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Solving for Country Portfolios in Open Economy Macro Models, Michael Devereux, Alan Sutherland

Contributor
Abstract
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
Table Of Contents
Contents; I. Introduction; II. A Generic Open Economy Model with Country Portfolios; A. First-Order Conditions for Portfolio Allocation and Asset Market Equilibrium; B. Other First-Order and Equilibrium Conditions; III. The Solution Procedure; A. Time Variation; B. Partial Equilibrium in Asset Markets; C. A General Equilibrium Solution for Portfolio Holdings; D. α in a `Near-non-Stochastic' World; E. Summary of the Procedure; IV. Applications of the Method; A. Example 1: A two-Country Endowment Model with Trade in Nominal Bonds
Language
eng
Literary Form
non fiction
Note
Description based upon print version of record
Physical Description
1 online resource (29 p.)
Specific Material Designation
remote
Form Of Item
online
Isbn
9786613820990

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