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The Risky Steady-State

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  • Coeurdacier, Nicolas
  • Rey, Hélène
  • Winant, Pablo

Abstract

We propose a simple quantitative method to linearize around the risky steady state of a small open economy. Unlike when the deterministic steady state is used, the net foreign asset position is well defined. We allow for both stochastic income and stochastic interest rate.

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Paper provided by C.E.P.R. Discussion Papers in its series CEPR Discussion Papers with number 8751.

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Date of creation: Jan 2012
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Handle: RePEc:cpr:ceprdp:8751

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Keywords: steady state;

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References

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  1. Michel Juillard & Ondra Kamenik, 2005. "Solving SDGE Models: Approximation About The Stochastic Steady State," Computing in Economics and Finance 2005, Society for Computational Economics 106, Society for Computational Economics.
  2. Schmitt-Grohe, Stephanie & Uribe, Martin, 2003. "Closing small open economy models," Journal of International Economics, Elsevier, vol. 61(1), pages 163-185, October.
  3. Christopher D. Carroll, 2001. "A Theory of the Consumption Function, With and Without Liquidity Constraints (Expanded Version)," NBER Working Papers 8387, National Bureau of Economic Research, Inc.
  4. Clarida, Richard H, 1987. "Consumption, Liquidity Constraints and Asset Accumulation in the Presence of Random Income Fluctuations," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 28(2), pages 339-51, June.
  5. Gary Chamberlain & Charles A. Wilson, 2000. "Optimal Intertemporal Consumption Under Uncertainty," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 3(3), pages 365-395, July.
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Cited by:
  1. Hélène Rey & Nicolas Coeurdacier, 2010. "Home bias in open economy financial macroeconomics," Sciences Po publications info:hdl:2441/c8dmi8nm4pd, Sciences Po.
  2. de Groot, Oliver, 2013. "Computing the risky steady state of DSGE models," Economics Letters, Elsevier, vol. 120(3), pages 566-569.
  3. Kliem, Martin & Uhlig, Harald, 2013. "Bayesian estimation of a DSGE model with asset prices," Discussion Papers 37/2013, Deutsche Bundesbank, Research Centre.
  4. DeGroot, Oliver, 2014. "The Risk Channel of Monetary Policy," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2014-31, Board of Governors of the Federal Reserve System (U.S.).
  5. Eleni Iliopulos & Thepthida Sopraseuth, 2012. "L’intermédiation financière dans l’analyse macroéconomique : Le défi de la crise," TEPP Research Report, TEPP 2012-02, TEPP.
  6. Christophe Gouel, 2013. "Comparing Numerical Methods for Solving the Competitive Storage Model," Computational Economics, Society for Computational Economics, Society for Computational Economics, vol. 41(2), pages 267-295, February.
  7. repec:hal:psewpa:halshs-00744047 is not listed on IDEAS

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