Country portfolio dynamics

Michael B. Devereux, Alan Sutherland

    Research output: Contribution to journalArticlepeer-review

    43 Citations (Scopus)

    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 languageEnglish
    Pages (from-to)1325-1342
    Number of pages18
    JournalJournal of Economic Dynamics and Control
    Volume34
    Issue number7
    Early online date24 Mar 2010
    DOIs
    Publication statusPublished - Jul 2010

    Keywords

    • Country portfolios
    • Solution methods
    • EQUILIBRIUM-MODELS
    • EXTERNAL WEALTH
    • FOREIGN-ASSETS
    • APPROXIMATION
    • LIABILITIES
    • NATIONS

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