Electronic Access:
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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. 2007/284
Subject:
Asset allocation Bonds General equilibrium models Securities markets Stocks
English
Publication Date:
December 1, 2007
ISBN/ISSN:
9781451868470/1018-5941
Stock No:
WPIEA2007284
Pages:
27
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