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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. (C) 2010 Elsevier B.V. All rights reserved.
Original language | English |
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Pages (from-to) | 1325-1342 |
Number of pages | 18 |
Journal | Journal of Economic Dynamics and Control |
Volume | 34 |
Issue number | 7 |
Early online date | 24 Mar 2010 |
DOIs | |
Publication status | Published - Jul 2010 |
Keywords
- Country portfolios
- Solution methods
- EQUILIBRIUM-MODELS
- EXTERNAL WEALTH
- FOREIGN-ASSETS
- APPROXIMATION
- LIABILITIES
- NATIONS
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Dive into the research topics of 'Country portfolio dynamics'. Together they form a unique fingerprint.Projects
- 1 Finished
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ESRC RES-156-25-0027: Monetary policy welfare and the structure of international financial markets
Sutherland, A. (PI)
Economic & Social Research Council
1/01/06 → 30/06/07
Project: Standard